April 22, 2016
The Basel Committee on Banking Supervision (BCBS) has issued standards for Interest Rate Risk in the Banking Book (IRRBB), which revise the 2004 Principles for the Management and Supervision of Interest Rate Risk.
Plans for a Pillar 1 capital charge, which were proposed during consultation, have not been included in the IRRBB standards. However, there is an enhanced Pillar 2 approach.
The IRRBB standards include an updated standardized framework. Banks may be given the option to adopt this standardized approach or it may be mandated by supervisors.
The complete standards can be found on the website of the Bank for International Settlements (BIS) by clicking here.
The IRRBB is part of ‘Basel IV’, which also includes the Standardized Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR) and the Fundamental Review of the Trading Book (FRTB).