In April 2016, the Basel Committee on Banking Supervision (BCBS) published the Standards on Interest Rate Risk in the Banking Book (IRRBB).
The forthcoming Capital Requirements Directive (CRD 5) and Capital Requirements Regulation (CRR 2) implement the BCBS Standards in the regulatory framework of the European Union. The final text of the so-called Risk Reduction Measures (RRM) package including CRD 5 / CRR 2 was adopted by the European Parliament in mid-April 2019 and will need to be applied in two years.
CRD 5 mandates the European Banking Authority (EBA) to complement the directive by drafting Regulatory Technical Standards (RTS) to submit to the European Commission or by issuing guidelines within one year after the publication.
In this context, the European banking industry, through the European Banking Federation (EBF), decided to articulate this memorandum which specifies the ”European Banking Industry Common Understanding of CSRBB as defined by EBA Guidelines”.
The EBF uses this paper to provide its views on the EBA Guidelines’ definition of CSRBB, the monitoring process and the assessment of the framework.
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