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Navigating the Complexities of IRRBB Reporting: From Regulatory Granularity to Strategic Insight

In recent years, regulatory expectations around Interest Rate Risk in the Banking Book (IRRBB) have steadily become more complex. As supervisors focus more closely on granular data, behavioural assumptions and consistency across reporting templates, banks are under increasing pressure to ensure the accuracy, traceability and efficiency of their IRRBB processes.

Below, we explore the most pressing challenges that banks face today and explain how a robust Treasury Management System (TMS) can transform these regulatory demands into strategic advantages.

1. The rising challenge of IRRBB reporting compliance

Meeting today’s IRRBB reporting requirements demands a high level of technical precision. The most demanding aspects include:

  • Detailed cash flow modelling to distinguish between fixed- and floating-rate instruments.
  • Behavioural modelling to accurately capture non-maturing deposits (NMDs), term deposits, fixed-rate loans and automatic options.
  • Derivatives reporting, including correct leg-level reporting for FX derivatives.
  • Enhanced instrument-level data capture, such as carrying amounts, duration, notional amounts and yields.
  • Template consistency — ensuring the same assumptions apply across different reporting templates.
  • Interpretation of complex requirements, such as regulatory definitions and reporting instructions (e.g. sign conventions).

Each of these requirements demands deep data transparency and the ability to consolidate information from multiple systems — a task which becomes exponentially more challenging as reporting granularity increases.

2. The impact of granular reporting requirements

The growing granularity of IRRBB reporting poses technical and operational challenges. Banks must report more data points in greater detail across templates that are governed by different modelling assumptions.

The principle of proportionality means that reporting templates differs across institutions: large institutions use the most comprehensive reporting templates, other institutions use moderate templates, and small and non-complex institutions (SNCIs) use simplified templates. However, even SNCIs are finding that meeting these standards is time-consuming and resource intensive. For many, the gap between regulatory expectations and available tools is widening.

3. Data quality: The hidden hurdle

Every IRRBB report is affected by data quality issues. Common issues include:

  • Accuracy: Is the reported data correct?
  • Completeness: Is all the required data captured?
  • Consistency: Are the same data definitions applied across systems and reports?
  • Timeliness: Can data be validated and delivered within strict regulatory deadlines?
  • Traceability: Can changes be tracked and audited throughout the data lifecycle?

Many of these issues can be mitigated by using a data warehouse (DWH) as a single source of truth, supported by well-designed automation, reconciliation and validation routines.

Having a single, unified data source improves quality and strengthens confidence in every report and decision made downstream.

4. Why Treasury Management Systems are now increasingly important

The growing complexity of IRRBB modelling and reporting is prompting a move towards all-encompassing, integrated TMS. A modern TMS enables banks to:

  • Maintain a single data source that supports consistency, auditability and automation.
  • Streamline template population and extraction, saving time for analysis rather than manual data handling.
  • Support multiple modelling assumptions and scenarios across templates with less operational friction.
  • Reduce data risk and dependency on key individuals by automating data collection and transformation processes.

Ultimately, a TMS enables treasury and risk teams to spend less time on data management and more time interpreting results, validating models and understanding risk exposure.

5. Beyond compliance: Strategic value from IRRBB insights

Using a TMS for IRRBB purposes offers many benefits that extend well beyond regulatory reporting.

  • Deeper risk analysis leads to a better understanding of risk and more effective hedging strategies.
  • Improved management decision support enables further insights into the impact of interest rate changes on profitability, funding costs and balance sheet structure.
  • Proactive risk monitoring: daily calculation capabilities enhance limit tracking and governance.

In short, when IRRBB analysis becomes a daily capability rather than a monthly exercise, it evolves from a mere compliance obligation into a valuable strategic asset.

6. Building synergies across the regulatory landscape

Once granular banking book data has been integrated into a TMS for IRRBB, the same dataset can be used for other regulatory and liquidity metrics, including LCR, NSFR and ALMM.

This granular, instrument-level data allows for a bottom-up approach to liquidity risk management, replacing the less precise top-down and pro-rata methods that are still used by many institutions.

The cross-utilisation of data creates efficiency and consistency, helping banks to align their regulatory, risk and strategic reporting within a single coherent framework.

Turning compliance into opportunity

As IRRBB reporting becomes more complex and extensive, banks that invest in integrated data and treasury management capabilities are setting themselves up for more than just compliance.

They are also laying the groundwork for real-time insights, data-driven decision-making and a more strategic approach to balance sheet management.

Turn IRRBB complexity into clarity

Watch On-Demand Webinar:

IRRBB Regulatory Readiness and Strategic Value

Banks across Europe are facing increasingly complex regulatory and data requirements under the evolving IRRBB framework. In this webinar, we discuss the most common challenges in meeting today’s reporting expectations — from detailed cashflow and behavioural modelling to ensuring data quality and consistency across templates.

Discover how institutions of all sizes can address issues of granularity, proportionality, and data validation — and learn practical ways to strengthen accuracy, completeness, and traceability in IRRBB reporting.

Watch on-demand to gain insights into how your bank can turn regulatory complexity into structured, actionable reporting.

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