Interest Rate Risk in the Banking Book (IRRBB)

Interest Rate Risk in the Banking Book (IRRBB) was at the center of attention earlier this year. We all recall that Silicon Valley Bank (SVB), the 16th largest bank in the USA, collapsed last march because of subsequent interest rate hikes in combination with flawed internal risk assessment and controls.

Fast forward today, we see supervisors in the region (Caribbean, Central- and South America) issuing guidelines for the adoption of IRRBB in their jurisdictions. So far, implementation timelines indicate go-live dates of approximately 2 years.

Points of attention in these publications are that Supervisors demand a plan of approach including project owner assignation in an early project stage.

To support our clients with their IRRBB plan of approach, RISC drafted a document covering 9 focal points that must be addressed to ensure compliance (see presentation).

To complement the IRRBB 9 focal points compliance list, RISC provides advisory services and an IRRBB application. With these we support the IRRBB process management design, governance, data modeling, calculations, reporting, and analysis setup for your bank.

For more information, please contact us at: info@risc.cw or visit us a risc.cw

In a follow-up publication we will specifically address why the IRRBB implementation is complex, time consuming to implement and why it’s recommended to act now.

Linkedin publication link

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