General considerations
When assessing the inherent interest rate risk arising from interest rate-sensitive positions from non-trading on and off-balance sheet activities (commonly referred to as interest rate risk in the non-trading book, or IRRBB) and credit spread risk arising from positions in the non-trading book (commonly referred to as CSRBB) and the adequacy of the internal control framework, competent authorities should evaluate inter alia the compliance of the institution with the legal acts published separately on the EBA website as referred to in paragraph 12.
Competent authorities should assess IRRBB, including hedges for these positions, irrespective of their recognition and measurement, and irrespective of the recognition and measurement of losses and gains, for accounting purposes.
Assessment of IRRBB should be differentiated from assessment of CSRBB that competent authorities should also conduct in accordance with section 6.5.3. In particular, competent authorities should take into account whether institutions’ internal systems adequately assess and monitor the risk from CSRBB from an economic value and net interest income (including market value changes) perspective and appropriately define CSRBB and determine its scope(49).
Based on the overall assessment of the inherent risk of IRRBB and the risk management and controls for IRRBB and CSRBB, competent authorities should form a view on the IRRBB and CSRBB resulting in a combined score using the criteria laid out in table 12. The outcome of the assessment of each individual risk should be reflected in a summary of findings and an explanation of the main risk drivers.