Understanding the EBA’s Report on Interest Rate Risk in the Banking Book

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Date: 6th Feb, 2025 Source: In-House Country: European Union

Brief

On January 2024, the European Banking Authority (EBA) published a Report on the short to medium term objectives of its interest rate risk in the banking book (IRRBB) Heatmap. The key areas of focus include non-maturity deposits behavioural assumptions, commercial margins, and hedging strategies, with the aim of fostering a common understanding of IRRBB risks among institutions and supervisors without setting new requirements or thresholds.

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