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EBA Consultation on draft Guidelines on the management of interest rate risk arising from non-trading book activities (EBA/CP/2017/19)These Guidelines set out high-level guidance, addressed to both credit institutions and investment firms and to supervisors, related to interest rate risk arising from non-trading activities. The paper sets out (i) guidance on what the supervisors should expect to see in the ICAAP in relation to the interest rate risk, and (ii) the corresponding guidance to supervisors in conducting SREP in relation to the ICAAP. The guidelines also define a “standard shock” required for the assessment of institutions’ resilience to interest rate changes.
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