Article 84(6) of the Directive 2013/36/EU [Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 amending Directive 2013/36/EU as regards exempted entities, financial holding companies, mixed financial holding companies, remuneration, supervisory measures and powers and capital conservation measures.] (Capital Requirements Directive - CRD) mandates the EBA to issue Guidelines to specify the criteria for the evaluation by an institution's internal system of the interest rate risk of an institution’s non-trading book activities (IRRBB) as well as the criteria for the identification, management and mitigation by institutions of the IRRBB either if it implements internal systems, the standardised approach or the simplified standardised approach.

The EBA published in July 2018 Guidelines "on the management of interest rate risk arising from non-trading book activities" ("the 2018 Guidelines") that apply from June 2019 with dedicated provisions on these aspects. The current Guidelines replace the 2018 EBA Guidelines as some of its parts will be covered by dedicated RTS and the amended mandate includes new aspects as explained below. These new Guidelines maintain continuity with the previous Guidelines as far as possible, while updating some elements.

The Guidelines are broadly consistent with the Basel standards with some further elaborated sections following the CRD mandate, particularly on CSRBB assessment and monitoring and nonsatisfactory IRRBB internal systems.