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.