02 December 2021
The European Banking Authority (EBA) launched today three consultations specifying technical aspects of the revised framework capturing interest rate risks for banking book (IRRBB) positions. The first on draft Guidelines on IRRBB and credit spread risk arising from non-trading book activities (CSRBB); the second on draft Regulatory Technical Standards (RTS) on the IRRBB standardised approach; and the third on draft Regulatory Technical Standards (RTS) on the IRRBB supervisory outlier test. The consultations run until 4 April 2022.
The Guidelines on IRRBB and CSRBB will replace the current Guidelines on technical aspects of the management of interest rate risk arising from non-trading activities under the supervisory review process published in 2018. The updated Guidelines provide continuity to the current ones and include new aspects of the mandate. In particular, they specify the criteria to identify non-satisfactory internal models for IRRBB management and identify specific criteria to assess and monitor CSRBB.
The RTS on the IRRBB standardised approach specify the criteria for the evaluation of IRRBB in case a competent authority decides its application in view of a non-satisfactory IRRBB internal system. They will also provide a simplified approach for smaller and non-complex institutions.
The RTS on IRRBB supervisory outlier tests specify the supervisory shock scenarios as well as the criteria to evaluate if there is a large decline in the net interest income or in the economic value of equity that could trigger supervisory measures.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the respective consultation pages. Considering the concomitant publication of 3 different regulatory products on the same topic, the consultation period will exceptionally be of four months and will run until 4 April 2022. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will take place via conference call on 3 March 2022 at 9:30 CET.
These draft RTS and Guidelines have been developed on the basis of Article 84(5), 84(6) and 98(5a) of the Capital Requirements Directive CRD V). The updated IRRBB framework for the EU, including some mandates attributed to the EBA, have been developed using as a starting point the 2016 IRRBB Basel standards.