The European Banking Authority (EBA) has updated its Guidelines on the management of interest rate risk arising from non-trading activities, which were published on 22 May 2015.

According to Article 84 of Directive 2013/36/EU (Capital Requirements Directive - CRD), competent authorities shall ensure that institutions implement systems to identify, evaluate and manage the risk arising from potential changes in interest rates that affect an institution’s non-trading activities.

The aim of these guidelines is to set out supervisory expectations regarding the management of interest rate risk arising from non-trading book activities (IRRBB). These guidelines build upon the EBA guidelines published on 22 May 2015 and take account of existing supervisory expectations and practices including the Standards on interest rate risk in the banking book published by the Basel Committee on Banking Supervision (BCBS Standards) in April 2016.

The BCBS Standards will be implemented within the EU in two phases: first, through this update of the EBA guidelines, and, second, through the ongoing revision of the CRD and Regulation (EU) No 575/2013 (Capital Requirements Regulation - CRR) and the enactment of a number of technical standards that are expected to be mandated to the EBA in the revised CRD and CRR.

The updated guidelines are structured into six main sections:

• Subject matter, scope and definitions;

• General provisions;

• Internal capital;