Interest Rate Risk in the Banking Book - IRRBB

It is now time to look at Interest Rate Risk in the Banking Book (IRRBB)

Since the start of the financial crisis, new and more complex regulations have emerged alongside a tighter economic environment. However, up until to date, treasurers have benefited from lower funding costs with historically low interest rates.

The Interest Rate Risk in the Banking Book (IRRBB) is forcing banks to manage their interest rates and is enforcing change in a few key areas:

        -  More direction has been given to key behaviour and modelling assumptions including credit spread risk.

        -  Enforcement of greater standardisation – the local authorities can mandate the use of a revised standard based on an Economic Value of Equity (EVE) , different classifications and predefined interest rate shock scenarios.

        -  Governance processes should be well embedded in model risk management.

        -  The disclosure requirements have been standardised and enhanced to promote greater consistency, transparency and comparability in the measurement and management of IRRBB.

 Misys is here to help you making sense of the regulations

In order to comply with IRRBB banks should now consider integrating their IRRBB analytics across all risk and treasury systems.

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Regulations

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AnaCredit

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BCBS 239

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IFRS 9

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BCBS 352

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SA-CCR

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