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Interest Rate Risk in the Banking Book (IRRBB) regulations have been put in place globally to standardize and strengthen how institutions manage interest rate risk, specifically regarding earnings and economic value. Updates occur to further strengthen the rules and harmonize how they are applied across different jurisdictions to embed greater resilience in the global financial system.
Recently the regulations and deadlines for IRRBB were updated, primarily by the European Banking Authority (EBA) and the Basel Committee on Banking Supervision (BCBS).
Europe
EBA IRRBB Reforms (2022-2024)
Global
Basel Committee on Banking Supervision (BCBS): BCBS 368, d561 Consultation on Recalibration of shocks for interest rate risk in the banking book.
Who has to comply with IRRBB?
The regulations impose several challenges to organizations that may not have software solutions to manage the calculations and various submission requirements.
Deadlines are tight and resources are scarce. Navigating the regulations, gathering data, understanding and managing risks, monitoring changes, and then submitting to the authorities requires specific knowledge and time from teams.
For example, requirements include:
Challenges are particularly difficult if teams need to rely on manual processes, spreadsheets or in-house legacy systems. Plus, not all teams are equipped with the knowledge to efficiently and effectively meet the requirements.
SS&C Algorithmics has partnered with Regnology to provide an end-to-end solution for IRRBB. It offers a simplified data ingestion process for a seamless end-to-end risk and regulatory solution. Our shared capabilities span from powerful calculations to streamlined workflows for regulatory report creation and submission.
Contact us today to find out how we can help.
ALM & IRRBB Product Director, SS&C Algorithmics