The EBA publicly consulted on the draft proposal contained in this paper.

The consultation period lasted for four months and ended on 4 April 2022. 28 responses were received, of which 21 were published on the EBA website. A public hearing was held on 3 March 2022.

This paper presents a summary of the key points and other comments arising from the consultation, the analysis and discussion triggered by these comments and the actions taken to address them if deemed necessary.

In many cases several industry bodies made similar comments or the same body repeated its comments in the response to different questions. In such cases, the comments, and EBA analysis are included in the section of this paper where EBA considers them most appropriate.

Changes to the draft Guidelines have been incorporated as a result of the responses received during the public consultation.

Summary of key issues and the EBA’s response

The EBA has continued working on the draft Guidelines during the consultation period. The EBA ensures continuity with the approach in place in the current 2018 Guidelines [EBA/GL/2018/02 Guidelines on the management of interest rate risk arising from non-trading book activities.] and in line with the Basel standards to ensure that internal systems implemented by institutions to identify, evaluate, manage and mitigate their exposures to IRRBB take into account the impact on economic value of equity and the net interest income of their non-trading book activities. Particularly, in the net interest income perspective, the Guidelines consider the impact on interest income and interest expenses but also includes supervisory expectations to consider market value changes of instruments at fair value under such analysis. The same applies when it comes to the envisaged assessment and monitoring of CSRBB.