IIF Authors

Status: Will be live at 09/11/2015 00:00

Joint Associations' Response to BCBS Consultative Document on IRRBB

Friday, September 11, 2015

The IIF, together with the IBFed, GFMA and ISDA, submitted a response to the BCBS consultation on interest rate risk in the banking book. While the joint response supports the goal of ensuring that banks continue to manage IRRBB effectively and that appropriate transparency is achieved for stakeholders to properly gauge banks' IRRBB exposure, it reiterates that these goals can be pursued within a Pillar 2 and Pillar 3 frameworks. Given the heterogeneous and dynamic nature of IRRBB, the industry does not believe that a Pillar 1 approach, with its inherent methodological simplifications and standardization or constraints on internal parameters/measures, is appropriate.'