The EBA is collecting bank data on interest rate risk in the banking book

• The EBA will collect on an ad-hoc basis interest rate risk in the banking book (IRRBB) data from the institutions already participating in the quantitative impact study (QIS) exercise and based on the templates from the final draft Implementing Technical Standards (ITS) on IRRBB reporting.
• This collection, with reference date end December 2023, will provide competent authorities with data to monitor, in a timely manner, the implementation of this IRRBB policy package in the current environment of high inflation combined with growing interest rates.  

The European Banking Authority (EBA) today published its Decision to run an ad-hoc data collection of institutions’ IRRBB data. This data collection will provide competent authorities and the EBA with timely and necessary data and tools to monitor risks arising from interest rate changes and the implementation of the IRRBB scrutiny plan. The ad-hoc collection follows a proportionate approach, as it will apply only to those institutions that are already providing IRRBB data in the context of the QIS exercise and include the same templates that these institutions will have to report once the final ITS on IRRBB reporting starts applying.

Legal basis and next steps

The Decision EBA/DC/498 has been developed in accordance with the EBA tasks set out in Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority, in particular Article 29(1) letter (f), Article 32 and Article 35 thereof and amending Decision EBA/DC/2020/335 of 5 June 2020 on the European Centralised Infrastructure of Data.

The submission reference date for this ad-hoc collection is set as of 31 December 2023. Competent authorities will need to submit institutions’ data to the EBA by March 2024.

The technical package supporting the collection of this IRRBB ad-hoc collection will be made available to the public on EBA website by mid-October 2023, as part of reporting framework 3.3.