The EBA is collecting bank data on interest rate risk in the banking book

EBA announced its decision to conduct an ad-hoc data collection exercise related to IRRBB. The collected data will be obtained from institutions already participating in the QIS and will use templates outlined in the final draft of ITS for IRRBB reporting. This data collection, with a reference date of the end of 31 December 2023, aims to provide relevant regulatory authorities with timely information to monitor the implementation of the IRRBB policy package. This monitoring is particularly crucial in the current economic context characterized by high inflation and increasing interest rates.
The purpose of this ad-hoc data collection is to give competent authorities and the EBA the necessary tools and data to assess risks stemming from fluctuations in interest rates and the execution of the IRRBB scrutiny plan. The collection process is designed to be proportionate and will apply solely to institutions that are already furnishing IRRBB data within the framework of the QIS exercise. The same templates used in the QIS exercise will be employed for reporting purposes once the final ITS for IRRBB reporting comes into effect.
The data submission deadline for this ad-hoc collection is set for 31 December 2023, and NCAs are expected to submit institutions‘ data to the EBA by March 2024.
A technical package that supports the collection process for this IRRBB ad-hoc data will be made accessible to the public on the EBA website by mid-October 2023, and this will be part of the reporting framework 3.3.