4.1.1 IRRBB and CSRBB

(i) IRRBB

10. Institutions should treat IRRBB as an important risk and always assess it solely, explicitly, and comprehensively in their risk management processes and internal capital assessment processes.

11. Institutions should identify their IRRBB exposures and ensure that they are adequately measured, monitored and controlled. Institutions should manage risks arising from their IRRBB exposures and, if necessary, mitigate risks that affect both their economic value and net interest income measures plus market value changes.

(ii) CSRBB

12. Institutions should assess and monitor CSRBB explicitly and comprehensively in their risk management processes and internal capital assessment processes.

13. Institutions should identify their CSRBB exposures and ensure that they are adequately assessed, monitored, and controlled both under economic value and net interest income measures plus market value changes.

(iii) Net interest income measure plus market value changes