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EU banks hedge net interest income to pass new IRRBB test

Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?

IRRBB-test
Credit: Risk.net montage

European banks are stepping up their preparations for some challenging exams later this year. But what if the steps they take to improve their scores today end up harming their performance in the future?

From October 2024, banks in the European Union will report to their supervisors the results of a new test gauging the risk of shifting interest rates on their income from traditional deposit and

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