Regulatory Technical Standards on IRRBB supervisory outlier tests

Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission

The Regulatory Technical Standards (RTS) on the interest rate risks for banking book (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.

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Summary of document history

Previous versions Current version Ongoing versions

Draft Regulatory Technical Standards on IRRBB supervisory outlier tests (SOT)

Status: In force
Application date: 14/05/2024
Compliance deadline:

Documents

Final draft RTS on IRRBB supervisory outlier tests (SOT)

(1.12 MB - PDF) Last update 20 October 2022

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Opinion on regulatory technical standards on supervisory outlier tests

(362.17 KB - PDF) Last update 26 April 2023

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Press release

EBA publishes final standards and guidelines on interest rate risk arising from non-trading book activities

20 October 2022

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.

EBA updates on the definition of a large decline of net interest income in relation to the interest rate risk in the banking book

27 April 2023

The European Banking Authority (EBA) published today an Opinion in response to the EU Commission’s amendments relating to the draft Regulatory Technical Standards (RTS) on the supervisory outlier tests (SOT) specifying technical aspects of the revised framework on interest rate risks for banking book (IRRBB) positions. The EBA confirms its close scrutiny on the implementation of the IRRBB regulatory products and more generally on the impact of the evolving interest rates on the management of IRRBB by EU institutions and on other related prudential aspects.

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