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PD-1.3.35

All banks must make the following disclosures concerning interest rate risk in the banking book:

(a) The general qualitative disclosure requirement (PD-1.3.21), outlining the nature of IRRBB and key assumptions, including assumptions concerning loan prepayments and the behaviour of deposits without a fixed maturity, and the frequency of IRRBB measurement; and
(b) The increase (or decline) in earnings or economic value (or relevant measure used by management) for upward and downward rate shocks according to management's method for measuring IRRBB, broken down by currency (where applicable).
Amended: April 2011
Amended October 2010
April 2008