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
EBA Launches Stress Tests for Banks, Issues Other Updates
The European Banking Authority (EBA) launched the 2023 European Union (EU)-wide stress test, published annual reports on minimum requirement for own funds and eligible liabilities (MREL) and high earners with data as of December 2021.
EBA Proposes Standards for IRRBB Reporting Under Basel Framework
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.
FED Issues Further Details on Pilot Climate Scenario Analysis Exercise
The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.
US Agencies Issue Several Regulatory and Reporting Updates
The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.
ECB Issues Multiple Reports and Regulatory Updates for Banks
The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.
HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements
The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.
EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR
The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.
CBIRC Revises Measures on Corporate Governance Supervision
The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.
HKMA Publications Address Sustainability Issues in Financial Sector
The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.
EBA Updates Address Basel and NPL Requirements for Banks
The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.