Guidelines on Technical aspects of the management of interest rate risk arising from non-trading activities under the supervisory review process

status: Final and translated into the EU official languages

These Guidelines set out high-level guidance, addressed to both credit institutions and investment firms, related to interest rate risk arising from non-trading activities (IRRBB). The paper sets out supervisory expectations regarding the measurement, management and governance arrangements of IRRBB and its reflection in the ICAAP. The guidelines also define the supervisory outlier test requirements for the assessment of institutions’ resilience to interest rate changes.

Press Release

Consultation Papers