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Interest Rate Risk (IRRBB/CSRBB)

Interest Rate Risk (IRRBB/CSRBB)

Policy, measurement and hedging aligned with EBA/BCBS: EVE/NII, supervisory outliers, behavioural deposits & prepayments, CSRBB attribution, and ALCO packs.

  • NII/EVE/CSRBB diagnostic & benchmarking
  • Behavioral model & data uplift
  • Scenario library & reverse-stress
  • Hedging & FTP playbooks

IRRBB Survey Insights & Offerings

What recent McKinsey/BCG publications say about IRRBB/CSRBB, treasury operating models, and how to translate that into actions.

Last updated: 29 Oct 2025

What the latest says

  • Shift to scenario‑based IRRBB (beyond static shocks): path, basis, convexity overlays; integrate liquidity with interest‑rate scenarios.
  • Unify NII/EVE/CSRBB under one taxonomy with joint limits, early‑warning triggers, and ALCO escalation.
  • Behavioral model uplift: deposit betas/decay, prepayment/early redemption, product optionality; use real‑time MI for pricing/funding.
  • Operational gap in treasury: optimization advances but tooling/process automation often stalls—fix data, controls, and cadence.
  • Hedging playbooks: structural vs tactical hedging; collateral and funding‑cost optimization under board risk appetite.

Top challenges we see

Governance & TOM ALCO

Fragmented decision rights across treasury/risk/business; unclear CSRBB ownership and reporting.

Model & Data Risk

Deposit behavior & optionality not re‑calibrated post‑hikes; limited explainability; weak lineage/controls.

Execution Treasury

Slow hedge cycles and pricing feedback loops; manual processes; under‑utilized automation/AI.

Offerings (packaged)

  • IRRBB/CSRBB Diagnostics & Benchmarking — gap‑to‑policy/supervisory, peer markers, quick‑wins.
  • Model & Data Uplift — NII/EVE/CSRBB stack, deposit betas, optionality, scenario engines, lineage & controls.
  • Hedging & FTP Strategy — structural/tactical hedge playbooks, pricing guardrails, funds‑transfer refresh.
  • Treasury Operating Model Redesign — roles, limits, MI packs, automation roadmap.

90‑Day action plan

Action Value Owner
Stand up unified NII/EVE/CSRBB dashboard with EWIs & limit tree Single risk view; faster ALCO decisions; audit‑ready traceability Treasury & Risk
Rapid re‑calibration of deposit betas/decay & prepayment Better earnings sensitivity; targeted hedges; pricing discipline Risk Modelling
Scenario library: regulatory + internal (path/basis/convexity + CSRBB) Credible stress & reverse‑stress ties to management actions Risk & Treasury
Hedging playbook incl. triggers, envelopes, and governance Reduce earnings/EV volatility; improve cost of funds Treasury
TOM refresh: decision rights, committee cadence, RACI Speed & accountability; fixes survey‑flagged bottlenecks CFO/Treasury
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Note: This is a public summary. Client reports include detailed methods, KPIs, and implementation backlog.