Interest Rate Risk in the Banking Book: 2017 Deloitte White Paper

In April 2016, the Basel Committee on Banking Supervision issued final standards for IRRBB (Interest-Rate Risk in the Banking-Book).

The new standards will apply from January 2019 onwards but some Supervisors have already given a lot of attention to how IRRBB is monitored and managed in many banks, particularly given the current concerns about lingering low-interest rate environment. In fact, in October 2017, the EBA revised its framework accordingly, and published new proposed standards for consultation.

In this context, Deloitte EMEA invited banks to participate in an online survey in order to determine their state of readiness concerning the new Basel standards. The survey also assessed frameworks to determine enhancements in governance, internal models, and IT systems supporting the monitoring and management of IRRBB.

We are pleased to provide you with the highlights of our pan-European IRRBB survey, and we hope it gives useful insights as you work to further enhance your organisation’s IRRBB program.