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