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Barclays Europe

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?
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.
No concerns.
Barclays Europe