IRRBB

Challenges

IRRBB guidelines require specific reporting and a limit framework for groups

The European Banking Authority’s guidelines on the management of interest rate risk in the banking book aim to ensure that banks hold sufficient capital to absorb potential losses resulting from interest rate changes. These guidelines require many banks to make extensive modifications to their interest rate risk measurement and management and to adjust their capital reserves. A comprehensive software solution should be implemented to meet the additional requirements.

Solutions

Efficient and easy implementation of the IRRBB guidelines with zeb.control

  • IRRBB reporting according to BCBS 368
  • Reports and key figure calculations
  • Any existing dimension (e.g. product structures or maturity level) can be used
  • Includes relevant calculations and IRRBB reports to comply with BIS regulations on capital requirements for interest rate risk in the banking book
  • Configuration and system-supported simulation of:
    1. periodic scenario analyses (e.g. risk and stress scenarios)
    2. economic scenario analyses (selection of six risk measurement methods defined by the supervisory authority)

Related solutions: Simulation of measures and scenarios, Investment and refinancing management, ICAAP / ILAAP / RTF, Market risk, Preview ALM Next and Liquidity risk

Benefits

  • Compliance with regulatory requirements
  • Transparency regarding the structure of interest rate risks
  • Optimization of interest income while ensuring compliance
  • zeb expertise included

References

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