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On 2 December 2021, the European Banking Authority (EBA) published consultation papers on interest rate risks for banking book (IRRBB) and credit spread risk arising from non-trading book activities (CSRBB). The consultation papers are relevant to all banks in the EU. Together with CRR II/CRD IV, they complete the regulatory framework for IRRBB and CSRBB. The consultation package comprises:

I. updated guidelines on internal IRRBB and CSRBB management, which are expected to replace EBA/GL/2018/02;

II. technical guidelines for the updated standard outlier test for the economic value of equity (EVE) and the introduction of a new outlier test and outlier criteria for the net interest income (NII) perspective;

III. technical guidelines for the introduction of two new standard models for the EVE and NII perspectives that can be ordered by supervisory bodies if internal procedures are considered inadequate.

Together with the new standards on IRRBB disclosure (EBA/ITS/2021/07), the papers will form the new basis for the measurement, management and disclosure of IRRBB and CSRBB. 

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The consultation phase ends as at 4 April 2022. Based on similar consultation papers, we expect the new guidelines to become effective towards the end of 2023.

In our whitepaper “New Consultation Papers on IRRBB and CSRBB with Significant Impact”, we analysed what the proposed changes concerning interest rate risks for banking book and credit spread risk arising from non-trading book activities specifically mean for the banks concerned. We go into detail on the updated guidelines on internal IRRBB and CSRBB management, the new technical standards for outlier tests and outlier criteria, and the standard models for present value and periodic interest rate risk. 

You can download our whitepaper here.

Please feel free to contact us if you have any questions about our publication or wish to discuss the effects of the new consultation package.

Our team of experienced experts in the Risk & Treasury division will be happy to help you optimally prepare for the new requirements. Whether for gap analysis, a CSRBB scope analysis for your bank or the application of our implemented standard models: We're the right people to help you on all aspects of interest rate risks and credit spread risks.

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