Interest Rate Risk in the Banking Book (IRRBB) has become a key area of focus for both financial institutions and regulators. Changes in the macroeconomic environment, together with the evolution of international regulation, have significantly increased the requirements for measuring, managing, and reporting this risk.

This presentation provides a clear overview of the regulatory framework governing IRRBB, from the principles established by the Basel Committee to the most recent guidelines issued by the European Banking Authority (EBA), which strengthen governance, modelling, and transparency requirements in interest rate risk management. 

The document explains how institutions must assess the impact of interest rate movements on both the Economic Value of Equity (EVE) and Net Interest Income (NII), using different regulatory scenarios and sensitivity metrics. 

It also explores the main components of interest rate risk—such as gap risk, basis risk, and option risk—and highlights the importance of incorporating behavioural models to capture key dynamics such as non-maturity deposit behaviour and loan prepayments. 

Finally, the presentation addresses the practical implementation challenges many institutions face, from data availability and granularity to the need for ALM engines capable of performing complex calculations efficiently and generating automated regulatory reporting. 

If you want to understand how IRRBB regulation is evolving, what it means for bank balance sheet management, and the key factors for successful implementation, we invite you to explore the full presentation.