Interest rate risk in the banking book | KPMG | BE

Interest rate risk in the banking book

Interest rate risk in the banking book

Banks provide their views on the regulators’ proposals to add interest rate risk in the banking book (IRRBB).

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Banks provide their views on the regulators’ proposals to add interest rate risk in the banking book (IRRBB) to the calculation of banks’ Pillar 1 minimum capital requirements.


Since 2004 any capital requirement against IRRBB has been included as an add-on under Pillar 2 capital requirements. Today, eleven years later, the treatment of IRRBB is again subject to discussion. In June 2015, the Basel Committee issued for consultation its long-awaited proposals for adding IRRBB to the calculation of Pillar 1 minimum capital requirements. These proposals are important for banks because they are likely to increase banks’ minimum capital requirements, make the regulations even more complex, require banks to perform additional calculations, and increase the disclosures banks are required to make.

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