EBA outlines medium to long-term objectives of its IRRBB heatmap

The European Banking Authority (EBA) has published a report outlining the medium- to long-term objectives of its interest rate risk in the banking book (IRRBB) heatmap. The report includes key observations and recommendations for institutions and supervisors.

In January 2024, the EBA released its heatmap following IRRBB scrutiny, establishing a roadmap for monitoring IRRBB across short-, medium-, and long-term areas. The current report completes the medium- to long-term milestones set in the heatmap and builds on guidance from the first IRRBB heatmap implementation report published in February 2025.

The publication offers an analytical review and observations designed to inform supervisory dialogue and support institutions’ practices. Recommendations should be applied proportionately, considering each institution’s size, complexity, risk profile, and business model. The report does not introduce new regulatory requirements.

Key areas of focus include:

• Supervisory outliers test (SOT) analysis: Results indicate gradual risk management adjustments, with improvements in outlier metrics but ongoing asymmetrical impacts on ΔEVE and ΔNII.
• Monitoring of the 5-year cap: The cap remains a harmonising benchmark with limited impact; deviations should be approved by supervisors and disclosed under Pillar 3, in line with Q&A 2023_6807.
• Commercial margin modelling: Constant-spread modelling is widely used, except for non-maturing deposits (NMDs), where behavioural features are significant. Guidance for NMDs should be extended only where behavioural characteristics are material.
• Credit Spread Risk in the Banking Book (CSRBB) perimeter: Practices are heterogeneous; institutions should aim for a consistent perimeter across EVE and NII metrics and avoid ex-ante exclusions.
• Hedging strategies: Interest Rate Swaps (IRS) are the main derivatives used. Hedge design should align with product features, with well-governed frameworks, regular back-testing, and proper documentation.

The regulatory framework on IRRBB has been strengthened through the publication of:

• Commission Delegated Regulation (EU) 2024/856 (RTS on SOT)
• Commission Delegated Regulation (EU) 2024/857 (RTS on SA) on 24 April 2024
• Commission Implementing Regulation (EU) 2024/855 amending the ITS on reporting, published on 15 March 2024

The latest versions of the EBA Guidelines on IRRBB and CSRBB have been fully applicable across the EU since 31 December 2023.