The European Banking Authority (EBA) published three new consultation papers on interest rate risks for banking book positions (IRRBB) and credit spread risk arising from non-trading book activities (CSRBB) on 2 December 2021. These consultation papers are relevant for all banks within the EU. In line with the inclusion of interest rate and credit spread risks in the ECB’s supervisory priorities for 2022-2024, the new publications emphasise the (continuing) high importance of IRRBB and CSRBB.
The consultation papers include new requirements which will have a significant impact on banks in forthcoming years. In this webcast we inform about key insights from the consultation package and address aspects that need to be considered to implement the future requirements.