Finalisation of IRRBB and CSRBB Regulation on European Level

Background

On 20 October 2022, the European Banking Authority (EBA) published the final versions of the new guidelines for the management of interest rate and credit spread risks in the banking book (IRRBB / CSRBB), as well as the final drafts of the Regulatory Technical Standards (RTS) on standardized methodologies of IRRBB and on the IRRBB supervisory outlier tests. The EBA's update of the guidelines constitutes the final implementation of the IRRBB requirements on European level as formulated by the Basel Committee and formally mandated by the CRD V regulatory framework.

Content

This whitepaper presents all the main changes compared to the consultation papers.