In recent years regulatory requirements regarding risk measurement approaches have been tightened in almost all risk categories. Interest rate risks within the banking book, however, remained untouched until now. In order to make interest risk in the banking book more transparent and internationally comparable, EBA has published the “Guidelines on the management of Interest rate risk arising from non-trading activities” in May 2015. The standard introduces new regulations for the interest rate risk in the banking book. All banks in the EU have to implement these Guidelines by 01.01.2016.

A highly interesting topic – especially for banks where the interest gap contribution of the banking book is a substantial part of the net interest income.


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