In the EBA’s focus: Second implementation report on the IRRBB heat map

Second implementation report on the IRRBB heat map

In January 2024, the EBA published a heat map containing a roadmap for IRRBB monitoring with short-, medium- and long-term priority topics.

In February 2025, it published an initial implementation report on the short- and medium-term objectives. Building on this, it followed up with a second implementation report on the medium- to long-term objectives of the IRRBB heatmap on 26 January 2026.

The EBA emphasises that the report contains observations and recommendations, but no new regulatory requirements. It serves to promote supervisory dialogue and support institutions in practice. All recommendations should be understood in the context of proportionality.

1. Analysis of supervisory outlier tests

The EBA’s analyses show that, on the one hand, the banks under review have successfully adapted their IRRBB management to the new, higher interest rates following the end of the low interest rate phase and, on the other hand, that the present value and periodic results of the supervisory outlier test have largely stabilised. The EBA observes more homogeneous risk profiles among banks.

The number of outliers is very low for the present value risk measure ΔEVE, at 0.66% of the institutions under review, while it is significantly higher for the income-oriented risk measure ΔNII, at 7.24%. The EBA points to the inherent asymmetry of the two risk measures, because the highest EVE loss is usually in the parallel-up scenario, while the highest NII loss is usually in the parallel-down scenario.

2. Monitoring the five-year cap

The EBA’s IRRBB guidelines specify an upper limit of five years (based on the weighted average interest rate adjustment date) for modelling perpetual deposits. Banks may only deviate from this cap in justified exceptional cases.

In its analysis, the EBA found that this requirement has a harmonising effect, preventing overly optimistic deposit modelling and promoting comparability between institutions. It therefore recommends retaining this restriction.

3. Modelling commercial margins

The recommendations in the second implementation report build on the analyses and recommendations already published by the EBA in its first report in February 2025 for NMD (non-maturity deposits):

The behaviour-dependent options and modelling complexity of NMDs justify scenario-dependent modelling of margins in internal risk management as well as for SOT. However, the EBA also considers modelling constant NMD margins to be permissible.

Other products such as term deposits, fixed-rate and reference-rate loans, which do not exhibit this complexity, should be modelled with constant margins in the SOT.

4. CSRBB perimeter

The EBA notes that implementation of the CSRBB requirements is very heterogeneous, particularly with regard to the perimeter of instruments subject to credit spread risk. It also observes significant differences in the interpretation of national supervisory authorities.

It advocates greater harmonisation of implementation and more uniform consideration of risk sensitivity. The recommendations in the implementation report include the following points in particular:

• As uniform a perimeter as possible for EVE and NII perspectives.
• Consideration of all fair value positions, even if no market prices can be observed or derived (IFRS 13 Level 3 instruments).
• Instruments without fair value measurement should also be taken into account if their economic value or conditioning depends significantly on credit spreads.
• The intention to hold positions to maturity or not to trade does not in itself justify exclusion from the CSRBB perimeter.
• Nor does consideration of the counterparty risk of derivatives.
• Own issues that do not count as equity should be included in the CSRBB perimeter.

In addition, the EBA emphasises that CSRBB must be taken into account in the ICAAP if it is a material risk.

5. Hedging strategies

The EBA’s analyses show that interest rate swaps are by far the most important instruments for hedging interest rate risk. Without the use of interest rate swaps, the number of outlier institutions would be significantly higher, particularly for ΔEVE, but also for ΔNII.

Institutions use micro-hedging primarily to hedge bonds and own issues, while loans and deposits are usually hedged using macro-hedging.

The EBA recommends that, in addition to the present value, the periodic P&L perspective should also be taken into account more than before when hedging, and that economic portfolio hedging should be further developed.

Next steps

As part of its ongoing IRRBB monitoring, the EBA will strive to continuously improve transparency and consistency, focusing in particular on quantitative and qualitative Pillar 3 disclosures.

It will also examine the implications of incorporating the IRRBB scenarios recalibrated by the Basel Committee in 2024 into the supervisory outlier test.

Finally, it aims to contribute to consistency between accounting and supervisory requirements in relation to the Dynamic Risk Management (DRM) accounting concept⁴.