EBA updates guidelines on interest rate risk arising from non-trading activities

Article

CRD IV - EBA updates guidelines on interest rate risk arising from non-trading activities

May 2015

On 22 May 2015, the European Banking Authority (EBA) released its updated version of the CEBS guidelines on technical aspects of the management of interest rate risk arising from non-trading activities (IRRBB) under the supervisory review process, published on 3 October 2006.

The Guidelines focus on expectations towards institutions regarding the appropriate identification and mitigation of IRRBB risks. They introduce changes to the high-level ‘Principles' laid down in the CEBS Guidelines to :

  • clarify expectations towards institutions
  • extend the scope to internal governance
  • specify the calculation of the supervisory ‘standard shock'

The Guidelines are splitted into two major sections :

  1. updated version of the original CEBS text and provides enhanced high-level guidance on the management of IRRBB
  2. additional details for the management of IRRBB

This guidance focuses on five areas of interest risk assessment and control:

  • scenarios and stress testing
  • measurement assumptions
  • methods for measuring interest rate risk, governance
  • identification of interest rate risk
  • calculation and allocation of capital to interest rate risk.

These Guidelines are addressed to Competent Authorities and will apply from 1 January 2016.

CRD IV
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