RiskTech Forum

zeb: IRRBB: Interest Rate Risk in the Focus of Supervisory Activities

Posted: 18 January 2018  |  Source: zeb

Supervisory authorities have already been focusing on the interest rate risk in the banking book (IRRBB) since 2015. The first steps were taken by the Basel Committee with the consultative document on IRRBB standards (BCBS #319), the final version of which was published in April 2016 (BCBS #368). Shortly afterwards the European Banking Authority (EBA) published guidelines on IRRBB (EBA/GL/2015/08), which entered into force on January 1, 2016. At the end of 2016, new drafts for the CRR (CRR II) and CRD (CRD V), which among other things deal with IRRBB, were presented for consultation. But ever since the publication of the revised EBA guidelines on IRRBB in October 2017, with consultation closing at the end of January 2018, numerous institutions have tried to identify the correlation between these regulatory publications or between the requirements that may be derived for their specific institution.

Please register or log in to download the report.