Interest Rate Risk in the Banking Book: 2017 Deloitte Survey
Taking a closer look to the BCBS Standards
Following the publication in June 2016 of the new Standards on Interest-Rate Risk in the Banking-Book (IRRBB) by the Basel Committee on Banking Supervision, the Deloitte EMEA IRRBB/ALM working group invited European and South African banks to participate to an online survey to assess their current state of readiness against the new Basel standards.
Thirty-seven banking groups, from 10 different EMEA countries, have responded to the survey. The most important results of the survey have been highlighted in a brochure you can download. It will be followed by a white paper which will be published in the upcoming weeks.
The survey is very timely, as the European Central Bank launched its 2017 stress-testing exercise on 28 February 2017, focusing on IRRBB.