1. Article 16(2) of the EBA Regulation (Regulation (EU) No 1093/2010 of the European Parliament and of the Council) provides that, where appropriate, the EBA should analyse ‘the related potential costs and benefits’ of Guidelines issued by the EBA. Such analysis shall be proportionate in relation to the scope, nature and impact of the Guidelines. The following section provides an impact assessment of the Guidelines. It includes an overview of the findings regarding the problems to be dealt with, options available to tackle the problems, and cost-benefit analysis compared with the baseline scenario.

2. Following paragraph 6 of Article 84 Directive 2013/36/EU, the Guidelines cover a wide number of items included in the EBA/GL/2018/02, Guidelines on the management of interest rate risk arising from non-trading book activities published on 18 July 2018 and generally applicable from 30 June 2019. Therefore, the items related to the identification, management and evaluation of IRRBB are maintained, with slight amendments as appropriate, and expanded to CSRBB to the extent that deemed necessary. These Guidelines mainly introduce a further developed analysis of the definition and perimeter of the CSRBB. Thus, this impact assessment focuses on these abovementioned aspects. The analysis is mainly of qualitative nature but also builds on the QIS data collection during the first half of 2021 where some quantitative input on CSRBB has been collected.

5.1.1 Policy options

a. Definition of CSRBB

Policy option 1: