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Webinar: Fireside Chat – Latest developments in IRRBB and Regulatory Alignment with BCBS 368
The revised Capital Requirements Directive and Regulation (CRD 5 and CRR 2), continue to implement Basel III through amendments to key areas such as Large Exposures, Leverage Ratio, Liquidity and Funding and Counterparty Credit Risk with regards to reporting and disclosure requirements from January 2022.
Furthermore, from 2022 the PRA will commence the UK’s IRRBB Regulatory Alignment with BCBS 368 thought the implementation of SS31/15. This is reflects extensive updates to the Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP).
ALMIS International have developed our integrated ALM, Balance-Sheet Management and Regulatory Reporting solutions to meet these new requirements and our in-house experts are pleased to present a series of webinars and discussions to help our clients understand and implement the new standards and regulations.
In this final webinar of the series we will examine the latest developments and guidance associated with interest rate risk in the banking book, especially some of the nuances calculating the six EVE shocks, behavioural components, dealing with caps and floors and what to do for Earnings and NII sensitivity analysis.