3. Guidelines

EBA/GL/2022/14

20 October 2022

Guidelines issued on the basis of Article 84(6) of Directive 2013/36/EU specifying criteria for the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non- trading book activities

	Abbreviations
	1. Compliance and reporting obligations
	2. Subject matter, scope and definitions
	3. Implementation
	4. Guidelines on the management of interest rate risk and on the assessment and monitoring of credit spread risk, arising from non-trading book activities
	4.1 General provisions
	4.2 Identification and management of IRRBB
	4.3 Measurement of IRRBB by an institution’s internal system
	4.4 Non-satisfactory IRRBB internal systems
	4.5 Identification and assessment of CSRBB
	4.6 Monitoring of CSRBB
	Annex I - IRRBB measurement methods (non exhaustive list)
	Annex II - Sophistication matrix for IRRBB measurement

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Document Overview

3. Guidelines