Transcription of EBA’s final IRRBB guidelines: What it means for firms? - PwC
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EBA’s final IRRBB guidelines: What it means for firms? - PwC
Rr August 2018 Hot topic EBA s final IRRBB guidelines : what does it mean for firms? Background and timeline of developments In April 2016 the Basel Committee on Banking Supervision (BCBS) published updated standards o n I RRBB, substantially increasing the rigour required throughout the interest rate risk management process in the non-trading bo ok. Fo llowing a consultation process, the EBA took the first step toward implementing these standards at the EU level by publishing the final IRRBB guidelines on 1 9 July 2018. In addition to these guidelines , the EBA also plans to publish a number of technical standards after the finalisatio n o f CRD5 / CRR2. The IRRBB framework IRRBB refers to the current or prospective risk to banks capital and earnings arising from adverse movements in interest rates that affect banking book positions.
ICAAP processes. The EBA expects firms to identify their existing and prospective exposure to IRRBB in a proportionate manner, depending on the level, complexity and riskiness of their banking book positions. Despite this expectation, the step up from the 2015 to the latest guidelines may require significant development in
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