Guide: IRRBB Guidelines from the European Banking Authority

Interest rate risk management is a core component of asset and liability management (ALM) for banking institutions and refers to the potential adverse impact on a bank’s earnings, capital, or overall financial health resulting from fluctuations in interest rates. Effective from the 30th of June 2023, the European Banking Authority (EBA) have issued revised guidelines on the management of interest rate risk, including the publication of a standardised methodology covering both economic value of equity (EVE) and net interest income (NII).  Stuart Fairley, Head of Client Experience at ALMIS International has prepared an overview of these guidelines and discusses what these mean to firms in the UK and how they compare to the current UK framework defined in the PRA rulebook. You can view his guide below:

At ALMIS International, we’re experts in bank asset liability management, regulatory reporting, hedge accounting and treasury management. Please get in touch to learn more about how we can help you with your firm’s approach to IRRBB.