EBA Guidelines on IRRBB and CSRBB
Today marks an important milestone in the context of IRRBB (Interest Rate Risk in the Banking Book) as the IRRBB elements of EBA Guidelines EBA/GL/2022/14 on IRRBB and CSRBB (Credit Spread Risk in the Banking Book) enter into force. In October 2022, the EBA published the final version of its new Guidelines on IRRBB and CSRBB. The Guidelines update and replace the previous EBA Guidelines EBA/GL/2018/02 on IRRBB, with main changes and additions in the following areas:
- Extended definition of NII: NII plus market value changes
- Updated IRRBB requirements
- New comprehensive CSRBB requirements
The requirements in the IRRBB Guidelines apply from today and the new comprehensive requirements for CSRBB apply from 31 December 2023. It is important to note that the CSRBB requirements are being introduced later to allow time for market participants to adapt to the new and enhanced rules. The IRRBB part, on the other hand, largely includes updates of already existing requirements from the previous EBA guidelines on IRRBB.
Alongside the publication of the new guidelines on IRRBB and CSRBB, the EBA also published two new Regulatory Technical Standards (RTS) in the area of IRRBB. The first one concerns a standardised methodology for the calculation of IRRBB, while the second one focuses on an outlier test (SOT) for IRRBB. These RTSs have not yet been formally adopted by the European Commission, but are expected to enter into force in 2024.
Next Steps
NFC has extensive experience in both IRRBB and CSRBB. Our advice to our clients is to ensure that they comply with the new IRRBB requirements and at the same time start preparing to deal with the more extensive CSRBB requirements. Read more about our risk modelling and model validation services or contact us if you have any questions regarding the new EBA guidelines on IRRBB and CSRBB or the upcoming RTSs.
