Interest Rate Risk in the Banking Book: 2017 Deloitte Survey

Taking a closer look to the BCBS Standards

In April 2016, the Basel Committee on Banking Supervision issued its final standards for IRRBB (Interest-Rate Risk in the Banking-Book). The new standards will apply from January 2018 onwards but some Supervisors have already given a lot of attention to how IRRBB is monitored and managed at many banks, given the current concerns about the lingering low-interest rate environment.

In this context, Deloitte EMEA invited European and South African banks to participate in an online survey in order to check their state of readiness concerning the new Basel standards and assess how their framework is moving towards an enhanced framework as regards governance, internal models and IT systems supporting the monitoring and management of IRRBB.

With major changes to the framework, such as enhanced disclosures and more extensive expectations for the management of IRRBB, the challenges posed by the Basel IRRBB standards should be given consideration, as early as possible.

We are pleased to provide you with the highlights of our study on the Interest-Rate Risk in the Banking-Book.

IRRBB Survey 2017
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