The European Commission (EC) published the Implementing Regulation 2022/631 on disclosure of exposures to interest rate risk on positions not held in the trading book. Regulation 2022/631 amends the implementing technical standards laid down in the Implementing Regulation (EU) 2021/637. Regulation 2022/631 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union—that is, on May 09, 2022.
To ensure that institutions disclose comprehensive and comparable information on IRRBB, a table containing qualitative information on interest rate risks of non-trading book activities and a template containing quantitative information on interest rate risks of non-trading book activities has been laid down in Regulation 2022/631. In addition, Regulation 2022/631 also provides the instructions for these disclosure templates on interest rate risk on positions not held in the trading book. Where institutions disclose information in accordance with Regulation 2022/631 for the first time, disclosure of that information related to the previous reference date shall not be required.
In December 2019, the Basel Committee on Banking Supervision (BCBS) had reviewed its Pillar 3 framework, including the disclosure requirements on interest rate risk in the banking book (IRRBB). In line with the development of the international standards agreed by BCBS, IRRBB disclosure requirements, applicable from June 2021, were introduced in Article 448 of the Capital Requirements Regulation or CRR (575/2013). Regulation 2021/637 needed to be revised to incorporate the new implementing technical standards on the public disclosures of the IRRBB information set out in Article 448 of CRR; therefore, Regulation 2021/637 has been amended via Regulation 2022/631.
Related Link: Regulation 2022/631
Keywords: Europe, EU, Banking, IRRBB, Disclosures, Interest Rate Risk, Basel, CRR, Implementing Technical Standards, Pillar 3, EC, Reporting, Headline
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