ECB promises proportionate approach to new IRRBB test
But banks still fear regulatory and investor response if many are classed as outliers
Banks fearing relegation to ‘outlier’ status under a new supervisory test for interest rate risk might take succour from a suggestion by Europe’s largest supervisor that its response will be measured.
The new test for interest rate risk in banks’ loan and deposit books (IRRBB), devised by the European Banking Authority (EBA), is supposed to identify lenders most at risk from a severe change in rates on the interest spread between banks’ assets and liabilities.
“We will of course interpret the
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