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Version date: 25 April 2024 - onwards
Version 2 of 2

Principle 23 - Interest rate risk in the banking book (paras. 40.52-40.53) (effective as of 25 April 2024)

40.52 Principle 23: [Reference documents: BCBS, High-level considerations on proportionality, July 2022; SRP31.] The supervisor determines that banks have adequate systems to identify, measure, evaluate, monitor, report and control or mitigate interest rate risk in the banking book on a timely basis. [Wherever "interest rate risk" is used in this principle the term refers to interest rate risk in the banking book. Interest rate risk in the trading book is covered under Principle 22 BCP40.50.] These systems consider the bank's risk appetite, risk profile and market and macroeconomic conditions.

40.53 Essential criteria:

(1) Laws, regulations or the supervisor require banks to have an appropriate interest rate risk strategy and interest rate risk management framework that provides a comprehensive bank-wide view of interest rate risk. This includes policies and processes to identify, measure, evaluate, monitor, report and control or mitigate material sources of interest rate risk. The supervisor determines that the bank's strategy, policies and processes are consistent with the risk appetite, risk profile and systemic importance of the bank, that they consider market and macroeconomic conditions, and that they are regularly reviewed and appropriately adjusted, where necessary, in line with the bank's changing risk profile and market developments.