Featured Product

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    January 31, 2023

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023. Along with the consultation paper, EBA has published the templates and instructions for IRRBB reporting.

    The aim of this new, harmonized reporting is to enhance the data quality required for assessing IRRBB risks on an appropriate scale of institutions, including large institutions, institutions other than large institutions, and Small and Non-Complex Institutions, or SNCIs, which cannot be left outside the scrutiny of IRRBB risks. This standards specify the reporting templates that allow to equip supervisors with the appropriate data to monitor IRRBB risks such as the impact on institutions driven from changes in policy rates, including its interaction with the management by institutions of the interest rate risks; the identification of outliers within both the Supervisory Outlier Test (SOT) on Economic Value of Equity; and the SOT on Net Interest Income. Proportionality is a key consideration in the proposed new reporting, to make reporting requirements better suited to the size and risk of the institutions. The consultation includes simplified templates for reporting by small and non-complex institutions and asks for specific feedback on proportionality for medium institutions.

    Article 1 of the amending standards states that, to report information on IRRBB in accordance with Articles 84(5), 84(6) and 98(5a) of the Capital Requirements Directive (2013/36/EU) on an individual and a consolidated basis, institutions shall submit the information specified in Annex XXVIII in accordance with the instructions in Annex XXIX as follows:

    • Template 1 (Evaluation of IRRBB: EVE/NII SOT and MV changes) with a quarterly frequency by all institutions 
    • Templates 2 (Breakdown of Sensitivity Estimates), 3 (Repricing Cash Flows), and 4 (Relevant Parameters) with a quarterly frequency by large institutions and institutions that are neither large institutions nor small and non-complex institutions
    • Templates 5 (Simplified Breakdown of Sensitivity Estimates), 6 (Simplified Repricing Cash Flows), and 7 (Simplified Relevant Parameters) with a quarterly frequency by small and non-complex institutions
    • Template 8 (Qualitative Feedback) with an annual frequency by all institutions

    Post the consultation period, EBA is expected to finalize the draft implementing technical standards and submit them to the European Commission in mid-2023. EBA will also develop the data-point model (DPM), XBRL taxonomy, and validation rules based on the final draft
    amending implementing technical standards. The first reference date for the application of these technical standards is foreseen to be June 2024, with the expected implementation period for the proposed changes being approximately one year. 

     

    Related Links

     

    Keywords: Europe, EU, Banking, Regulatory Capital, IRRBB, Implementing Technical Standards, Interest Rate Risk, Reporting, Basel, Standardized Approach, EBA, CSRBB, CRR, Supervisory Outlier Tests

    Featured Experts
    Related Articles
    News

    BIS Paper Outlines Vision for Future Financial System

    In a recent paper, the General Manager of Bank for International Settlements (BIS) and the Indian entrepreneur (Infosys co-founder) Nandan Nilekani have laid out a vision for the Finternet, which is proposed to be a network of multiple financial ecosystems, much like the internet.

    April 29, 2024 WebPage Regulatory News
    News

    NGFS Outlines Options for Supervisory Review of Transition Plans

    The Network for Greening the Financial System (NGFS) recently published three reports on the use of transition plans to boost sustainable finance and manage climate-related financial risks.

    April 29, 2024 WebPage Regulatory News
    News

    BCBS Issues Discussion Paper on Climate Scenario Analysis

    The Basel Committee on Banking Supervision (BCBS) issued a discussion paper on the use of climate scenario analysis to strengthen the management and supervision of climate-related financial risks.

    April 29, 2024 WebPage Regulatory News
    News

    OSFI Issues Phase2 Consultation on Climate Scenario Exercise for Banks

    The Office of the Superintendent of Financial Institutions (OSFI) recently announced a consultation on the second phase of the Standardized Climate Scenario Exercise (SCSE) for banks and other financial institutions it regulates in Canada.

    April 25, 2024 WebPage Regulatory News
    News

    CFIT to Chair Open Finance Taskforce Announced by UK Government

    The UK government announced the formation of an industry-led Open Finance Taskforce, chaired by the Center for Finance, Innovation, and Technology (CFIT).

    April 25, 2024 WebPage Regulatory News
    News

    BIS and Central Banks Experiment with GenAI to Assess Climate Risks

    A recent report from the Bank for International Settlements (BIS) Innovation Hub details Project Gaia, a collaboration between the BIS Innovation Hub Eurosystem Center and certain central banks in Europe

    March 20, 2024 WebPage Regulatory News
    News

    Nearly 25% G-SIBs Commit to Adopting TNFD Nature-Related Disclosures

    Nature-related risks are increasing in severity and frequency, affecting businesses, capital providers, financial systems, and economies.

    March 18, 2024 WebPage Regulatory News
    News

    Singapore to Mandate Climate Disclosures from FY2025

    Singapore recently took a significant step toward turning climate ambition into action, with the introduction of mandatory climate-related disclosures for listed and large non-listed companies

    March 18, 2024 WebPage Regulatory News
    News

    SEC Finalizes Climate-Related Disclosures Rule

    The U.S. Securities and Exchange Commission (SEC) has finalized the long-awaited rule that mandates climate-related disclosures for domestic and foreign publicly listed companies in the U.S.

    March 07, 2024 WebPage Regulatory News
    News

    EBA Proposes Standards Related to Standardized Credit Risk Approach

    The European Banking Authority (EBA) has been taking significant steps toward implementing the Basel III framework and strengthening the regulatory framework for credit institutions in the EU

    March 05, 2024 WebPage Regulatory News
    RESULTS 1 - 10 OF 8962