IRRBB
Bracing for impact – Facing the challenges posed by IRRBB
Content provided by IBM
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
OCC regulator warns on interest rate risk build-up
Fed policy, liquidity requirements and model herding all raise concerns
How Europe can fix the Basel IRRBB standards
Building an outlier test for interest income would be better than the standardised EVE approach
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
EU could impose negative rate shocks via IRRBB rules
Banking Book Risk Summit: EBA guidance on shocks is “outdated”, says ECB official
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
FRTB survey: risk transfer shake-up hits home
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Bankers confident on local adoption of Basel IRRBB rules
Risk USA: US, EU regulators expected to implement new framework consistently
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
EBA stress test shines light on interest income hedging dilemma
Non-maturing liabilities pose problems for banks' IRRBB hedge accounting
Basel interest rate risk disclosures "problematic"
IRRBB could reveal commercially sensitive information and mislead analysts
The drawn-out death of a standard IRRBB charge
For 23 years, regulators have been trying – and failing – to standardise banking book rates risk
Basel abandons plans for Pillar 1 rates risk charge
No standard charge for banking books, but souped-up Pillar 2 still worries critics
Banks reject NMD maturity limits in interest rate risk rules
Consultation respondents warn of reduced lending and higher systemic risk
BoJ and JFSA officials seek bank capital clarity
BoJ’s Nakaso suggests moratorium after current rule-book changes are complete
Regulators forge compromise on banking book rate risk
Basel rules allow a combination of internal and standardised models
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
EBA rate risk guidelines ease deposit cap
Greater flexibility welcomed, but problems may remain for mortgage lenders
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Impact study postponed for Basel rate-risk project
QIS was due to get under way last month but will now start in mid-2015