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

The expert panel on interest rate risk in the banking book (IRRBB) is a forum promoting dialogue between banking supervisors and the banking industry.

Supervisors use this forum to report on current prudential developments and discussions, including developments in working groups at the international level, in which they deem banking industry involvement to be necessary. Involving financial sector stakeholders is a way of helping to make sure that prudential requirements evolve in step with banking practices.

Experts from credit institutions and associations keep supervisors abreast of significant market trends and their implications for institutions’ risk management. They also support supervisors in addressing questions concerning the application of regulatory requirements.

IRRBB is one of the most significant types of risk to which German credit institutions are exposed. It has moved up the supervisory agenda in recent years, not least given the protracted spell of low interest rates, giving rise to various regulatory initiatives aimed at ensuring that IRRBB is suitably addressed within institutions’ risk management frameworks. This has raised a number of questions, prompting the establishment of a dedicated expert panel which deals, in particular, with the following topics:

  • management of interest rate risk and credit spread risk in the banking book;
  • capital requirements for such risk.