Regulatory Alerts2015-06-28
Interest Rate Risk in the Banking Book (IRRBB)
The Saudi Arabian Monetary Agency (SAMA) informed all banks about proposed changes by the Basel Committee on Banking Supervision (BCBS) to the regulatory capital treatment and supervision of Interest Rate Risk in the Banking Book (IRRBB). These changes aim to ensure banks have appropriate capital for interest rate exposures, limit capital arbitrage, and address accounting differences, presenting options for either a standardized Pillar 1 or an enhanced Pillar 2 approach. Banks are required to review the BCBS document from the BIS website and submit comments to SAMA by August 23, 2015, with SAMA also planning to hold meetings through a dedicated Working Group.
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