In the context of the ongoing changes in the monetary policy and interest rate environment, AFME has established a working group to consider aspects of the management of interest rate risk in the banking book (‘IRRBB’).
he EBA published its regulatory package on IRRBB, namely:
- Guidelines on IRRBB and Credit Spread Risk in the Banking Book (‘CSRBB’);
- Draft RTS on Supervisory Outlier Tests (‘SOTs’)
- Draft RTS on the Standardised Approach.
These areas are complemented by increased EBA scrutiny of banks interest rate risk management, including hedging and modelling assumptions, and a draft ITS on related supervisory reporting. it is envisaged that our working group will consider and engage with policymakers across these areas as appropriate together with wider aspects of IRRBB that impact member firms.