Interest Rate Risk in the Banking Book (IRRBB)

On 19 July 2018 EBA published a revised and extended version of the guidelines on the management of interest rate risk arising from non-trading activities (IRRBB). The revised version replaces the previous EBA guidelines published in May 2015. The update of the EBA IRRBB guidelines constitutes a partial implementation of the BCBS IRRBB requirements. Full compliance with Basel requirements will be achieved with the revision of CRD V/ CRR II in 2019/2020. More precisely with the enactment of the related technical standards provided by EBA, one to two years after the new framework comes into effect. You can find the key differences between the revised guidelines and the previous guidelines in our whitepaper.

 

The starting point for the current development on European level is the following: On 21st of April 2016, the Basel committee published new standards on the measurement and management of interest rate risk in the banking book. In these standards IRRBB has to be included in pillars 2 and 3 only. The new standard shock scenarios and the required improved measurement of (embedded) options in banking book products will, however, have an impact on pillar 1 through the supervisors’ assessment in the SREP. In addition, the new guidelines focus on a dual management of interest rate risk in both economic and earning perspective.

 

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

 

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!

 

E-Mail: irrbb@d-fine.com, Subject "IRRBB".

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