Regulatory Alerts2024-07-09
Added · Updated
G4-2024 - Criteria for identifying outlier banks
The Prudential Authority issues this guidance note to define the criteria for identifying banks with excessive interest rate risk in the banking book. The Authority employs a supervisory outlier test that flags institutions where the sensitivity of economic value of equity exceeds 15% of Tier 1 capital under specified interest rate shock scenarios. Banks identified as outliers may be required to reduce exposure, accept additional capital requirements, or improve their risk management frameworks.
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