On May 22, 2015, the European Banking Authority (EBA) published its final guidelines on the management of interest rate risk arising from non-trading activities (EBA/GL/2015/08). The guidelines cover the management of interest rate risk in the balance book and provide detailed guidance relating to scenarios and stress-testing, measurement assumptions, methods for measuring interest rate risk, the governance of interest rate risk and the identification, calculation and allocation of capital to interest rate risk. The guidelines will apply from January 1, 2016.
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