(5) For a deposit-taker or investment dealer, excludes: gross income (a) realised profits from the sale of securities in the banking book; (aa) realised profits from securities in the to category ‘Held Maturity’ in the banking book; (b) extraordinary or irregular items of income; (c) income derived from insurance; (d) any collection from previously written-off loans; and (e) income obtained from the disposal of real estate and other assets during the year. Chapter 8 Interest rate risk in the banking book 8.1.1 Introduction (1) This Chapter sets out the requirements for a banking business firm’s policies to identify, measure, evaluate, manage and control or mitigate interest rate risk in the banking book. (2) This Chapter also deals with stress-testing the exposure to firm’s IRRBB and the relationship between IRRBB and the internal capital adequacy assessment process. IRRBB is a major source of risk for firms that conduct banking activities; this is particularly so if the banking book assets is 15% or more of its total assets. firm’s (3) Interest rate risk in this Chapter refers to interest rate risk in the banking book. Interest rate risk in the trading book is part of market risk in Chapter 6. 8.1.2 Interest rate risk in the banking book (1) or is the risk to Interest rate risk in the banking book IRRBB earnings or capital arising from movement of interest rates. (2) IRRBB arises from changing rate relationships among yield curves that affect bank activities (basis from changing rate relationships risk), across the spectrum of maturities (yield and from curve risk), options embedded in bank products (option risk). Examples of sources of IRRBB risks from underwriting on a firm-commitment basis 
(5) For a deposit-taker or investment dealer, gross income excludes: (a) realised profits from the sale of securities in the banking book; (aa) realised profits from securities in the ‘Held to Maturity’ category in the banking book; (b) extraordinary or irregular items of income; (c) income derived from insurance; (d) any collection from previously written-off loans; and (e) income obtained from the disposal of real estate and other assets during the year. Chapter 8 Interest rate risk in the banking book 8.1.1 Introduction (1) This Chapter sets out the requirements for a banking business firm’s policies to identify, measure, evaluate, manage and control or mitigate interest rate risk in the banking book. (2) This Chapter also deals with stress-testing the firm’s exposure to IRRBB and the relationship between IRRBB and the internal capital adequacy assessment process. IRRBB is a major source of risk for firms that conduct banking activities; this is particularly so if the firm’s banking book assets is 15% or more of its total assets. (3) Interest rate risk in this Chapter refers to interest rate risk in the banking book. Interest rate risk in the trading book is part of market risk in Chapter 6. 8.1.2 Interest rate risk in the banking book (1) Interest rate risk in the banking book or IRRBB is the risk to earnings or capital arising from movement of interest rates. (2) IRRBB arises from changing rate relationships among yield curves that affect bank activities (basis risk), from changing rate relationships across the spectrum of maturities (yield curve risk), and from options embedded in bank products (option risk). Examples of sources of IRRBB  risks from underwriting on a firm-commitment basis
QFCRA_9582_VER5.docx