Interest rate risk
Interest rate risk refers to the risk that the value of the Group’s assets,liabilities and interest-related derivatives will be negatively affected by changes in interest rates or other relevant risk factors.
The majority of the Group’s interest rate risks are structural and arise within the banking operations when there is a mismatch between the interest fixing periods of assets and liabilities, including derivatives.
The table below shows the sensitivity to a +100bp change in the interest rates on the banking and trading book by currency and in different buckets of maturity. This is calculated as the value change for a shift of 1 bp and then scaled up to reflect a 100 bp move.