Regulatory Alerts2023-12-20
Interest Rate Risk in the Banking Book
The Supervisor of Banks issued this directive to establish supervisory expectations for the management of interest rate risk in the banking book, aligning with Basel Committee standards. It mandates that banking corporations implement robust frameworks to identify, measure, monitor, and control risks such as gap, basis, and option risk through board oversight and defined risk appetites. The regulation requires institutions to integrate these qualitative guidelines into their capital adequacy assessments and ensure transparent public disclosure of their exposure levels and management practices.
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