Regulatory Alerts2024-03-31 | CBE3.5.3CBE Regulation Book 3.5.3
The chapter outlines the requirements of the second pillar of the Basel II Accords, focusing on interest rate risk for non-trading book positions. It defines interest rate risk, its types, and the need for issuing instructions on interest rate risk management for non-trading book positions. The scope of application includes all banks operating in Egypt, including branches of foreign banks, and the measurement of interest rate risk for non-trading book positions according to the standard approach. The chapter also covers essential concepts and criteria for distinguishing between trading and non-trading portfolios. It highlights sources of interest rate risk for non-trading book positions and their effects. The chapter details the supervisory role of the board of directors, the separation of duties and responsibilities, and internal control requirements. It also outlines the measurement of interest rate risk for non-trading book positions based on economic value of equity and earnings at risk. Finally, it discusses the role of the Central Bank of Egypt and provides rules for the standard approach to measuring interest rate risk for non-trading book positions.