Consultation of the new standards for IRRBB and CSRBB

New regulatory requirements for interest rate risk and credit spread risk in the banking book

On December 2, 2021, the EBA published the eagerly awaited consultation versions of the new guidelines on Interest Rate Risk in the Banking Book (IRRBB), including the requirements on Credit Spread Risk in the Banking Book (CSRBB), and the two Regulatory Technical Standards (RTS) on standard methodologies and the outlier test as mandated by CRD5. The three published papers contain comprehensive innovations and represent the final step in the implementation of the Basel requirements from 2016.

This white paper presents the main innovations of the consultation papers and explains changes to the guidance on IRRBB and CSRBB, the IRRBB standardardised methodologies for the EVE and NII views, and the supervisory outlier tests.