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Basel Committee on Banking Supervision Standards

Basel Committee on Banking Supervision Standards Interest rate risk in the Banking book April 2016 This publication is available on the BIS website ( ). Bank for International Settlements 2016. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9197-497-9 (print) ISBN 978-92-9197-498-6 (online) Interest rate risk in the Banking book iii Contents Executive summary .. 1 I. Introduction on irrbb .. 3 1. Definition of irrbb .. 3 2. Credit spread risk in the Banking book (CSRBB) .. 3 3. Economic value and earnings-based measures .. 3 II. The revised IRR Principles .. 4 1. Principles for banks .. 4 2. Principles for supervisors .. 18 III. Scope of application and implementation timeline .. 22 IV. The standardised framework .. 22 1. Overall structure of the standardised framework .. 22 2. Components of the standardised framework.

Background 12. IRRBB is an important risk that arises from banking activities, and is encountered by all banks. It arises because interest rates vary significantly over time, while the business of …

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