This is the third annual MORS Interest Rate Risk (IRR) management survey. The survey indicates banks have become more careful in stating their readiness to be fully compliant with the upcoming IRRBB requirements. The EBA July 2018 requirements come into force in June 2019. The surveys of the last three years show some surprising results.
“Has IRR monitoring and management become more challenging due to the final requirements being published as late as in July 2018 or have banks underestimated the effort needed to improve the capability to assess and measure sensitivity to key behavioural assumptions?” asks Mika Mustakallio, MORS Software CEO, and continues “The development is not only negative. The ability of banks to break down IRRBB into contractual, modelled and hedged components has improved. Also, banks have improved in their ability to measure the interaction of IRRBB with other risks. These naturally indicate positive progress. With the coming surveys, we hope to capture further understanding on how measuring the integration of risks will develop.”
The survey was carried out between December 2018 and February 2019, with eighty-six banking professionals participating from thirty-six countries across the UK, Continental Europe, Asia, Africa and America.