Featured Product

    EBA Issues Requirements on Pillar 3 Disclosures for IRRBB

    November 10, 2021

    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
    Related Articles
    News

    EU Agencies Update LCR Rule and Macro-Prudential Policy Recommendation

    The European Commission (EC) published the Delegated Regulation 2022/786 with regard to the liquidity coverage requirements for credit institutions under the Capital Requirements Regulation (CRR).

    May 23, 2022 WebPage Regulatory News
    News

    EBA Publishes Regulatory Standards to Identify Shadow Banking Entities

    The European Banking Authority (EBA) published the final draft regulatory technical standards specifying the criteria to identify shadow banking entities for the purposes of reporting large exposures.

    May 23, 2022 WebPage Regulatory News
    News

    EIOPA Examines Physical Climate Risk Exposure, SII Non-Compliance

    The European Insurance and Occupational Pensions Authority (EIOPA) published a report assessing insurers' exposure to physical climate change risks

    May 20, 2022 WebPage Regulatory News
    News

    EC Publishes Results on Review of Web Accessibility Directive

    The European Commission (EC) published the results of a public consultation, held in October 2021, on the review of the Web Accessibility Directive.

    May 19, 2022 WebPage Regulatory News
    News

    NGFS Report Explores Quantification of Climate Risk Differentials

    The Network for Greening the Financial System (NGFS) published two reports to aid central banks and regulators in their oversight of the financial sector and in their central bank operations

    May 19, 2022 WebPage Regulatory News
    News

    MAS Consults on Adjustment Spreads for Conversion of SOR Contracts

    The Monetary Authority of Singapore (MAS) and the SC-STS are jointly consulting, until June 10, 2022, on setting adjustment spreads for the conversion of legacy SOR contracts to SORA reference rate.

    May 18, 2022 WebPage Regulatory News
    News

    OSFI Discusses Benchmark Rate Transition, Sets Out Work Priorities

    The Office of the Superintendent of Financial Institutions (OSFI) published the strategic plan for 2022-2025 and the departmental plan for 2022-23.

    May 17, 2022 WebPage Regulatory News
    News

    EBA Proposes Standards to Support Secondary NPL Markets

    The European Banking Authority (EBA) is consulting, until August 31, 2022, on the draft implementing technical standards specifying requirements for the information that sellers of non-performing loans (NPLs) shall provide to prospective buyers.

    May 17, 2022 WebPage Regulatory News
    News

    EU Confirms Agreement on Rules on Cybersecurity and Banking Resolution

    The European Council and the Parliament reached an agreement on the revised Directive on security of network and information systems (NIS2 Directive).

    May 13, 2022 WebPage Regulatory News
    News

    EBA Issues Standards for Crowdfunding Service Providers Under ECSPR

    The European Banking Authority (EBA) published the final draft regulatory technical standards specifying information that crowdfunding service providers shall provide to investors on the calculation of credit scores and prices of crowdfunding offers.

    May 13, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8206