Interest rate risk

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Guidelines on the Management of Interest Rate Risk Arising from Non-Trading Book Activities

EBA guidelines on management of interest rate risk in the banking book in order to implement new BCBS standards

European Banking Authority updated guidelines set out supervisory expectations regarding management of interest rate risk arising from non-trading banking book activities (IRRBB). Intended to implement Basel Committee on Banking Supervision (BCBS) standards. Guidelines are structured into six sections: i) definitions; ii) general provisions; iii) internal capital; iv) governance; v) measurement; and vi) supervisory outlier test.

Publisher: Regional Standard-Setting Bodies Release date: Jul 2018

Type: Guideline

Parent: Interest Rate Risk in the Banking Book

Topics: Interest rate risk, Capital adequacy, Transparency and disclosure, Corporate governance

Sectors: Banking

The PRA's Methodologies for Setting Pillar 2 Capital

PRA policy statement on its Pillar 2 capital requirements

UK Prudential Regulatory Authority updated methodology for setting Pillar 2 capital requirements. Sets out methodologies to inform setting a firm’s Pillar 2A individual capital guidance for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, and interest rate risk in the banking book and pension obligation risk. Pillar 2B provides information on the purpose of a PRA buffer, how it is determined and how it relates to the CRD IV buffers. Also provides details on PRA’s approach to tackling weak governance and risk management under Pillar 2B.

Publisher: National Regulators Release date: Dec 2017 Country: United Kingdom

Type: Supervisory Practice

Parent: Capital Requirements Directive - CRD IV, Capital Requirements - CRD IV/CRR – Frequently Asked Questions

Peer: Assessing Capital Adequacy Under Pillar 2

Topics: Capital adequacy, Credit risk, Market risk, Operational risk, Interest rate risk

Sectors: Banking

Insurance Supervisory Strategies for a Low Interest Rate Environment

FSI Insights paper outlines how low interest rates can adversely impact insurers and how supervisors can monitor and remedy potential problems

Financial Stability Institute paper presents a range of supervisory practices and alternatives for supervisors to counter the effects of low interest rates on life insurers. Based on survey responses from 27 insurance supervisors covering 91% of the global insurance market.

Publisher: International Organizations Release date: Oct 2017

Type: Consultative, discussion and issues paper

Topics: Interest rate risk, Capital adequacy, Accounting, actuarial and auditing

Sectors: Insurance

Macroprudential Policy Issues Arising from Low Interest Rates

ESMA report discusses sources, implications and potential risks for the EU financial system deriving from the current low interest rate environment

European Securities and Markets Authority report analyzes two possible scenarios for future interest rate trends over the next ten years: a protracted low interest rate environment accompanied by low growth ("low for long") and an economic recovery scenario under which interest rates rise gradually ("back to normal"). Proposes a holistic macroprudential policy approach aimed at enhancing financial stability and mitigating systemic risks in the low interest rate environment.

Publisher: Regional Standard-Setting Bodies Release date: Nov 2016

Type: Consultative, discussion and issues paper

Topics: Macroprudential, Interest rate risk, Systemic risk

Sectors: Securities

A Potential Macroprudential Approach to the Low Interest Rate Environment

EIOPA guideline on financial stability in Solvency II environment

European Insurance and Occupational Pension Authority guideline on a macroprudential framework in insurance sector to promote financial stability under Solvency II. Defines three objectives: i) increasing resilience of insurance sector; ii) limiting risky behaviour of insurers collectively "searching for yield'; iii) avoiding procyclicality. Suggest instruments consistent with Solvency II to promote achievement of objectives.

Publisher: Regional Standard-Setting Bodies Release date: Mar 2016

Type: Consultative, discussion and issues paper

Topics: Macroprudential, Systemic risk, Interest rate risk, Capital adequacy

Sectors: Insurance

Display # Total: 5

Resources

382 records

Guidelines on the Management of Interest Rate Risk Arising from Non-Trading Book Activities

The PRA's Methodologies for Setting Pillar 2 Capital

Insurance Supervisory Strategies for a Low Interest Rate Environment

Macroprudential Policy Issues Arising from Low Interest Rates

A Potential Macroprudential Approach to the Low Interest Rate Environment

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