The Bank of Russia has published guidelines for the assessment of interest rate risk on banking portfolio
Guidelines developed for introduction into the banking practice of modern universal approaches to the calculation of interest rate risk on banking portfolio specified by the standard of the Basel Committee on banking supervision, “Interest rate risk in the banking book (April 2016)”.
The recommendations apply to credit institutions with assets of 500 billion rubles or more (including at the level of the banking group) and implement a standardized approach to calculating interest rate risk on the banking portfolio, including long-term assets (requirements) and raised funds sensitive to changes in interest rates, based on the methods of assessing changes in the magnitude of the economic value of capital and changes in net interest income. The document is aimed also at the improvement and the comparability of the indicators used in the framework of the management of interest rate risk on the banking portfolio.
Significant innovations, which make recommendations are the use of different scenarios of interest rate changes for instruments in different currencies, and a full revaluation of instruments is influenced by interest rate changes in valuation method change in amount economic value of equity.
Upon review of the application of the recommendations for credit organisations the Bank of Russia plans to translate them to the status of mandatory requirements in the regulations on the assessment of the economic situation and reporting on interest rate risk for major banks.
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