Several EBA working groups started drafting the guidelines and regulatory technical standards (RTS) for interest rate risk in the banking book (IRRBB) mandated in the CRD (Articles 84 and 98) in September 2020. The following papers are involved:
- Guidelines on IRRBB requirements and on credit spread risks in the banking book (CSRBB) with requirements for bank internal models under Pillar 2.
- RTS with four new supervisory standardised approaches
- RTS on the so-called supervisory outlier test (SOT)
The EBA published the final guidelines and the final drafts of the two RTS in October 2022. The entry into force of the requirements as well as the first application is expected to take place in the course of 2023 and 2024.