New EBA regulatory package on IRRBB and CSRBB

On 20 October 2022, the European Banking Authority (EBA) published a set of new regulatory requirements on interest rate risks for banking book (IRRBB) and credit spread risk arising from non-trading book activities (CSRBB). The new Guidelines and Technical Standards are applicable to all banks in the EU. 

Together with CRR II/CRD IV, they complement the regulatory framework for IRRBB and CSRBB. The consultation package comprises:

I. updated Guidelines on internal IRRBB and CSRBB management, which replace EBA/GL/2018/02;

II. technical guidelines for the updated standard outlier test for the economic value of equity (EVE) and the introduction of a new outlier test and outlier criteria for the net interest income (NII) perspective;

III. technical guidelines for the introduction of two standard models for the EVE and NII perspectives that can be ordered by supervisory bodies if internal procedures are considered inadequate.

The implementation deadline for the requirements on the internal risk management of IRRBB is 30 June 2023. For CSRBB, the EBA has set a later implementation deadline (31 December 2023). The new standard outlier tests for EVE and NII will take effect 20 days after confirmation by the EU Commission and subsequent publication in the Official Journal of the European Union.

In our whitepaper “New regulatory package on IRRBB and CSRBB with Significant Impact”, we have analysed how the banks in scope will be impacted by the proposed changes concerning interest rate risks for banking book and credit spread risk arising from non-trading book. 

You can download our whitepaper here. 

Please feel free to contact us if you have any questions about our publication or wish to discuss the effects of the new consultation package.

Our team of experienced experts on Risk & Treasury will be happy to help you prepare for the new requirements. Whether you are looking to perform a gap analysis, set up a CSRBB scope analysis for your bank or implement the new standard models, we are the right people to support you with all aspects of interest rate risks and credit spread risks.