Interest Rate Risk in the Banking Book

La ricerca ha avuto una leadership completamente italiana e ha visto il coinvolgimento attivo di trentasette gruppi bancari provenienti da 10 differenti paesi EMEA in una survey online coordinata a livello EMEA da Luigi Mastrangelo.

L’indagine è di notevole attualità, considerando che lo scorso 31 ottobre l’European Banking Authority ha pubblicato il nuovo consultation paper di Draft Guidelines per la gestione del rischio di tasso d’interesse del banking book (IRRBB) al fine di recepire nel framework normativo le indicazioni dal Comitato di Basilea sulla Supervisione Bancaria (BCBS).

English Version

In April 2016, the Basel Committee on Banking Supervision issued its final standards for IRRBB (Interest-Rate Risk in the Banking-Book). In October 2017, EBA has revised its framework accordingly to BCBS instructions and published the related new standards in consultation. The new standards will apply from January 2019 onwards (considering the timeline amendments introduced by EBA) but some supervisors have already given a lot of attention to how IRRBB is monitored and managed in many banks, given the current concerns about lingering low-interest rate environment.

In this context, Deloitte EMEA has invited European and African banks to participate to an online survey. The aim is 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 framework changes, such as enhanced disclosures and more extensive expectations for the management of IRRBB, framework challenges posed by the Basel IRRBB standards should be given consideration, as early as possible

EMEA Key contacts

IRRBB & ALM Group Leader

Luigi Mastrangelo
Partner, Deloitte Consulting
+39 348 0744925
lmastrangelo@deloitte.it

IRRBB & ALM EMEA Group Coordinator

Andrea Fondi
Manager, Deloitte Consulting
+39 342 3461406
afondi@deloitte.it

Contributors

Austria–Sascha Bakry

France– Frederic Bujoc / Frédéric Cagnoux / Fares Boukrouh

Germany–Christian Seiwald

Italy–Elisabetta Tisato

Luxembourg–Jean-Philippe Peters

Portugal–Ana Garibaldi Cardoso

South Africa–Monique de Waal

Spain–Braulio Crespo

The Netherlands–Roald Waaijer

United Kingdom–Zeshan Choudry

Ireland - Victor Luan

Malta - Mark Micallef