EBA stress test shines light on interest income hedging dilemma

Non-maturing liabilities pose problems for banks' IRRBB hedge accounting

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EBA stress test brings to light interest rate hedging concerns

In the stress test results released by the European Banking Authority on July 29, many banks saw their net interest income (NII) fall under adverse stress scenarios – by almost 80% in one case. But some banks stood out because their NII was far more stable, or even rose. When analysts at a rating agency dug deep into the reason for this stark variation, their findings highlighted the impact of banks' differing assumptions when measuring interest rate risk on the banking book (IRRBB), and how

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