archived
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.
Topics
Continue reading with a PwC Plus-Subscription
- verified Information source
- daily updates
- completely searchable articles (with refiner)
- tailored alert
© 2017 - 2025 PwC. All rights reserved. PwC refers to the PwC network and/or one or more of its member firms, each of which is a separate legal entity. Please see www.pwc.com/structure for further details. Portions of this program may use third-party open source components governed by the respective open source license terms.
This website contains copyright material of the IFRS® Foundation in respect of which all rights are reserved. Reproduced by PwC with the permission of the IFRS Foundation. No permission granted to third parties to reproduce or distribute. For full access to IFRS Standards and the work of the IFRS Foundation please visit www.ifrs.org.