CEBS draft Guidelines on AMA changes (EBA/CP/2013/23)

The European Banking Authority (EBA) launches today a consultation on amendments and additions to CEBS Guidelines on interest rate risk from non-trading activities (IRRBB) published on 3 October 2006. The proposed changes are aimed at improving the management of IRRBB risks by institutions, and to promote the convergence of supervisory practices in reviewing and evaluating institutions under the Pillar 2 assessment process. The consultation runs until 27 September 2013.

Overall, the proposed changes are intended to ensure that institutions review, and where necessary improve, their identification, measurement, monitoring and control of interest rate risk in the banking book, and that supervisory assessment of interest rate risk is enhanced.

The bulk of the additions are provided under a new technical guidance supplement which is structured into the following thematic areas:

• Scenarios & Stress Testing
• Measurement assumptions
• Methods for measuring interest rate risk
• Governance of interest rate risk

Consultation process

Comments to the consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 27 September 2013.

All contributions received will be published following the close of the consultation, unless requested otherwise.

A public hearing will take place at the EBA premises on 13 September 2013 from 10:00 to 13:00, UK time. To register for the public hearing, click here.