EU could impose negative rate shocks via IRRBB rules

Banking Book Risk Summit: EBA guidance on shocks is “outdated”, says ECB official

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EBA guidance from 2015 allows banks to floor rates-down shocks at 0%

European banks may be forced to consider the impact of negative interest rates on their loan and deposit portfolios, a supervisor at the European Central Bank has indicated.

Guidelines on interest rate risk issued in 2015 floored falling-rates shocks at 0%, but this stance could be abandoned when Europe implements new standards on interest rate risk in the banking book (IRRBB).

"This is quite an important issue at the current juncture: how much focus to put on a downward scenario and metrics. It

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