Response to consultation on draft ITS on disclosure of information on exposures to interest rate risk on positions not held in the trading book

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Question 1: Are the instructions, table and template clear to the respondents? If not, please provide concrete suggestions to improve them.

1. The frequency with which table IRRBBA and IRRBB1 should be disclosed is not clear. The BCBS Pillar 3 disclosure requirements (DIS70), referred to in the consultation paper, specify the frequency of IRRBBA and IRRBB1 as annual. However, at the EBA public hearing / webinar on this disclosure (30th June) it was noted that IRRBB1 should be disclosed semi-annually with an accompanying write-up, while IRRBBA and IRRBB1 should be together disclosed annually.
2. IRRBBA requires “disclosure of the average repricing maturity assigned to non-maturity deposits”. This is read as being the average modelled repricing maturity. However, should this be (i) a weighted average of the full NMD balance, including NMDs which are not modelled (eg ON), or (ii) the average life of the behaviouralised NMD balance only, excluding the non-modelled balance?
3. The EBA notes the adoption of the BCBS disclosure but excludes the final three rows of information in Table B of BCBS368. As such, this element of the BCBS368 disclosure is noted as not required. Do we expect this to be adopted in the future?

Question 2: Do the respondents consider the development of these draft ITS based on the current underlying regulation as a sensible and practical approach, given the timing mismatch between the applicability of the disclosure requirements in accordance with Article 448 CRR and the finalisation of the new regulatory framework for IRRBB?

Per the EBA public hearing on this disclosure, in order to achieve the objective of transparency, more details should be provided on the supportive qualitative disclosure expectation on Institutions to support the semi-annual disclosure of IRRBB1. This currently appears to be at the Institutions own discretion.

Question 3: Regarding template EU IRRBB1, do the respondents agree on disclosing the changes in the net interest income under the two supervisory shock scenarios of parallel up and down, in line with the Basel disclosure template, and on the interim solution proposed in the instructions to columns c, d of this template until the underlying regulatory framework on IRRBB is not yet finalised?

No concerns.

Name of the organization

Barclays Europe