Technical note · Consulting firm
Final EBA documents on IRRBB: management of interest rate risk in non-trading activities
The note summarizes how the EBA completed its IRRBB framework with a new guideline and technical standards in 2022.
- Organization
- Deloitte Advisory
- Document date
- December 2022
- Type
- Technical note
- Language
- Spanish
- Scope
- European Union
- Length
- 26 pages
What it contains
The Deloitte Advisory presentation (Madrid, December 2022) summarizes the EBA’s final documents on the management of interest rate risk in non-trading activities. It is organized into five blocks: regulatory evolution, the IRRBB and CSRBB guidelines, the standardised and simplified methodology, the supervisory outlier test (SOT) and disclosure requirements.
On regulatory evolution it recalls that the application of the 2016 Basel standards in the EU took place in two phases: the first, after the publication of the 2013 CRD and CRR and the EBA guidelines of 2018; the second, from 2019 with the banking package (CRD V and CRR II), with general application of IRRBB in June 2021. The new guideline on the management of IRRBB and of credit spread risk in the banking book (CSRBB), of October 2022, takes effect in June 2023 for IRRBB and in December 2023 for CSRBB, together with the technical standards on the SOT and on the standardised and simplified methods.
The presentation explains the eligibility criteria for the internal system: internal methods must cover the material components of risk (gap, basis and optionality risk), be calibrated, backtested and reviewed with appropriate frequency, and have governance and documentation. They must be validated independently of the developer, presented to senior management and have triggers for corrective action. If those expectations are not met, the standardised method must be used.
Why it matters for risk management
It is a good summary of supervisory expectations on IRRBB measurement and governance, useful for asset-liability management and market risk teams. It corresponds to 2022 EU regulation; the 2024 update of Basel’s shocks is summarized in another entry in this library.
No official page for this note was found; the copy that the Club originally published on this site is linked.
Summary prepared by the Dominican Republic Risk Management Club from a reading of the original document, with the source verified on 7 October 2026. It does not replace reading the official text and is not advice.
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