Article 84 | European Banking Authority

Path:

Capital Requirements Directive (CRD) > TITLE VII > CHAPTER 2 > Section II > Sub-Section 2 > Article 84

Title:

Article 84

Description:

Interest risk arising from non-trading book activities

Main content:

1. Competent authorities shall ensure that institutions implement internal systems, use the standardised methodology or the simplified standardised methodology to identify, evaluate, manage and mitigate the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of an institution's non-trading book activities.

2. Competent authorities shall ensure that institutions implement systems to assess and monitor the risks arising from potential changes in credit spreads that affect both the economic value of equity and the net interest income of an institution's non-trading book activities.

3. A competent authority may require an institution to use the stan dardised methodology referred to in paragraph 1 where the internal systems implemented by that institution for the purpose of evaluating the risks referred to in that paragraph are not satisfactory.

4. A competent authority may require a small and non-complex insti tution as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013 to use the standardised methodology where it considers that the simplified standardised methodology is not adequate to capture interest rate risk arising from non-trading book activities of that institution.

5. EBA shall develop draft regulatory technical standards to specify, for the purposes of this Article, a standardised methodology that insti tutions may use for the purpose of evaluating the risks referred to in paragraph 1 of this Article, including a simplified standardised methodology for small and non-complex institutions as defined in point (145) of Article 4(1) of Regulation (EU) No 575/2013 which is at least as conservative as the standardised methodology.

EBA shall submit those draft regulatory technical standards to the Commission by 28 June 2020.

Power is delegated to the Commission to supplement this Directive by adopting the regulatory technical standards referred to in the first sub paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.

6. EBA shall issue guidelines to specify the criteria for:

(a) the evaluation by an institution's internal system of the risks referred to in paragraph 1;

(b) the identification, management and mitigation by institutions of the risks referred to in paragraph 1;

(c) the assessment and monitoring by institutions of the risks referred to in paragraph 2;

(d) determining which of the internal systems implemented by insti tutions for the purposes of paragraph 1 are not satisfactory as referred to in paragraph 3.

EBA shall issue those guidelines by 28 June 2020.

Topic:

Supervisory Review and Evaluation Process (SREP) and Pillar 2