In April 2016, the Basel Committee on Banking Supervision (BCBS) issued the final standard on Interest Rate Risk in the Banking Book (IRRBB). In response, the European Banking Authority (EBA) is expected to publish their revised IRRBB guidelines (accounting for the new BCBS standard) later this year. The BCBS expects banks to implement the new IRRBB guidelines by 1 January 2018.
In anticipation of the new EBA guidelines, we have developed an IRRBB Quick Scan. After performing the IRRBB Quick Scan we will deliver a report that shows to what extent your bank’s IRRBB framework meets the nine BCBS principles. Leveraging Zanders’ extensive experience in this field (with over 25 successful IRRBB projects for a wide range of banks), the report will also include a comparison of your bank’s IRRBB framework with best market practice. For the parts of the IRRBB framework that can be enhanced, the report will include tailored recommendations.