Banks dispute EBA’s new threshold for IRRBB test

Banks say new proposal for identifying outliers on net interest income is still too severe

Europlaza tower in Paris is home to the European Banking Authority
European Banking Authority headquarters in Paris
Photo: 11h45_Paris La Defense

Regulators have proposed doubling a threshold used for identifying which banks have loan and deposit books that are most at risk from changes in interest rates. But risk managers say the new threshold is still too low, and could result in excessive numbers of firms being deemed outliers.

The European Banking Authority originally proposed last October that banks would be classified as outliers if a change in interest rates would cause their projected net earnings on interest-bearing assets minus

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