EBA publishes its final amending technical standards on supervisory reporting to introduce new reporting on interest rate risk in the banking book

• The final amending Implementing Technical Standards (ITS) propose new, harmonised reporting requirements for the assessment and monitoring of institutions’ Interest Rate Risk in the Banking Book (IRRBB) across the EU.
• This new reporting will provide supervisors with the necessary data to monitor IRRBB risks in credit institutions, taking into careful consideration the concept of proportionality for small and non-complex institution/institutions (SNCIs) and ‘other’ institutions.

The European Banking Authority (EBA) today published today its final ITS on supervisory reporting with respect to IRRBB. The amended final draft ITS equip supervisors with the appropriate data to monitor risks arising from interest rates’ changes.   In addition, they aim at providing quality data to supervisors to monitor institutions’ IRBB risk and the implementation of the policy package published by the EBA in October 2022. 

The revised reporting package is particularly relevant in the current environment of high inflation combined with growing interest rates. Proportionality has been a key consideration when developing this package, building on the evidence and recommendations drawn from the EBA Cost of Compliance study. In this regard, the ITS include simplified templates for the reporting by SNCIs and for ‘other’ institutions.

Finally, the content of these ITS has been streamlined and simplified to fit the purpose of the underlying regulation as a result of the feedback received during the public consultation.

Legal basis and next steps

These draft ITS have been developed in accordance with Article 430(7) of Regulation (EU) No 575/2013, which mandates the EBA to develop uniform formats, definitions, frequencies and reference and remittance dates and IT solutions. These final draft ITS also follow up on the policy work on IRRBB that the EBA completed in October 2022.

The first reference date for the application of these technical standards is 30 September 2024. The final draft ITS are part of the 3.4 reporting framework release, and the technical package will be published by mid-October 2023.

The templates and instructions of these final draft ITS will be used in an advanced data collection for a sample of selected institutions, to equip supervisors in the monitoring of IRRBB risks in the current rate environment in a timely manner.