Regulatory Alerts2017-01-12
Interest Rate Risk in the Banking Book (IRRBB)
The Saudi Arabian Monetary Agency (SAMA) has issued updated standards for Interest Rate Risk in the Banking Book (IRRBB), revising the Basel Committee’s 2004 principles to address current low-interest-rate environments. Domestic banks must implement enhanced qualitative and quantitative disclosure frameworks, including standardized interest rate shock scenarios and a tightened outlier threshold of 15 percent of Tier 1 capital. These requirements mandate semi-annual regulatory returns using Tables A and B, with pro forma disclosures due by October 2017 and full implementation commencing January 2018.
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