Amendments to regulations and guidelines 5/2015 on the management of interest rate risk arising from non-trading activities and of credit spread risk enter into force on 30 June 2023
Amendments have been made to regulations and guidelines 5/2015 concerning the management of interest rate risk arising from non-trading activities (IRRBB) and of credit spread risk (CSRBB) (previously “Management of interest rate risk arising from non-trading activities”). The amendments incorporate the updated Guidelines of the European Banking Authority (EBA) of 20 October 2022 specifying criteria for the identification, evaluation, management and mitigation of the risks arising from potential changes in interest rates and of the assessment and monitoring of credit spread risk, of institutions’ non-trading book activities (EBA/GL/2022/14).
The amendments will enter into force on 30 June 2023, except for the part of the EBA Guidelines on the CSRBB (sections 4.5 and 4.6), which apply as of 31 December 2023.
The FIN-FSA recommends that supervised entities falling within the scope of application of the guidelines comply with the abovementioned EBA Guidelines.
The new EBA Guidelines replace the current Guidelines on the management of interest rate risk arising from non-trading activities (EBA/GL/2018/02). The most significant additions to the guidelines consist of criteria for determining an institution's internal systems for the purpose of evaluating IRRBB as not satisfactory and the guidelines on the identification, assessment and monitoring of CSRBB.
The EBA Guidelines are part of the regulatory package on the management of the IRRBB and CSRBB (for more details, see FIN-FSA supervision release of 14 November 2022 – 51/2022 (in Finnish). The FIN-FSA will pay particular attention to the implementation of guidelines and standards, and a thematic assessment of compliance with new regulation on interest rate risk will be launched in spring 2023, in accordance with the FIN-FSA's assessment and inspection plan.
The FIN-FSA has announced to the EBA on 2 May 2023 it will comply with the Guidelines in its supervision.
For further information, please contact
Marjo Risku, Senior Risk Expert, telephone +358 9 183 5275 or marjo.risku(at)fiva.fi