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 (BCBS) issued final Standards for IRRBB that replace the 2004 Principles for the Management and Supervision of Interest Rate Risk. The new Standards set out the Committee’s expectations on the management of IRRBB in terms of identification, measurement, monitoring, control and supervision. The updated IRRBB Principles also contain a proposed Standardised Framework which can be adopted by local regulators to measure the adequacy of capital to support IRRBB.

What our experts say

Following the publication in April 2016 of the new Standards on Interest Rate Risk in the Banking Book (IRRBB) by the Basel Committee on Banking Supervision (BCBS), Deloitte invited European and South African banks to participate in an online survey to assess their current state of readiness against the new Basel Standards.

Thirty-seven banking groups, from ten different EMEA countries, have responded to the survey, five of which are from South Africa. The most important results of the survey have been highlighted in this brochure, which will be followed by a white paper which will be published in the upcoming weeks.

The survey is very timely as regulators around the world, including the South African Reserve Bank (SARB) and the European Central Bank (ECB), look to ensure that the requirements of the revised IRRBB Standards are implemented and embedded within banking groups within their jurisdiction during 2017 and going forward.

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