Final Report - Guidelines on the management of interest rate risk arising from non-trading book activities (EBA/GL/2018/02) (repealed from 30 June 2023)

Status: Repealed

Published date: 19 July 2018

	1. Executive summary
	2. Background and rationale
	3. Guidelines
	Abbreviations
	1. Compliance and reporting obligations
	Status of these guidelines (paras. 1-2)
	Reporting requirements (paras. 3-4)
	2. Subject matter, scope and definitions
	Subject matter and scope of application (para. 5)
	Addressees (para. 6)
	Definitions (para. 7)
	3. Implementation
	Date of application (para. 8)
	Transitional provisions (para. 9)
	Repeal (para. 10)
	4. Guidelines on the management of interest rate risk arising from non-trading book activities
	4.1 General provisions (paras. 11-21)
	4.2 Capital identification, calculation and allocation (paras. 22-31)
	4.3 Governance (paras. 32-79)
	4.4 Measurement (paras. 80-112)
	4.5 Supervisory outlier test (paras. 113-116)
	Annex I - IRRBB measurement methods
	Annex II - Sophistication matrix for IRRBB measurement
	Annex III - The standardised interest rate shock scenarios
	5. Accompanying documents

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