1. European
  2. EBA - European Banking Authority
  3. Final Reports
  4. 2022
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  1. Final Report - Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing under Directive 2013/36/EU (EBA/GL/2022/03) (applicable from 1 January 2023)
  2. Guidelines
  3. Title 6. Assessing risks to capital (paras. 154-359)
  4. 6.5 Assessment of interest rate risk arising from non-trading book activities (paras. 327-359)
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6.5 Assessment of interest rate risk arising from non-trading book activities (paras. 327-359)

Comparing proposed amendment...
6.5.1 General considerations (paras. 327-330)
6.5.2 Assessment of inherent IRRBB (paras. 331-347)
6.5.3 Assessment of IRRBB management and controls (both risk management and compliance, and internal audit control functions) (paras. 348-358)
6.5.4 Summary of findings and scoring (para. 359)
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