- The proposed IRRBB disclosure framework seeks to ensure
stakeholders are informed about institutions’ interest rate risks in the
non-trading book.
- The standards put forward comparable disclosures that should help
institutions comply with the requirements laid down in the revised
Capital Requirements Regulation (CRR).
- This consultation paper is in line with the Pillar 3 disclosure framework of the Basel Committee on Banking Supervision (BCBS).
The draft ITS put forward comparable
disclosures that would allow stakeholders to assess institutions’ IRRBB
risk management framework as well as the sensitivity of institutions’
economic value of equity and net interest income to changes in interest
rates. The proposed standards will amend the comprehensive ITS on
institutions’ public disclosures, in line with the strategic objective
of developing a single and comprehensive Pillar 3 package that should
facilitate implementation by institutions and further promote market
discipline.
The draft ITS propose qualitative disclosures on how institutions
calculate their IRRBB exposure values based on their internal
measurement systems and on institutions’ overall IRRBB objective and
management. They also provide quantitative disclosures about the impact
of changes in interest rates on institutions’ economic value of equity
and net interest income.
In addition, given the ongoing EBA work on the policy framework for
IRRBB, the EBA is proposing transitional provisions that should
facilitate institutions’ disclosures while the policy frameworks is
being finalised.
Consultation process
Comments to this consultation can be sent to the EBA by clicking on
the "send your comments" button on the consultation page. Please note
that the deadline for the submission of comments is 30 August 2021. All
contributions received will be published following the end of the
consultation, unless requested otherwise.
A public hearing will be organised in the form of a webinar on 30
June 2021 from 11:00 to 12:30 CET. The EBA invites interested
stakeholders to register using this link (by no later than 28 June 2021, 16:00 CET).
The dial-in details will be communicated in due course.
Legal basis and background
Article 448 of Regulation (EU) No 575/2013 (‘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 referred to in
Article 84 and Article 98(5) of the Directive 2013/36/EU (Capital
requirements directive- CRD).
The EBA has developed the draft ITS following the mandate in Article
434a of Regulation (EU) No 575/2013. These ITS will amend the
Implementing Regulation (EU) No 637/2021 of 15 March 2021 with the aim
to facilitate the institutions’ compliance to Article 448 CRR.
When developing these proposals, the EBA has built on BCBS’s Pillar 3 disclosure framework.
The EBA expects to submit these draft ITS to the European Commission in October 2021.