Interest Rate Risk in the Banking Book (IRRBB)

On 21st of April 2016, the Basel committee published new standards on the measurement and management of interest rate risk in the banking book (IRRBB). Banks are expected to implement the standards by 2018. First disclosure is to be provided as of 31 December 2017.

The Basel committee has decided that IRRBB will not be included in pillar 1 but in pillars 2 and 3 only. The two standard scenarios (+/- 200 bp) will be replaced by 6 standard scenarios. When one of these scenarios leads to a present value loss of more than 15% of Tier 1 capital, the bank is presumed to be an “outlier bank”, which will lead to regulatory action.

The IRRBB guidelines for the management of interest rate risk in the banking book regarding pillar 2 and ICAAP, published by EBA on May 22nd 2015, are already in force. These guidelines extend EBA’s previous IRRBB guidelines considerably, e.g. requiring cash flow modelling for behavioural options taking interest rate dependency into account which is to be calibrated on historical data.

Both papers also include requirements concerning credit spread risk in the banking book (CSRBB).

We will be happy to provide you a copy of our brief summaries of the documents. d-fine has also prepared information material, including a benchmark study on the current practice of management of interest rate risk in the banking book at European banks. We have conducted several projects in all relevant IRRBB topics and thus are familiar with best banking practice.

We would enjoy the opportunity to discuss with your experts the business and IT challenges of the new regulatory developments.

Also, we would be happy to offer our Quick Check IRRBB at a competitive price. The Quick Check IRRBB comprises a high level analysis of your IRRBB methods, procedures, and infrastructure, and a benchmarking to current banking practice and to the new regulatory framework.


We are looking forward to hearing from you!


Telephone: +49 69 907370


E-Mail:, Subject "IRRBB".

An overview of our related services can be found here (regarding market risk) und here (regarding asset liability management and treasury solutions).