Sets the supervisory approach to IRRBB: its sources (gap, basis, option and credit spread risk), its effects (earnings and economic value perspectives, embedded losses), the supervisory objectives, the Basel Committee principles, monitoring under the earnings approach and the review of capital adequacy under the economic value approach, the criteria for adequate internal systems, the local standardised framework for measuring IRRBB exposure (the standardised EVE and NII risk measures and the outlier test), oversight by the AI, and the risk management policies, procedures and controls expected including behavioural assumptions, limits, stress-testing and independent review. Classification: a non-statutory guideline issued as a guidance note; version V.3, 23.12.25; applies to all AIs.
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.