SSM results and ECB priorities 2024 -2026 deep dive: ALM, IRRBB and liquidity risk

We take a closer look into the topics of Asset Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB) and liquidity risk. We outline the main reasons why these topics take priority on ECB's agenda for 2024 and beyond and give an overview about the set of techniques and practises financial institutions use to mitigate risk resulting from liabilities and interest rates. Moreover, we provide insights into the current macroeconomic and regulatory environment.
How do supervisors increase the pressure on banks by using various toolkits, e.g. guidelines, reporting templates, RTS, model evaluation and onsite-inspections?
What to expect from the recently published EBA heatmap on the topic of interest rate risk in the banking book with regard to upcoming medium-term and long-term actions?
How do we support our clients in facing these challenges?

For more information about the challenges of Asset Liability Management (ALM), Interest Rate Risk in the Banking Book (IRRBB) and liquidity risk within the SREP and SSM priorities, please contact us:

Martin Neisen,
Partner FS Governance, Risk & Compliance Head of EBA/SSM Office,
PwC Germany

Alvaro Benzo Gonzalez-Coloma
Partner, GRC Lead, PwC Spain

Pablo Suarez Manjon
Director, PwC Spain