On 20 October 2022, the European Banking Authority (EBA) published a new package of guidelines and technical standards on interest rate risk and credit spread risk in the banking book. The guidelines are relevant for all banks in the EU. They complete - in line with CRR II / CRD IV - the regulatory framework for interest rate risk (IRRBB) and credit spread risk in the banking book (CSRBB). The regulatory package comprises the following:

1. an updated guideline on the internal management of IRRBB and CSRBB, which replaces EBA/GL/2018/02,
2. technical guidance on the update of the standard outlier test for the Economic Value of Equity (EVE) and the introduction of a new outlier test and outlier criterion for the Net Interest Income (NII) perspective,
3. technical guidelines for the introduction of two new standard models for the EVE and NII perspectives, which can be ordered by the supervisory authorities if the internal procedures are deemed inadequate.

Together with the new guideline on the disclosure of IRRBB (EBA/ITS/2021/07), the papers form the new basis for the measurement, management and disclosure of IRRBB and CSRBB.

The internal risk management requirements for IRRBB must be implemented by 30 June 2023. The deadline for the CSRBB requirements is 6 months longer, until 31 December 2023. The new standard outlier tests for EVE and NII come into force 20 days after adoption by the EU Commission and publication in the Official Journal of the European Union.

We have summarised what the finalised EBA package on interest rate and credit spread risks in the banking book means in detail for affected banks in our white paper "New guidelines on IRRBB and CSRBB with significant impact".

If you have any questions about our publication and/or would like to discuss the impact, risks and costs of the new consultation package for your bank, please do not hesitate to contact us.

Our team of experienced Risk & Treasury experts will be happy to help you prepare for the new requirements, take key measures to minimise risks and establish new standards. Whether you are planning to carry out a gap analysis, want to set up a standard process for the CSRBB scope analysis or are planning to apply the new standard models, you have come to the right place for all topics relating to interest rate risks and credit spread risks.