The Basel Committee on Banking Supervision (BCBS) has published a consultative document, Interest rate risk in the banking book.
In the consultative document the BCBS sets out two options for the regulatory treatment of interest rate risk in the banking book (IRRBB). The first approach is a standardised Pillar 1 (minimum capital requirements) approach which the BCBS believes would promote greater consistency, transparency and comparability. The second approach is an enhanced Pillar 2 approach which the BCBS believes would better accommodate differing market conditions and risk management practices across jurisdictions. Both approaches would be applied to large internationally active banks on a consolidated basis. Supervisors would have the national discretion to apply the IRRBB framework to other non-internationally active institutions.
The BCBS is seeking comments on both approaches. The deadline for comments is 11 September 2015.
View Interest rate risk in the banking book – consultative document, 8 June 2015