On 28 May 2021, the European Banking Authority (EBA) issued a consultation on draft implementing technical standards (ITS) on Pillar 3 disclosures regarding exposures to interest rate risk on positions not held in the trading book (IRRBB). The EBA has developed the draft ITS in accordance with its mandate in Article 434a of the Capital Requirements Regulation (CRR). When finalised the draft ITS will amend Implementing Regulation (EU) No 637/2021 of 15 March 2021 with the aim of facilitating institutions’ compliance with Article 448 CRR.
The draft ITS put forward comparable disclosures that would allow stakeholders to assess institutions’ IRRBB risk management framework as well as the sensitivity of institutions’ economic value of equity and net interest income to changes in interest rates. The proposed standards will amend the comprehensive ITS on institutions’ public disclosures, in line with the strategic objective of developing a single and comprehensive Pillar 3 package that should facilitate implementation by institutions and further promote market discipline.
The deadline for comments on the consultation is 30 August 2021.