The bank must identify gap, basis and option risk, monitor credit spread risk in the banking book, and control IRRBB under a governing-body-approved framework of limits, measurement standards, reporting and internal controls (SRP31.1 to SRP31.3, SRP31.7 to SRP31.11). The governing body must be informed at least semiannually of the level and trend of exposures, and IRRBB policies and risk appetite statements must be reviewed at least annually (SRP31.12, SRP31.22). Processes need regular independent audit (SRP31.21). Measurement must use both economic value (EVE) and earnings (NII) measures under internal scenarios, historical and hypothetical stress scenarios, the prescribed shock scenarios and any supervisory scenarios, supported by reverse stress tests (SRP31.27 to SRP31.38). Six prescribed shocks (parallel up and down, steepener, flattener, short rates up and down) apply to EVE and two to NII, calibrated per currency (SRP31.90 to SRP31.93). Behavioural assumptions for prepayments, term deposit redemption and non-maturity deposits must be documented, sensitivity tested and reviewed at least annually (SRP31.39 to SRP31.47), and models need independent validation (SRP31.54 to SRP31.58). IRRBB capital must be assessed in the governing-body-approved ICAAP (SRP31.66 to SRP31.70). Supervisors apply at least one outlier test comparing maximum change in EVE under the six shocks with 15% of Tier 1 capital, and outliers may face hedging, capital or parameter constraints (SRP31.82 to SRP31.88).
This control maps to 1 controls across 1 other frameworks. If you already hold one of them, the evidence you collected for it is the starting point here rather than new work.
Every mapping shown was judged rather than inferred from wording similarity, and the ones that failed review are published too. See the coverage reports and what was rejected.
The graph holds this control, the 1 it maps to, and the evidence behind each claim, over MCP and REST.