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Final report - 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 (EBA/GL/2022/14) (applicable from 30 June 2023 (sections 4.5 and 4.6 applicable from 31 December 2023))1. Executive Summary2. Background and rationale3. Guidelines Abbreviations1. Compliance and reporting obligations2. Subject matter, scope and definitions3. Implementation4. Guidelines on the management of interest rate risk and on the assessment and monitoring of credit spread risk, arising from non-trading book activities4.1 General provisions4.2 Identification and management of IRRBB4.3 Measurement of IRRBB by an institution’s internal system4.4 Non-satisfactory IRRBB internal systems4.5 Identification and assessment of CSRBB4.6 Monitoring of CSRBBAnnex I - IRRBB measurement methods (non exhaustive list)Annex II - Sophistication matrix for IRRBB measurement5. Accompanying documents5.1 Cost-benefit analysis / impact assessment5.2 Feedback on the public consultation
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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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