EBA consults on institutions’ Pillar 3 disclosure of interest rate risk exposures

28 May 2021

  • The proposed IRRBB disclosure framework seeks to ensure stakeholders are informed about institutions’ interest rate risks in the non-trading book.
  • The standards put forward comparable disclosures that should help institutions comply with the requirements laid down in the revised Capital Requirements Regulation (CRR).
  • This consultation paper is in line with the Pillar 3 disclosure framework of the Basel Committee on Banking Supervision (BCBS).

The European Banking Authority (EBA) launched today a public consultation on draft implementing technical standards (ITS) on Pillar 3 disclosures regarding exposures to interest rate risk on positions not held in the trading book (IRRBB). The draft ITS put forward comparable disclosures that would allow stakeholders to assess institutions’ IRRBB risk management framework as well as the sensitivity of institutions’ economic value of equity and net interest income to changes in interest rates. The proposed standards will amend the comprehensive ITS on institutions’ public disclosures, in line with the strategic objective of developing a single and comprehensive Pillar 3 package that should facilitate implementation by institutions and further promote market discipline.

The draft ITS propose qualitative disclosures on how institutions calculate their IRRBB exposure values based on their internal measurement systems and on institutions’ overall IRRBB objective and management. They also provide quantitative disclosures about the impact of changes in interest rates on institutions’ economic value of equity and net interest income.

In addition, given the ongoing EBA work on the policy framework for IRRBB, the EBA is proposing transitional provisions that should facilitate institutions’ disclosures while the policy frameworks is being finalised.

Consultation process

Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 30 August 2021. All contributions received will be published following the end of the consultation, unless requested otherwise.

A public hearing will be organised in the form of a webinar on 30 June 2021 from 11:00 to 12:30 CET. The EBA invites interested stakeholders to register using this link (by no later than 28 June 2021, 16:00 CET).

The dial-in details will be communicated in due course.

Legal basis and background

Article 448 of Regulation (EU) No 575/2013 (‘CRR’) requires institutions to disclose, as from 28 June 2021, quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities referred to in Article 84 and Article 98(5) of the Directive 2013/36/EU (Capital requirements directive- CRD).

The EBA has developed the draft ITS following the mandate in Article 434a of Regulation (EU) No 575/2013. These ITS will amend the Implementing Regulation (EU) No 637/2021 of 15 March 2021 with the aim to facilitate the institutions’ compliance to Article 448 CRR.

When developing these proposals, the EBA has built on BCBS’s Pillar 3 disclosure framework.

The EBA expects to submit these draft ITS to the European Commission in October 2021.

 

Press contacts

Franca Rosa Congiu

press@eba.europa.eu | +33 1 86 52 7052 | Follow @EBA_News