Europejski Urząd Nadzoru Bankowego, Raport końcowy - Wytyczne wydane na podstawie art. 84 ust. 6 dyrektywy 2013/36/UE określającej kryteria identyfikacji, oceny, zarządzania i ograniczania ryzyka wynikającego z potencjalnych zmian stóp procentowych oraz oceny i monitorowania ryzyka spreadu kredytowego, działalność instytucji w zakresie portfela niehandlowego

EBA/GL/2022/14

20 October 2022

Final report

Guidelines issued on the basis of Article 84 (6) of Directive 2013/36/EU specifying criteria for the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non-trading book activities

1. Executive Summary

Article 84(6) of the Directive 2013/36/EU (Capital Requirements Directive – CRD) mandates the EBA to issue Guidelines to specify the criteria for the evaluation by an institution's internal system of the interest rate risk of an institution’s non-trading book activities (IRRBB) as well as the criteria for the identification, management and mitigation by institutions of the IRRBB either if it implements internal systems, the standardised approach or the simplified standardised approach.

The EBA published in July 2018 Guidelines „on the management of interest rate risk arising from non-trading book activities”...