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.
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