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RBI issues final guidelines on interest rate risk in banking book
February 17, 2023
IRRBB refers to the current or prospective risk to banks’ capital and earnings arising from adverse movements in interest rates that affect its banking book positions. Excessive IRRBB can pose a significant risk to banks’ current capital base and/or future earnings.
“These guidelines, accordingly, require banks to measure, monitor, and disclose their exposure to IRRBB,” the RBI said in a circular.
The final guidelines on IRRBB are in alignment with the revised framework issued by the Basel Committee on Banking Supervision (BCBS).
The RBI further said the date for implementation of the guidelines will be communicated in due course.
“Banks are advised to be in preparedness for measuring, monitoring, and disclosing their exposure to interest rate risk in the banking book” in terms of the circular, it added.
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