EBA Issues Requirements on Pillar 3 Disclosures for IRRBB
The European Banking Authority (EBA) published the first draft implementing technical standards on Pillar 3 disclosure of institutions’ exposures to interest rate risk on positions not held in the trading book (IRRBB). EBA has also published the disclosure templates and the associated instructions for IRRBB activities. These final draft implementing technical standards put forward comparable disclosures that help institutions comply with the requirements laid down in the revised Capital Requirements Regulation (CRR) and were submitted to the European Commission for adoption.
These comparable disclosures will help stakeholders 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 disclosure templates cover information on IRRBB risk management objective and policy, internal assumptions for the calculation of their IRRBB exposure values, and the impact of changes in interest rates on economic value of equity and net interest income of institutions, with the objective to implement the disclosure requirements of Article 448 of the CRR. In addition, given the ongoing EBA work on the policy framework for IRRBB, the standards also include transitional provisions that should facilitate institutions’ disclosures while the policy framework is being finalized. These disclosure requirements apply to large institutions and to other institutions, except those that are not listed, in accordance with the provisions of Articles 433a and 433c of the CRR. The implementing technical standards will complement the comprehensive Pillar 3 standards by amending the Implementing Regulation 637/2021 of March 15, 2021, with the objective to facilitate the institutions’ compliance to the disclosure requirements of Article 448 of CRR.
The standards will amend the comprehensive implementing technical standards on public disclosures of institutions, in line with the strategic objective of developing a single and comprehensive Pillar 3 package to facilitate implementation by institutions and further promote market discipline. Given that Article 448 of CRR becomes applicable from June 2021, EBA has decided to develop these draft standards amending the comprehensive implementing technical standards on institutions’ public disclosure, taking into account the current regulatory framework. In future, when the new regulatory framework on the management of IRRBB exposures is completed, these draft standards could be reviewed. Given the application of the disclosure requirements of Article 448 of CRR from June 2021, this paper also provides clarity on what institutions should disclose until the regulatory technical standards provided by Article 84 and Article 98(5a) CRD start to apply. The standards are also fully in line with the Pillar 3 disclosure framework of the Basel Committee on Banking Supervision.
Related Links
Keywords: Europe, EU, Banking, Pillar 3, Interest Rate Risk, IRRBB, Implementing Technical Standards, CRR, CRD, Disclosures, Basel, EBA
Featured Experts

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.

Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
US Agencies to Revise Call Reports in Relation to SA-CCRRelated Articles
EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA
The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.
EC Mandates ESAs to Propose Amendments to SFDR Technical Standards
The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.
EBA Examines Supervisory Practices, Issues Deposits Reporting Template
The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),
US Agency Publications Address Basel, Reporting, and CECL Developments
The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances
SEC Extends Comment Period on Climate Risk Disclosures
The U.S. Securities and Exchange Commission (SEC) looks set to intensify focus on crypto-assets and cyber risk and extended the comment period on the proposed rules to enhance and standardize climate-related disclosures for investors.
APRA Reduces Committed Liquidity Facility, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility and issued an update on the operational preparedness for zero and negative market interest rates.
CMF Consults on Basel Rules, Presents Roadmap to Address Climate Risks
The Commission for the Financial Market (CMF) in Chile published capital adequacy ratios (as of February 2022, January 2022, and December 2021) for 17 banks and for the banking system.
PRA Issues Statement on NPEs and Policy on Trading Activity Wind-Down
The Prudential Regulation Authority (PRA) issued a statement on the European Banking Authority (EBA) guidelines on management of non-performing exposures (NPEs) and forborne exposures.
EBA Updates Standards for 2023 Benchmarking of Internal Approaches
The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.
EIOPA Responds to Stakeholder Views on Blockchain in Insurance
The European Insurance and Occupational Pensions Authority (EIOPA) published a feedback statement on the responses received to the consultation on blockchain and smart contracts in insurance.