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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Report - Guidelines on the management of interest rate risk arising from non-trading book activities (EBA/GL/2018/02) (repealed from 30 June 2023)1. Executive summary2. Background and rationale3. GuidelinesAbbreviations1. Compliance and reporting obligationsStatus of these guidelines (paras. 1-2)Reporting requirements (paras. 3-4)2. Subject matter, scope and definitionsSubject matter and scope of application (para. 5)Addressees (para. 6)Definitions (para. 7)3. ImplementationDate 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 activities4.1 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 methodsAnnex II - Sophistication matrix for IRRBB measurementAnnex III - The standardised interest rate shock scenarios5. Accompanying documents
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Version date: 19 July 2018 - onwards

5. Accompanying documents

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