This chapter describes disclosure requirements for interest rate risk in the banking book.

Version effective as of 15 Dec 2019

First version in the format of the consolidated framework.

Introduction

70.1 The disclosure requirements set out in this chapter are:

(1) Table IRRBBA - Interest rate risk in the banking book (IRRBB) risk management objective and policies

(2) Template IRRBB1 - Quantitative information on IRRBB

70.2 Table IRRBBA provides information on a bank's IRRBB risk management objective and policy. Template IRRBB1 provides quantitative IRRBB information, including the impact of interest rate shocks on their change in economic value of equity and net interest income, computed based on a set of prescribed interest rate shock scenarios.

70.3 Banks must disclose the measured changes in economic value of equity (∆EVE) and changes in net interest income (∆NII) under the prescribed interest rate shock scenarios set out in SRP31. In disclosing Table IRRBBA and Template IRRBB1, banks should use their own internal measurement system (IMS) to calculate the IRRBB exposure values, unless instructed by their national supervisor. SRP31 provides a standardised framework that banks may adopt as their IMS. In addition to quantitative disclosure, banks should provide sufficient qualitative information and supporting detail to enable the market and wider public to:

(1) Monitor the sensitivity of the bank's economic value and earnings to changes in interest rates;