327. Competent authorities should assess interest rate risk arising from interest rate-sensitive positions from non-trading on and off-balance sheet activities (commonly referred to as interest rate risk in the non-trading book, or IRRBB), including hedges for these positions, irrespective of their recognition and measurement, and irrespective of the recognition and measurement of losses and gains, for accounting purposes.
328. Competent authorities should consider the relevance and materiality of at least the following subcategories when assessing IRRBB:
a. Gap risk - risk resulting from the term structure of interest rate sensitive instruments that arises from differences in the timing of their rate changes, covering changes to the term structure of interest rates occurring consistently across the yield curve (parallel risk) or differentially by period (non-parallel risk).
b. Basis risk - risk arising from the impact of relative changes in interest rates on interest rate sensitive in
…