Publication alert: EBA - Consultation Paper on draft ITS on IRRBB disclosure
We communicate that the European Banking Authority (EBA) has published the Consultation Paper on draft ITS on IRRBB disclosure.
1. Context
The Capital Requirements Regulation (CRR) requires institutions to disclose, as from 28 June 2021, quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities. In addition, this Regulation contains a mandate to the EBA to develop draft implementing technical standards (ITS) specifying uniform disclosure formats, and associated instructions in accordance with which the disclosures requirements.
In this context, the EBA has published a Consultation Paper on draft Implementing Technical Standards (ITS) on interest rate risk on positions not held in the trading book (IRRBB) disclosure, which seeks to ensure stakeholders are informed about institutions’ interest rate risks in the non-trading book and provide comparable disclosures that should help institutions comply with the requirements laid down in the CRR.
2. Main points
Disclosure of information on IRRBB. These ITS include a disclosure table and a disclosure template:
The table IRRBBA on qualitative information on interest rate risks of non‐trading book activities based on institutions’ internal measurement systems (IMS) methodology. This table provides information on a bank’s IRRBB risk management objective and policy. Specifically, this table enables users of that information: i) to monitor the sensitivity of the institution’s economic value of equity and net interest income to changes in interest rates; ii) to understand the key assumptions used in the calculation of the IRRBB exposure values and produced by the institution’s internal measurement system; and iii) to have an insight into the institution’s overall IRRBB objective and management.
The template IRRBB on Interest rate risks of non‐trading book activities provides quantitative IRRBB information including the impact of interest rate supervisory shocks scenarios on their change in economic value of equity and net interest income, calculated on the basis of a set of common modelling and parametric assumptions.
3. Next steps
Comments to this Consultation Paper can be sent before 30 August 2021.