Regulatory Alerts2023-12-01
Added · Updated
Commission Delegated Regulation (EU) 2024/857 on standardised methodologies for interest rate risk in the non-trading book
The European Commission adopted Delegated Regulation (EU) 2024/857 to supplement Directive 2013/36/EU by establishing regulatory technical standards for evaluating interest rate risk in the non-trading book. The regulation mandates institutions to apply a standardised methodology and a simplified standardised methodology to assess risks to economic value of equity and net interest income. It defines materiality thresholds, such as the 5% and 90% rules in Article 3, and specifies detailed allocation rules for various instruments including fixed and floating rate instruments, non-maturity deposits, and derivatives. The act entered into force on 24 April 2024 and applies to credit institutions and investment firms subject to the Capital Requirements Directive.