New ITS on IRRBB expand reporting obligations for banks
  • Tuesday, 14 February 2023

New ITS on IRRBB expand reporting obligations for banks

On 31 January 2023, the European Banking Authority (EBA) opened the consultation on the amendment of the Implementing Technical Standards (ITS) on supervisory reporting with respect to Interest Rate Risk in the Banking Book (IRRBB)1. Together with the consultation, the EBA has published the proposed reporting templates, including the reporting instructions. With the consultation, EBA strives to harmonise the reporting by banks to their supervisory body. The new ITS are created in line with the new guidelines for IRRBB published in October 20222.

Currently banks are already expected to report the outcome of their IRRBB figures for Economic Value of Equity (EVE) and Net Interest Income (NII) for all regulatory interest rate scenarios in their Pillar III reporting. Banks are expected to report their IRRBB exposure in more detail to their supervisor. Next to the reporting on total balance sheet (which must be reported in the Pillar III report), a split must be made per currency. Moreover, banks are required to split out the market value impact of the interest rate scenario on the Profit and Loss account (P&L), or on the equity directly (e.g., via Other Comprehensive Income (OCI)).

Breakdown reporting requirements

Additionally, banks must also specify a breakdown of the interest rate sensitivities (e.g., the impact of the EVE and NII scenarios) on product level. The EBA distinguishes between cash, loans and advances, debt securities and derivatives, non-maturing deposits, term deposits, and off-balance sheet contingent liabilities. Again, banks must report these figures on an aggregated level as well as per currency. They are also required to specify the repricing schedule of all notional repricing cash flows with and without behavioural modelling. Finally, banks are required to give insight in the difference in repricing speed with and without behavioural modelling under all EVE scenarios. Small and non-complex institutions (SNCI) may use a simplified version of the templates.

Qualitative information

Next to the reporting of all the quantitative figures, banks are also requested to report on qualitative information. The requested information mostly consist of  the description of the methodologies used by the bank for modelling the interest rate risk position.

The EBA is inviting feedback from stakeholders on the draft ITS and the deadline for submissions is 2 May 2023. The deadline for implementation of the new ITS standards is June 2024. If you need any assistance with the implementation of the new ITS standards, meeting the new guidelines published in October 2022, or any specific IRRBB modelling (e.g. non maturity deposits), please do not hesitate to contact us.