Uploaded June 2026 | Updated September 2026, 2 weeks ago
Interest-Rate Risk in the Banking Book (IRRBB) is the risk to a bank’s earnings and capital from movements in interest rates affecting banking-book positions. In Part II of the UBA UK Treasury Management Series, Professor Moorad Choudhry explains how banks should identify, measure and manage IRRBB in practice — drawing on BCBS 368, the EBA guidelines and the lessons of the 2023 bank failures.
Moderated by Shilpa Mecca, Head of Financial Institutions at UBA UK, this session breaks down the two core regulatory metrics — NII (earnings risk) and EVE (economic-value risk) — and the practical choices an ALCO has to make when the two pull in different directions.
⏱ Chapters
00:00 Welcome & introduction to UBA UK
06:00 What this session covers: IRRBB, BCBS 368 & the 2023 failures
11:00 Why IRRBB is still debated 10 years after the Basel guidance
17:00 Definitions: IRRBB, the banking book & hedge accounting
21:00 The regulatory framework — Basel, EBA & Pillar 2A
26:00 The five risk types: gap, basis, CSRBB & optionality
32:00 The two metrics: NII (earnings) vs EVE (economic value)
41:00 Standardised shocks & the parallel-shift assumption
53:00 Worked example: reading NII and EVE together
01:36:00 A one-slide ALCO risk dashboard you can copy
01:39:00 Closing thought: why Prof. Choudhry prioritises earnings over EVE
01:43:00 Live Q&A: NMD behavioural analysis, capital in EVE & more
🔑 Key takeaways
• IRRBB is not an intellectual challenge — it is a data-analytics one; the maths is arithmetic.
• NII captures a forward-looking earnings view (Prof. Choudhry favours a 12-month horizon); EVE is a present-value snapshot for today only.
• Parallel yield-curve shifts never happen in reality — always read EVE alongside a non-parallel (steepener) scenario.
• In an uncertain rate environment, the ALCO’s first job is to stabilise NII, not to take a view.
• Liquidity risk can kill you in a weekend; getting IRRBB wrong takes far longer - so be conservative with behavioural NMD assumptions used for liquidity.
📘 Speaker: Professor Moorad Choudhry is a leading authority on treasury, asset-liability management and bank balance-sheet management, and author of The Principles of Banking.
🏦 About UBA UK: UBA UK is a wholly owned subsidiary of UBA Plc, one of Africa’s leading financial institutions, present in 20 African countries with operations in the US, UK, France and the UAE. We serve as a strategic hub connecting global financial institutions to Africa’s markets through trade finance, corporate banking and treasury solutions.
👉 Part III of the series — Artificial Intelligence (AI) and Bank Balance Sheet Management — takes place on 30 July 2026. Subscribe and turn on notifications so you don’t miss it.
#IRRBB #InterestRateRisk #BankTreasury #ALM #ALCO #BalanceSheetManagement #BCBS368 #NetInterestIncome #EconomicValueOfEquity #BankingBook #Basel3 #RiskManagement #UBAUK #MooradChoudhry #TreasuryManagement
Interest-Rate Risk in the Banking Book (IRRBB) is the risk to a bank’s earnings and capital from movements in interest rates affecting banking-book positions. In Part II of the UBA UK Treasury Management Series, Professor Moorad Choudhry explains how banks should identify, measure and manage IRRBB in practice — drawing on BCBS 368, the EBA guidelines and the lessons of the 2023 bank failures.
Moderated by Shilpa Mecca, Head of Financial Institutions at UBA UK, this session breaks down the two core regulatory metrics — NII (earnings risk) and EVE (economic-value risk) — and the practical choices an ALCO has to make when the two pull in different directions.
⏱ Chapters
00:00 Welcome & introduction to UBA UK
06:00 What this session covers: IRRBB, BCBS 368 & the 2023 failures
11:00 Why IRRBB is still debated 10 years after the Basel guidance
17:00 Definitions: IRRBB, the banking book & hedge accounting
21:00 The regulatory framework — Basel, EBA & Pillar 2A
26:00 The five risk types: gap, basis, CSRBB & optionality
32:00 The two metrics: NII (earnings) vs EVE (economic value)
41:00 Standardised shocks & the parallel-shift assumption
53:00 Worked example: reading NII and EVE together
01:36:00 A one-slide ALCO risk dashboard you can copy
01:39:00 Closing thought: why Prof. Choudhry prioritises earnings over EVE
01:43:00 Live Q&A: NMD behavioural analysis, capital in EVE & more
🔑 Key takeaways
• IRRBB is not an intellectual challenge — it is a data-analytics one; the maths is arithmetic.
• NII captures a forward-looking earnings view (Prof. Choudhry favours a 12-month horizon); EVE is a present-value snapshot for today only.
• Parallel yield-curve shifts never happen in reality — always read EVE alongside a non-parallel (steepener) scenario.
• In an uncertain rate environment, the ALCO’s first job is to stabilise NII, not to take a view.
• Liquidity risk can kill you in a weekend; getting IRRBB wrong takes far longer - so be conservative with behavioural NMD assumptions used for liquidity.
📘 Speaker: Professor Moorad Choudhry is a leading authority on treasury, asset-liability management and bank balance-sheet management, and author of The Principles of Banking.
🏦 About UBA UK: UBA UK is a wholly owned subsidiary of UBA Plc, one of Africa’s leading financial institutions, present in 20 African countries with operations in the US, UK, France and the UAE. We serve as a strategic hub connecting global financial institutions to Africa’s markets through trade finance, corporate banking and treasury solutions.
👉 Part III of the series — Artificial Intelligence (AI) and Bank Balance Sheet Management — takes place on 30 July 2026. Subscribe and turn on notifications so you don’t miss it.
#IRRBB #InterestRateRisk #BankTreasury #ALM #ALCO #BalanceSheetManagement #BCBS368 #NetInterestIncome #EconomicValueOfEquity #BankingBook #Basel3 #RiskManagement #UBAUK #MooradChoudhry #TreasuryManagement
