IRRBB

Interest rate risk in the banking book has returned to the centre of supervisory attention. Rate volatility, deposit behaviour and the revised EBA guidelines have all increased the scrutiny applied to IRRBB measurement and governance.

Embridge supports banks and investment firms in designing, implementing and reviewing IRRBB frameworks, including:

• Economic Value of Equity (EVE) and Net Interest Income (NII) measurement
• Behavioural modelling of non-maturity deposits, prepayments and early redemptions
• Supervisory Outlier Tests (SOT) on EVE and NII
• Credit Spread Risk in the Banking Book (CSRBB) measurement
• Stress testing and scenario design aligned with EBA and Basel guidance
• Hedging strategy review and hedge accounting interactions
• Governance, risk appetite and limit-setting frameworks

We help clients align IRRBB measurement with business reality while meeting the expectations of the EBA guidelines, ECB supervisory priorities and equivalent frameworks in other jurisdictions.