UK Finance has responded to the EBA’s consultation on Interest Rate Risk in the Banking book (IRRBB). We confirmed our continued support of IRRBB remaining a Pillar 2 risk and that individual institutions will continue to use their internal models as the basis for capital assessments within their ICAAP.

We suggested that Credit Spread Risk in the Banking Book (CSRBB) should be removed from the Guidelines on IRRBB and highlighted a number of other key topics including:

  • Ensuring definitions within the guidelines are clear
  • Understanding the approach and impact of Standardised Outlier Testing
  • Ensuring capital calculation and allocation impacts are clear
  • Key modelling variations and interpretation of methodology
UK Finance response to EBA CP 2017/19 on Interest Rate Risk in the Banking book