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The proposed changes are aimed at improving the management of IRRBB risks by institutions, and to promote the convergence of supervisory practices in reviewing and evaluating institutions under the Pillar 2 assessment process.
Overall, the proposed changes are intended to ensure that institutions review, and where necessary improve, their identification, measurement, monitoring and control of interest rate risk in the banking book, and that supervisory assessment of interest rate risk is enhanced.
The bulk of the additions are provided under a new technical guidance supplement which is structured into the following thematic areas:
The consultation runs until 27 September 2013. A public hearing will take place at the EBA premises on 13 September 2013 from 10:00 to 13:00, UK time.