Regulatory Alerts2025-07-17
Added · Updated
Commission Delegated Regulation (EU) 2024/857 on standardised methodologies for interest rate risk in the non-trading book
This Regulation establishes regulatory technical standards specifying a standardised methodology and a simplified standardised methodology for institutions to evaluate risks from potential changes in interest rates affecting the economic value of equity and net interest income of their non-trading book activities. It defines key terms such as notional repricing cash flows, fixed and floating rate instruments, and various deposit categories, while mandating that institutions assess materiality based on accounting value thresholds relative to total non-trading book positions. The text details specific allocation rules for notional repricing cash flows into time buckets for different asset and liability types, including fixed rate instruments, floating rate instruments, and non-maturity deposits with distinct caps on core components for retail transactional, retail non-transactional, and wholesale non-financial deposits. Additionally, it prescribes adjustments for prepayment rates on fixed rate loans subject to early repayment risk under parallel, rotational, and uneven interest rate shock scenarios.