Eba’s New Requirements On CSRBB Management

CONTEXT

On 20 October 2022, the European Banking Authority (EBA) published new regulatory requirements on Interest Rate Risk and Credit Spread Risk in the Banking Book (IRRBB / CSRBB) aiming to finalise the implementation of Basel III requirements (BCBS368, Guidelines on IRRBB) in the European Union.

This Set Of Regulatory Requirementsis Composed Of 3 Papers:

1. The Guidelines on IRRBB and CSRBB (EBA/GL/2022/14), replacing current guidelinespublished in 2018;
2. The final draft Regulatory Technical Standards (RTS) on the IRRBB standardised approach (EBA/
   GL/2022/09); and
3. The final draft RTS on IRRBB supervisory outlier
   tests (EBA/GL/2022/10).

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