Guidelines on IRRBB and CSRBB

  • Status: Final and translated into the EU official languages

The Guidelines on interest rate risks for banking book (IRRBB) and credit spread risk arising from non-trading book activities (CSRBB) replace the 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.

Summary of document history

Previous versions Current version Ongoing versions

Final report on Guidelines on IRRBB and CSRBB

  • Status: Applicable
  • Application date:
  • Compliance deadline:
Documents
Guidelines on IRRBB and CSRBB

(1.04 MB - PDF) Last update 28 February 2023

EBA GL 2022 14 - GLs on IRRBB and CSRBB.xlsx

(49.89 KB - Excel Spreadsheet) Last update 25 July 2023

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