{"id":25507,"date":"2022-12-01T09:00:00","date_gmt":"2022-12-01T13:00:00","guid":{"rendered":"https:\/\/gestionderiesgo.org\/?p=25507"},"modified":"2026-10-12T21:03:42","modified_gmt":"2026-10-13T01:03:42","slug":"deloitte-documentos-finales-irrbb-eba-diciembre-2022","status":"publish","type":"post","link":"https:\/\/gestionderiesgo.org\/en\/deloitte-documentos-finales-irrbb-eba-diciembre-2022\/","title":{"rendered":"Final EBA documents on IRRBB: management of interest rate risk in non-trading activities"},"content":{"rendered":"<div class=\"fusion-fullwidth fullwidth-box fusion-builder-row-1 fusion-flex-container nonhundred-percent-fullwidth non-hundred-percent-height-scrolling\" 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.cgp-cover.cgp-doc{aspect-ratio:4\/3}#cgr-pub .cgp-head{grid-template-columns:minmax(0,1fr);gap:26px}#cgr-pub .cgp-body{grid-template-columns:minmax(0,1fr);gap:30px}#cgr-pub .cgp-side{position:static}}\n@media(max-width:520px){#cgr-pub{font-size:16px}#cgr-pub .cgp-facts{grid-template-columns:minmax(0,1fr)}#cgr-pub .cgp-btn{width:100%;justify-content:center}}\n<\/style>\n<div id=\"cgr-pub\">\n<header class=\"cgp-head\">\n<figure class=\"cgp-cover cgp-doc\"><i style=\"background-image:url(https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-deloitte-documentos-finales-irrbb-eba-diciembre-2022.jpg?v=1791456242)\"><\/i><img fetchpriority=\"high\" src=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-deloitte-documentos-finales-irrbb-eba-diciembre-2022.jpg?v=1791456242\" width=\"720\" height=\"405\" alt=\"Primera p\u00e1gina del documento: Documentos finales sobre IRRBB de la EBA: gesti\u00f3n del riesgo de tipo de inter\u00e9s en actividades distintas a las de negociaci\u00f3n\" loading=\"eager\" decoding=\"async\"><\/figure>\n<div class=\"cgp-intro\">\n<p class=\"cgp-kind\">Technical note \u00b7 Consulting firm<\/p>\n<h2 class=\"cgp-title\">Final EBA documents on IRRBB: management of interest rate risk in non-trading activities<\/h2>\n<p class=\"cgp-lead\">The note summarizes how the EBA completed its IRRBB framework with a new guideline and technical standards in 2022.<\/p>\n<dl class=\"cgp-facts\"><div><dt>Organization<\/dt><dd>Deloitte Advisory<\/dd><\/div><div><dt>Document date<\/dt><dd>December 2022<\/dd><\/div><div><dt>Type<\/dt><dd>Technical note<\/dd><\/div><div><dt>Language<\/dt><dd>Spanish<\/dd><\/div><div><dt>Scope<\/dt><dd>European Union<\/dd><\/div><div><dt>Length<\/dt><dd>26 pages<\/dd><\/div><\/dl>\n<div class=\"cgp-actions\"><a class=\"cgp-btn\" href=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2023\/02\/Novedades_IRRBB_Noviembre_2022.pdf\" target=\"_blank\" rel=\"noopener noreferrer\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M7 3h7l5 5v12a1 1 0 0 1-1 1H7a1 1 0 0 1-1-1V4a1 1 0 0 1 1-1z\"\/><path d=\"M14 3v5h5\"\/><path d=\"M9 14h6\"\/><path d=\"M9 17h4\"\/><\/svg>Open the note (PDF hosted on this site)<\/a><\/div>\n<\/div>\n<\/header>\n<div class=\"cgp-body\">\n<div class=\"cgp-main\">\n<h3>What it contains<\/h3>\n<p>The Deloitte Advisory presentation (Madrid, December 2022) summarizes the EBA\u2019s 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.<\/p><p>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.<\/p><p>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.<\/p>\n<section class=\"cgp-importa\"><h3>Why it matters for risk management<\/h3><p>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\u2019s shocks is summarized in another entry in this library.<\/p><\/section>\n<p class=\"cgp-aviso\">No official page for this note was found; the copy that the Club originally published on this site is linked.<\/p><p class=\"cgp-note\">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.<\/p>\n<p class=\"cgp-back\"><a href=\"\/en\/publicaciones\/\">See all publications<\/a><\/p>\n<\/div>\n<aside class=\"cgp-side\">\n<section class=\"cgp-card\"><h3>Key points<\/h3><ul class=\"cgp-points\"><li>Five blocks: regulatory evolution, IRRBB and CSRBB guidelines, standardised and simplified method, outlier test and disclosure.<\/li><li>October 2022 guideline: IRRBB from June 2023 and CSRBB from December 2023.<\/li><li>Internal methods must cover gap, basis and optionality risk.<\/li><li>They require calibration, backtesting, independent validation and documented governance.<\/li><li>If the supervisor\u2019s expectations are not met, the standardised method applies.<\/li><\/ul><\/section>\n<section class=\"cgp-card\"><h3>How to cite it<\/h3><p class=\"cgp-cite\">Deloitte Advisory (2022). Final EBA documents on IRRBB: management of interest rate risk in non-trading activities. Madrid: Deloitte Advisory, S.L., December 2022.<\/p><\/section>\n<section class=\"cgp-card\"><h3>Topics<\/h3><ul class=\"cgp-chips\"><li><a href=\"\/en\/publicaciones\/?tema=riesgo-de-mercado-y-liquidez\">Market and liquidity risk<\/a><\/li><li><a href=\"\/en\/publicaciones\/?tema=normativa-y-gobierno-corporativo\">Regulation and corporate governance<\/a><\/li><\/ul><\/section>\n<\/aside>\n<\/div>\n<\/div><link rel=\"stylesheet\" href=\"https:\/\/fonts.googleapis.com\/css2?family=Zilla+Slab:wght@500;600&display=swap\">\n<footer id=\"cgr-foot\" aria-label=\"Footer of the Risk Management Club\">\n<style>\n#main{padding-bottom:0!important}\n.fusion-fullwidth:has(#cgr-foot),.fusion-layout-column:has(#cgr-foot){padding-bottom:0!important;margin-bottom:0!important}\n#cgr-foot{--navy:#0E3351;--blue:#186392;--web:#1A80B6;--red:#E22A3A;--ink:#1C2632;--slate:#5B6775;--line:#D9E1EA;--mist:#F2F5F8;\n  position:relative;margin:96px 0 0;padding:0;background:var(--mist);box-shadow:0 0 0 100vmax 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Tiradentes at the corner of Presidente Gonz\u00e1lez, Ensanche Naco, Santo Domingo<\/span><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M5 4h4l2 5-2.5 1.5a11 11 0 0 0 5 5L15 13l5 2v4a2 2 0 0 1-2 2A16 16 0 0 1 3 6a2 2 0 0 1 2-2\"\/><\/svg><span><a href=\"tel:+18097453289\">809-745-3289<\/a><br><a href=\"tel:+18494774959\">849-477-4959<\/a><a class=\"cgf-wa\" href=\"https:\/\/wa.me\/18494774959\" target=\"_blank\" rel=\"noopener\" aria-label=\"Escribir por WhatsApp al 849-477-4959 (se abre en una pesta\u00f1a nueva)\" title=\"WhatsApp\"><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><path d=\"M17.472 14.382c-.297-.149-1.758-.867-2.03-.967-.273-.099-.471-.148-.67.15-.197.297-.767.966-.94 1.164-.173.199-.347.223-.644.075-.297-.15-1.255-.463-2.39-1.475-.883-.788-1.48-1.761-1.653-2.059-.173-.297-.018-.458.13-.606.134-.133.298-.347.446-.52.149-.174.198-.298.298-.497.099-.198.05-.371-.025-.52-.075-.149-.669-1.612-.916-2.207-.242-.579-.487-.5-.669-.51-.173-.008-.371-.01-.57-.01-.198 0-.52.074-.792.372-.272.297-1.04 1.016-1.04 2.479 0 1.462 1.065 2.875 1.213 3.074.149.198 2.096 3.2 5.077 4.487.709.306 1.262.489 1.694.625.712.227 1.36.195 1.871.118.571-.085 1.758-.719 2.006-1.413.248-.694.248-1.289.173-1.413-.074-.124-.272-.198-.57-.347m-5.421 7.403h-.004a9.87 9.87 0 01-5.031-1.378l-.361-.214-3.741.982.998-3.648-.235-.374a9.86 9.86 0 01-1.51-5.26c.001-5.45 4.436-9.884 9.888-9.884 2.64 0 5.122 1.03 6.988 2.898a9.825 9.825 0 012.893 6.994c-.003 5.45-4.437 9.884-9.885 9.884m8.413-18.297A11.815 11.815 0 0012.05 0C5.495 0 .16 5.335.157 11.892c0 2.096.547 4.142 1.588 5.945L.057 24l6.305-1.654a11.882 11.882 0 005.683 1.448h.005c6.554 0 11.89-5.335 11.893-11.893a11.821 11.821 0 00-3.48-8.413Z\"\/><\/svg><\/a><\/span><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><rect x=\"3\" y=\"5\" width=\"18\" height=\"14\" rx=\"2\"\/><path d=\"m3.5 6.5 8.5 6.5 8.5-6.5\"\/><\/svg><a href=\"mailto:info@gestionderiesgo.org\">info@gestionderiesgo.org<\/a><\/li>\n      <li><svg viewbox=\"0 0 24 24\" aria-hidden=\"true\"><circle cx=\"12\" cy=\"12\" r=\"9\"\/><path d=\"M12 7v5l3 2\"\/><\/svg><span>Monday to Thursday, 8:30 a.m. to 5:30 p.m.<br>Friday, 8:30 a.m. to 5:00 p.m.<\/span><\/li>\n    <\/ul>\n  <\/div>\n<\/div>\n\n<div class=\"cgf-bar\">\n  <div class=\"cgf-legal\"><img decoding=\"async\" class=\"cgf-pay\" src=\"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2023\/01\/Verified.png\" alt=\"Verified by Visa y Mastercard ID Check\" width=\"101\" height=\"34\" loading=\"lazy\"><p>\u00a9 2026 Gesti\u00f3n de Riesgo RD, SRL. All rights reserved.<\/p><\/div>\n  <nav class=\"cgf-pol\" aria-label=\"Policies\">\n    <a href=\"\/en\/politicasdeprivacidad\/\">Privacy<\/a><a href=\"\/en\/terminos-y-condiciones-2\/\">Terms and Conditions<\/a><a href=\"\/en\/politicas-de-entrega\/\">Delivery<\/a><a href=\"\/en\/politicas-de-cancelacion\/\">Cancellation<\/a><a href=\"\/en\/politicas-de-devolucion\/\">Returns<\/a><a href=\"\/en\/politicas-de-reembolso\/\">Refunds<\/a><a href=\"\/en\/politicas-de-seguridad\/\">Security<\/a><a href=\"\/en\/preguntas-frecuentes\/\">Frequently asked questions<\/a>\n  <\/nav>\n<\/div>\n<\/footer>\n\n<style>#cgr-foot .cgf-ct li a.cgf-wa{display:inline-flex;vertical-align:middle;margin-left:8px}#cgr-foot .cgf-ct li a.cgf-wa svg{width:18px;height:18px;margin:0;fill:#25D366;stroke:none}<\/style><\/div><\/div><\/div><\/div>","protected":false},"excerpt":{"rendered":"<p>Deloitte Advisory presentation on the EBA\u2019s developments in interest rate risk in the banking book (IRRBB and CSRBB): regulatory evolution, guidelines, standardised method, supervisory outlier test and disclosure.<\/p>","protected":false},"author":1,"featured_media":25588,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":true,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"cgp_org":"Deloitte Advisory","cgp_siglas":"Deloitte","cgp_tipo":"Nota t\u00e9cnica","cgp_fecha":"2022-12-01","cgp_url":"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2023\/02\/Novedades_IRRBB_Noviembre_2022.pdf","cgp_pdf":"","cgp_idioma":"Espa\u00f1ol","cgp_pais":"Uni\u00f3n Europea","cgp_temas":"Riesgo de mercado y liquidez,Normativa y gobierno corporativo","cgp_portada":"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-deloitte-documentos-finales-irrbb-eba-diciembre-2022.jpg","cgp_verificado":"2026-10-07","cgp_origen":"migrada","cgp_fuente":"Consultora","cgp_paginas":"26","cgp_autores":"","cgp_fecha_texto":"Diciembre de 2022","cgp_portada_tipo":"doc","_jetpack_memberships_contains_paid_content":false,"footnotes":""},"categories":[74],"tags":[],"class_list":["post-25507","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-publicaciones-del-sector"],"jetpack_sharing_enabled":true,"jetpack_featured_media_url":"https:\/\/gestionderiesgo.org\/wp-content\/uploads\/2026\/10\/pub-deloitte-documentos-finales-irrbb-eba-diciembre-2022.jpg","_links":{"self":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25507","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/comments?post=25507"}],"version-history":[{"count":5,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25507\/revisions"}],"predecessor-version":[{"id":26332,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/posts\/25507\/revisions\/26332"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/media\/25588"}],"wp:attachment":[{"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/media?parent=25507"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/categories?post=25507"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/gestionderiesgo.org\/en\/wp-json\/wp\/v2\/tags?post=25507"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}