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

EBA published final draft ITS on supervisory reporting for assessing the IRRBB. These standards introduce new reporting requirements aimed at harmonizing the assessment and monitoring of IRRBB risks across EU credit institutions. The reporting provides supervisors with data to monitor IRRBB risks, considering the concept of proportionality for SNCIs.
The new reporting covers aspects such as evaluating the impact of interest rate changes on institutions‘ EVE and NII, and it takes into account market value changes. It involves templates for assessing sensitivities, breakdowns of sensitivity estimates, repricing cash flows, relevant parameters, and qualitative information. Reporting frequency varies, with some templates being reported quarterly and others annually.
The reporting package also aligns with the implementation of the RTS on SOT, the RTS on standardised methodologies, and the Guidelines on IRRBB and credit spread risk. The standards are tailored to fit different types of institutions based on their complexity, and there is a focus on proportionality to reduce reporting costs for smaller institutions.
The implementation of these standards is significant given the current environment of changing interest rates and inflation. The reporting will help supervisors monitor IRRBB risks more effectively and ensure institutions are complying with the policies set by the EBA. These new reporting requirements shall apply from September 2024.