Regulation on the application of EBA Guidelines on interest rate and credit spread risk in non-trading book activities

Page 1 of 2 Pursuant to the third paragraph of Article 13 of the Banking Act (Official Gazette of the Republic of Slovenia, Nos. 92/21 and 123/21 [ZBNIP]; hereinafter: the ZBan-3), and the first paragraph of Article 31 of the Banka Slovenije Act (Official Gazette of the Republic of Slovenia, Nos. 72/06 [official consolidated version], 59/11 and 55/17), the Governing Board of the Bank of Slovenia hereby issues the following REGULATION on the application of the Guidelines issued on the basis of Article 84(6) of Directive 2013/36/EU 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. Article 1 (purpose and field of application of guidelines) (1) Pursuant to Article 16(1) of Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331 of 15 December 2010, p. 12; hereinafter: Regulation 1093/2010/EU), last amended by Amendments to Regulation (EU) 2019/2175 of the European Parliament and of the Council of 18 December 2019 amending Regulation (EU) No 1093/2010 establishing a European Supervisory Authority (European Banking Authority), Regulation (EU) No 1094/2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), Regulation (EU) No 1095/2010 establishing a European Supervisory Authority (European Securities and Markets Authority), Regulation (EU) No 600/2014 on markets in financial instruments, Regulation (EU) 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds, and Regulation (EU) 2015/847 on information accompanying transfers of funds (OJ L 131 of 5 May 2022, p. 9), on 28 February 2023 the European Banking Authority published on its website the Guidelines issued on the basis of Article 84(6) of Directive 2013/36/EU 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; hereinafter: the guidelines). (2) The guidelines referred to in the first paragraph of this article define in detail the 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. (3) The guidelines are intended for the competent authorities referred to in point (i) of the second paragraph of Article 4 of Regulation 1093/2010/EU and for the financial institutions referred to in the first paragraph of Article 4 of the stated regulation that are also institutions in accordance with point (3) of the first paragraph of Article 4 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176 of 27 June 2013, p. 1) (hereinafter: Regulation 575/2013/EU), last amended by Regulation (EU) 2022/2036 of the European Parliament and of the Council of 19 October 2022 amending Regulation (EU) No 575/2013 and Directive 2014/59/EU as regards the prudential treatment of global systemically important institutions with a multiple-point-of￾entry resolution strategy and methods for the indirect subscription of instruments eligible for meeting the minimum requirement for own funds and eligible liabilities (OJ L 275 of 25 October 2022, p. 1).

Page 2 of 2 Article 2 (content of regulation and scope of application of guidelines) (1) By virtue of this regulation the Bank of Slovenia sets out the application of the guidelines and all their future amendments, unless stipulated otherwise in respect of a particular amendment to the guidelines, to:

1. banks and savings banks for whose supervision the Bank of Slovenia is responsible in accordance with the ZBan-3 and Council Regulation (EU) No 1024/2013 of 15 October 2013 conferring specific tasks on the European Central Bank concerning policies relating to the prudential supervision of credit institutions (OJ L 287 of 29 October 2013, p. 63) (hereinafter: banks); and
2. the Bank of Slovenia, when in accordance with the ZBan-3 in its role as the competent authority it is exercising supervisory powers and tasks over banks referred to in point 1 of this paragraph. (2) Banks referred to in point 1 of the first paragraph of this article shall take full account of the provisions of the guidelines in the parts addressed to banks. (3) In exercising its supervisory powers and tasks in accordance with the ZBan-3 and Regulation (EU) No 575/2013, the Bank of Slovenia shall take full account of the provisions of the guidelines in the parts relating to the exercise of the powers and tasks of the competent authority. Article 3 (repeal of previous regulation) On the day this regulation is applied, the Regulation on the application of the Guidelines on the management of interest rate risk arising from non-trading book activities (Official Gazette of the Republic of Slovenia, No. 8/19) shall cease to be in force. Article 4 (entry into force) This regulation shall enter into force on 30 June 2023. Ljubljana, 25 April 2023 Boštjan Vasle President Governing Board of the Bank of Slovenia