IRRBB
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
CBA’s IRRBB charges finally ease
After over a year of surging charges for interest rate risk, last quarter of 2022 brought reprieve
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
Regulator to ‘reflect’ on IRRBB shocks after rates leap
Once considered too harsh by banks, stress scenarios may even prove too generous
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
EBA to scrutinise banking book models amid macro turmoil
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
NatWest cuts banking book market risk by 48%
Lower credit spread risk from bond disposals partly offset by interest rate risk on hedges
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
New Fed regulation head unlikely to roll back all Trump changes
Progressives see climate and crypto as priorities over toughening Volcker Rule or tailoring
Modeling nonmaturing deposits: a framework for interest and liquidity risk management
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Easing of op risk add-on boosts Commonwealth Bank
Op RWA relief offset increases due to credit, market risk
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
Aussie banks crush IRRBB capital charges
‘Big Four’ cut IRRBB RWAs by A$23 billion year-on-year
Commonwealth Bank blitzes IRRBB charges
Shake-up of banking book saves A$10.5 billion in RWAs
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
