On 2 December 2021, the European Banking Authority (EBA) issued three consultations covering technical aspects of the revised framework capturing interest rate risks for banking book (IRRBB) positions. Specifically, the consultations cover:
- Guidelines on IRRBB and credit spread risk arising from non-trading book activities (CSRBB). When finalised these guidelines 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. 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.
- Regulatory technical standards (RTS) on the IRRBB standardised approach specifying the criteria for the evaluation of IRRBB in case a competent authority decides its application in view of a non-satisfactory IRRBB internal system. The RTS also provide a simplified approach for smaller and non-complex institutions.
- RTS on IRRBB supervisory outlier tests that 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.
The draft RTS and guidelines have been developed on the basis of Article 84(5), 84(6) and 98(5a) of the Capital Requirements Directive IV. 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 deadline for comments on each of the consultations is 4 April 2022.