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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Since the information required here is being disclosed for the first time, we assume that prior-period disclosures need only be made starting with the second disclosure and are requesting corresponding clarification.
As already stated under the “General comments”, we also consider the requirements referred to here as an “interim solution” to be neither legally possible nor substantively appropriate.
As already stated under the “General comments”, we do not agree with early disclosure in accordance with the Basel requirements. As explained there, Basel rules do not constitute any legally valid requirements for European institutions, and not only in this context.
In particular, we also reject the requirements set out in the instructions for template EU IRRBB1, columns c, d. To the extent that institutions make use of their legal option and do not disclose the information required here (“in case they leave these columns blank”), they cannot be forced to explain their reasons for doing so (above and beyond the legal considerations explained above).
Question 1: Are the instructions, table and template clear to the respondents? If not, please provide concrete suggestions to improve them.
Application guidance, tables and templates are generally understandable.Since the information required here is being disclosed for the first time, we assume that prior-period disclosures need only be made starting with the second disclosure and are requesting corresponding clarification.
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?
No, we consider the chosen approach, with the details currently specified by the EBA in the draft ITS, to be highly problematic. As we have already stressed, the disclosed NII metrics might not be comparable as long as the EBA has not defined what it understands under these NII metrics. Moreover, it is very probable that future disclosed NII metrics will be based on other approaches. The methodological requirements for the calculations should first be clarified by the EBA, with the banks then being required to disclose the calculated results.As already stated under the “General comments”, we also consider the requirements referred to here as an “interim solution” to be neither legally possible nor substantively appropriate.
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, as described above, it does not help banks, supervisory authorities or the public to develop disclosure processes around a risk metric that has not yet been defined. We are proposing to further postpone the disclosure of NII risk metrics until the EBA requirements for those NII risk metrics have been specified.As already stated under the “General comments”, we do not agree with early disclosure in accordance with the Basel requirements. As explained there, Basel rules do not constitute any legally valid requirements for European institutions, and not only in this context.
In particular, we also reject the requirements set out in the instructions for template EU IRRBB1, columns c, d. To the extent that institutions make use of their legal option and do not disclose the information required here (“in case they leave these columns blank”), they cannot be forced to explain their reasons for doing so (above and beyond the legal considerations explained above).