What EU Interest Rate Risk in the Banking Book (IRRBB) - BCBS Standards 368 and EBA Guidelines requires
IRRBB standards (BCBS April 2016 and EBA/GL/2018/02) require banks to measure, manage, and report interest rate risk in the banking book using Economic Value of Equity (EVE) and Net Interest Income (NII) metrics under 6 prescribed shock scenarios; a supervisory outlier test flags banks where EVE declines by >15% of Tier 1 capital or >20% (EBA threshold) triggering mandatory review.
Pillar: Banking & Global Finance · Authority: Basel Committee on Banking Supervision (BCBS); European Banking Authority (EBA Guidelines EBA/GL/2018/02); European Central Bank (ECB SREP Process) · Version: 2024.1.0 · Last updated:
Primary source: https://www.bis.org/bcbs/publ/d368.pdf
SHA-256 integrity: 2724b687c4411f3281e5a2a63ccf56914746b3109e512b197aea5814395a7482
Primary Citations — 5 traced to source
- Principle 4 (internal measurement systems), Principle 5 (SOT), Annex 2 (shock scenario calibration), Principle 8 (disclosure) — Principle 4 (internal measurement systems), Principle 5 (SOT), Annex 2 (shock scenario calibration), Principle 8 (disclosure)
- Guideline 4 (NMD modelling); Guideline 5 (EVE/NII measurement); Guideline 6 (SOT 20% threshold); Guideline 8 (Pillar 3) — Guideline 4 (NMD modelling); Guideline 5 (EVE/NII measurement); Guideline 6 (SOT 20% threshold); Guideline 8 (Pillar 3)
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