Featured Product

    EBA Proposes Implementing Standards on IRRBB Disclosures Under CRR

    May 28, 2021

    EBA proposed the implementing technical standards on Pillar 3 disclosures for exposures to interest rate risk on positions not held in the trading book (IRRBB), in line with the Capital Requirements Regulation or CRR. The proposed implementing standards stipulate comparable disclosures that would allow stakeholders to assess the IRRBB risk management framework of institutions as well as the sensitivity of the economic value of equity and net interest income to changes in interest rates. The consultation period ends on August 30, 2021 and EBA plans to submit the final implementing standards to EC in October 2021.

    From June 28, 2021, the CRR Article 448 requires institutions to disclose quantitative and qualitative information on the risks arising from the 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 the Capital Requirements Directive or CRD IV. Thus, EBA has proposed these implementing standards that would amend the comprehensive implementing technical standards on public disclosures of institutions (Regulation 637/2021), in line with the strategic objective of developing a single and comprehensive Pillar 3 package. The proposed implementing standards cover quantitative  information in the form of Template IRRBB1 and qualitative disclosures in the form of Table IRRBBA. Template IRRBB1 provides quantitative information on the impact of interest rate supervisory shock scenarios on changes in economic value of equity and net interest income, calculated on the basis of a set of common modeling and parametric assumptions as referred to in Article 98(5a)(b) and (c) of CRD IV. Table IRRBBA enables the monitoring of the sensitivity of the economic value of equity and net interest income to changes in interest rates, to understand the key assumptions used in calculation of the IRRBB exposure values and the overall IRRBB objective and management.

    This proposal is in line with the existing regulatory framework, specifically the Basel disclosure requirements and the EBA guidelines on the management of interest rate risk arising from non‐trading book activities. The proposed implementing technical standards have been developed with the intention to minimize any potential future change that might be needed following the finalization of the regulatory work. Given the application of the disclosure requirements of Article 448 of CRR from June 2021, this consultation paper also provides clarity on what institutions should disclose during the time that the regulatory technical standards provided by Article 84 and Article 98(5a) of CRD IV are not applicable. 


    Related Links

    Comment Due Date: August 30, 2021

    Keywords: Europe, EU, Banking, IRRBB, Pillar 3, Disclosures, CRR, Basel, Implementing Technical Standards, CRD IV, Interest Rate Risk, EBA

    Featured Experts
    Related Articles

    ESAs Issue Multiple Regulatory Updates for Financial Sector Entities

    The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.

    November 15, 2022 WebPage Regulatory News

    ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments

    The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.

    November 10, 2022 WebPage Regulatory News

    IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets

    The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.

    November 09, 2022 WebPage Regulatory News

    EBA Finalizes Methodology for Stress Tests, Issues Other Updates

    The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups

    November 09, 2022 WebPage Regulatory News

    OSFI Sets Out Work Priorities and Reporting Updates for Banks

    The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.

    November 07, 2022 WebPage Regulatory News

    APRA Finalizes Changes to Capital Framework, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.

    November 03, 2022 WebPage Regulatory News

    BIS Hub and Central Banks Conduct CBDC and DeFI Pilots

    The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.

    November 03, 2022 WebPage Regulatory News

    ECB Sets Deadline for Banks to Meet Its Climate Risk Expectations

    The European Central Bank (ECB) published the results of its thematic review, which shows that banks are still far from adequately managing climate and environmental risks.

    November 02, 2022 WebPage Regulatory News

    ESAs, ECB, & EC Issue Multiple Regulatory Updates for Financial Sector

    Among its recent publications, the European Banking Authority (EBA) published the final standards and guidelines on interest rate risk arising from non-trading book activities (IRRBB)

    October 31, 2022 WebPage Regulatory News

    EC Adopts Final Rules Under CRR, BRRD, and Crowdfunding Regulation

    The European Commission (EC) recently adopted regulations with respect to the calculation of own funds requirements for market risk, the prudential treatment of global systemically important institutions (G-SIIs)

    October 26, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8582