EBA IRRBB regulatory package: Key requirements
Between 2021 and 2023, the EBA comprehensively revised the regulation of interest rate risks in the banking book (IRRBB). This includes revised guidelines (October 2022), regulatory technical standards (RTS), and the final ITS reporting requirements of July 31, 2023. The requirements apply to all EU credit institutions.
Objectives of the IRRBB package:
- Harmonization of risk management and reporting standards in the EU
- Ensuring adequate interest rate risk management and sufficient capital backing
- Consistency, transparency, and comparability in the banking sector
The rules are based on experience gained from financial crises and the low interest rate phase; their importance became particularly apparent during the rapid rise in interest rates in 2022/2023.
Consistency between internal and external reporting:
The new ITS reporting requirements provide supervisors with high-quality data on IRRBB risks for each institution. This enables them to review both the interest rate risks incurred and the implementation of IRRBB requirements in risk management. Consistency between internal and external reporting is becoming increasingly important in this context.
Implementation in Germany:
On May 29, 2024, with the 8th MaRisk amendment, BaFin transposed the EBA requirements on IRRBB and CSRBB into German practice, in particular for “less significant institutions.”
We provide you with comprehensive support
The EBA's IRRBB requirements affect virtually every credit institution in the EU, albeit to varying degrees depending on their business model.
Interest rate risk in the banking book has been a core topic at msg for banking for many years. In addition to decades of consulting experience, we also have the right software products to ensure a comprehensive, consistent IRRBB solution from data integration to internal and external reporting. This enables us to offer you high-quality support from consulting to the right software from a single source.
Excel tool for calculating IRRBB interest rate scenarios – now also with recalibrated parameters
Our tool calculates the IRRBB interest rate scenarios defined by the Basel Committee and adopted by the EBA and national supervisory authorities for all relevant currencies – with graphical representation and import into our IRRBB software.
Continuously expanded since 2017, it now supports seven additional European currencies in addition to the original 21, as well as the parameters recalibrated in 2024. In addition, user-specific scenarios can be created according to predefined formulas.
The results are available in graphical, tabular, and csv formats – compatible with msg software products and the Open Risk and Reporting Platform (ORRP). New additions include additional interest terms of 9 and 18 months.
Your contact
advises on product strategy issues and is a specialist in IRRBB, CSRBB and liquidity risk.