Final draft adopted by the EBA and submitted to the European Commission
The Regulatory Technical Standards (RTS) on the interest rate risks for banking book (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 also provide a simplified approach for smaller and non-complex institutions.
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.
The European Banking Authority (EBA) published today a final set of Guidelines and two final draft Regulatory Technical Standards (RTS) specifying technical aspects of the revised framework capturing interest rate risks for banking book (IRRBB) positions. These regulatory products complete the onboarding into EU law of the Basel standards on IRRBB and are of crucial importance given the current interest rate environment. The EBA will also closely monitor their implementation and more generally the impact of the evolving interest rates on the management of IRRBB by EU institutions and on other related prudential aspects.
The Guidelines on IRRBB and credit spread risk arising from non-trading book activities (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 (SREP) published in 2018. While providing continuity to the current Guidelines, the updated Guidelines include new aspects, particularly the criteria to identify non-satisfactory internal models for IRRBB management and those to assess and monitor CSRBB. The EBA will closely scrutinise specific aspects of the Guidelines, this is in particular the case of the 5-year repricing maturity cap of non-maturity deposits, with a view to assess any potential unintended or undesirable effect, and the repricing approaches used in business lines and products. These Guidelines will apply from 30 June 2023, except for the part on CSRBB, which will apply from 31 December 2023.
The final draft RTS on the IRRBB standardised approach specify the criteria to evaluate the risks arising from potential changes in interest rates that affect both the economic value of equity (EVE) and the net interest income (NII) of an institution’s non-trading book activities. They will also provide a simplified standardised approach for smaller and non-complex institutions. To provide for more proportionality, the final draft RTS include adjusted thresholds for modelling behavioural assumptions to be used in combination with standardised constraints and assumptions. Going forward, the EBA will scrutinise the calibration of these thresholds.
The final draft RTS on IRRBB supervisory outlier tests (SOT) specify the modelling and parametric assumptions and the supervisory shock scenarios to identify institutions for which the EVE would decline by more than 15% of Tier 1 capital, as well as to evaluate if there is a large decline in the net interest income, that could trigger supervisory measures. The EBA will closely monitor several aspects, particularly the recalibrated lower bound in the SOT.
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. Once the updated Guidelines enter into force, the existing Guidelines will be repealed.
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.