Supervisory Review and Evaluation Process and Reset risk: Difference between pages

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''Bank supervision - European Union (EU)''
''Floating interest rates - risk management - repricing risk.''


(SREP).
Reset risk is a type of repricing risk.


The Supervisory Review and Evaluation Process is a set of bank supervisory guidelines issued by the European Banking Authority (EBA).
Repricing risk is the risk of adverse effects resulting from changes in floating interest rates.


Reset risk is the additional risk resulting from a relevant reference rate being observed on a single day - and then incorporated into a longer contractual period.


The SREP is designed to provide a consistent framework within which national supervisors review and evaluate banks.


The SREP covers:
"There is [  ] no ‘reset risk’ in Risk Free Rates (RFRs) since the interest rate coupon will be reflective of market observations over the entire interest rate period, not just on the reset date."
*Business model analysis;
*Internal governance and controls;
*Assessment of risks to capital and adequacy of capital; and
*Assessment of liquidity risk and adequacy of liquidity resources.


''Pieter Bierkens, former chair of Australia's LIBOR reform working group - The Treasurer, December 2023 Issue 4, p30.''


==See also==
* [[Bank supervision]]
* [[Business model]]
* [[Capital adequacy]]
* [[European Banking Authority]]
* [[European Union]]
* [[Governance]]
* [[ILAAP]]
* [[Internal Capital Adequacy Assessment Process]]  (ICAAP)
* [[Liquidity risk]]
* [[L-SREP]]
* [[Pillar 2]]
* [[TSCR]]


[[Category:Accounting,_tax_and_regulation]]
== See also ==
[[Category:The_business_context]]
* [[Assets]]
* [[Behavioural gap]]
* [[Contractual gap]]
* [[Coupon]]
* [[Exposure]]
* [[Floating rate]]
* [[Gap report]]
* [[Gap risk]]
* [[Interest]]
* [[Interest gap ]]
* [[Interest rate]]
* [[Interest rate risk]]
* [[Liabilities]]
* [[Liquidity gap]]
* [[Maturity ladder]]
* [[Rate reset]]
* [[Repricing ]]
* [[Repricing risk]]
* [[Risk-free rates]]  (RFRs)
* [[Risk management]]
 
[[Category:Financial_products_and_markets]]
[[Category:Identify_and_assess_risks]]
[[Category:Identify_and_assess_risks]]
[[Category:Manage_risks]]
[[Category:Risk_frameworks]]
[[Category:Risk_reporting]]

Latest revision as of 22:03, 4 December 2023

Floating interest rates - risk management - repricing risk.

Reset risk is a type of repricing risk.

Repricing risk is the risk of adverse effects resulting from changes in floating interest rates.

Reset risk is the additional risk resulting from a relevant reference rate being observed on a single day - and then incorporated into a longer contractual period.


"There is [ ] no ‘reset risk’ in Risk Free Rates (RFRs) since the interest rate coupon will be reflective of market observations over the entire interest rate period, not just on the reset date."

Pieter Bierkens, former chair of Australia's LIBOR reform working group - The Treasurer, December 2023 Issue 4, p30.


See also