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
ACPR Issues RUBA Reporting Update and Schedule for Switching to LEIRelated Articles
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
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.
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
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.
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
US Regulators Release Stress Test Scenarios for Banks
The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).
Asian Governments Aim for Interoperability in AI Governance Frameworks
The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.
EBA Proposes Operational Risk Standards Under Final Basel III Package
The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.
EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS
The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.
ECB to Expand Climate Change Work in 2024-2025
Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.