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New 2023 EBA IRRBB changes causing financial institutions to risk classification as “outliers”.

The upcoming changes to IRRBB coming into effect mid-2023 are increasing the demands on institutions with regards to calculating Economic Value of Equity (EVE) and Net Interest Income (NII) in used models. The changes include updates of the guidelines, standardized methods for calculating IRRBB and changes to outlier test, which risk causing several institutions to be deemed as “outliers”, risking scrutiny and higher capital requirements.