Expert panel on Interest rate risk in the banking book (IRRBB)

The specialist sub-committee on Interest rate risk in the banking book (IRRBB) is a forum promoting close dialogue between banking supervisors and the banking industry. Supervisors report on current trends and discussions, as well as developments in similar working groups at the European and international levels, in which they deem banking industry involvement to be necessary.

Interest rate risk in the banking book (IRRBB) is one of the most significant types of risk to which German credit institutions are exposed. The protracted spell of low interest rates in particular has thrust this topic into the forefront of various regulatory initiatives in recent years and it has increased the incidence of risk containment by prudential supervisors on the ground. These developments raised a number of questions, prompting the establishment of a dedicated specialist sub-committee in 2015 to deal in particular with the following topics.

  • Management of interest rate risks and credit spread risks in the non-trading book
  • Capital requirements for such risks

Experts from the credit institutions and associations keep supervisors abreast of significant market trends and their implications for the institutions' risk management and risk control functions. In addition, industry representatives support supervisors in dealing with questions surrounding the application of regulatory requirements.