IRRBB - Interest Rate Risk in the Banking Book

Due to the current economic situation in Europeresulting from high inflation and rising interest rates, the EBA decided to adhoc collect institutions' data on interest rate risk management in the bankingbook (IRRBB - Interest Rate Risk in the Banking Book).

On 31 July 2023, the EBA published the finalversion of the implementing technical standards (ITS) and thus indicated thefinal solution on supervisory reporting in relation to the IRRBB. Thetechnical package was published by the EBA on 30 October 2023.

The new reporting will ensure that supervisory authorities and the EBA obtain standardized and high-quality data necessary to monitor interest rate risk in the banking book of credit institutions. In thecase of small and simple institutions and "other" institutions, the proportionality criterion was applied by introducing a simplified approach.

IRRBB in EBA frameworks 3.3 and 3.4

The technical standards for IRRBB, in accordance with Decision EBA/DC/501, have been published for the first time inthe 3.3 framework. The entities obliged to report first are QIS institutions(quantitative impact study). In accordance with Decision EBA/DC/2021/373, thisis a selected sample of entities from credit institutions subject to examination, whose participation is determined by the competent authorities on the basis of defined criteria. These include: global and other systemically important institutions (G-SII and O-SII) whose Tier 1 is greater than or equal to EUR 3 billion or total assets equal to or greater than EUR 30 billion.

​Framework 3.3 introduces a transition periodfor IRRBB, where reporting has been defined ad-hoc. The first IRRBB reportshould be prepared from the reference date of December 31, 2023. The deadlinefor data submission is March 2024.

The dataset uploaded by the above deadline willprovide competent authorities with data to enable timely monitoring of theimplementation of the IRRBB policy package.

Mandatory reporting for institutions wasplanned as part of the implementation of the 3.4 framework, with the firstreference date of 30 September 2024.

IRRBB scope

In the published documents, theSupervisor repeatedly emphasizes that the design of this reporting was guidedby the adequacy and proportionality of obligations in relation to the size ofthe entity. Therefore, the sheets have been adapted to the obligated entities:

1. Large institutions,
2. SNCI – Small and Non-complex Credit Institutions
3. Other institutions – institutions that are neither large nor small and simple.

Most tables in the IRRBB report must be reported quarterly, regardless of the type of reporting entity. Only tables J 10.01, J 10.02, J 11.01 and J 11.02 have been introduced as being transmitted annually.

The entire report is divided into five the matic parts:

1. EVALUATION OF THE IRRBB: contains the levels and changes of EVE, NII, calculated as described in the EBA RTS on SOT, and also the level and changes of MV.
2. BREAKDOWN OF SENSITIVITY ESTIMATES: provides breakdowns of bank estimates of the SOT IRRBB sensitivities (EBA RTS on SOT)and MV changes.
3. REPRICING CASH FLOWS: contains detailed information on the repricing cash flows for the balance-sheet items (reported under an EVE perspective).
4. RELEVANT PARAMETERS: contains information on the relevant parameters to monitor the modelling of the IRRBB.
5. QUALITATIVE INFORMATION: contains qualitative data on methodologies used in the assessment of the IRRBB.

The following is a list of the IRRBB reporting tables:

The scope of data in tabular form along withinstructions for their completion are available on the EBA website, astemplates of Annexes No. 28 and 29 of the Commission Implementing Regulation(EU) 2021/451 of 17 December 2020:

https://www.eba.europa.eu/regulation-and-policy/supervisory-reporting/implementing-technical-standards-supervisory-reporting-amendments-regard-irrbb-reporting#pane-new-7bdd87fb-e02f-492a-99d6-129449e3cf9d  

IRRBB reporting in the eON and aSISt applications

The IRRBB report will be available in the aSIStand eON applications along with the implementation of the EBA framework 3.4package. Similarly to prudential and other reporting, the process of preparinga report in the application will remain unchanged:

• creating a report, defining or copying thecontext,
• import of external data or its manual entry,
• data editing and validation againstcorrectness rules,
• XBRL report generation.

The above steps will ensure the preparation ofa report in accordance with the Supervisor's requirements in an intuitive way that is familiar to many users.

IRRBB legal basis

ITS projects formulated in accordance with Art.430 section 7 of Regulation (EU) No 575/2013, which requires the EBA to develop uniform formats, definitions, frequencies and reference dates and transfers offunds, as well as IT solutions.

The proposed changes to the implementedtechnical standards (ITS) amending Regulation (EU) 2021/451 on supervisory reporting aimed at the implementation of new reporting on interest rate risk inthe banking book (IRRBB).

Final Report Draft Implementing Standards onIRRBB reporting under Commission Implementing Regulation (EU) 2021/451 –EBA/ITS/2023/03 of 31/07/2023.

The decision of the European Banking Authority EBA/DC/501 of 3 August 2023 concerning ad hoc collection by competent authorities to the EBA of institutions’ IRRBB data and amendment of the Annex to the EUCLID Decision.