AFME and PwC have collaborated on a new report focused on Interest Rate Risk in the Banking Book (IRRBB), offering a comprehensive overview and expert insights into key areas of market and regulatory evolution in this increasingly critical domain.

The report delves into crucial aspects, such as the balance required by banks between economic value and earnings-based measures. It also explores perspectives on enhancing standardisation within a Pillar 2 framework, alongside examining the interaction between IRRBB and Credit Spread Risk in the Banking Book (CSRBB).