EBA consults on institutions’ Pillar 3 disclosure of interest rate risk exposures

The European Banking Authority (EBA) launched today a public 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 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 draft ITS propose qualitative disclosures on how institutions calculate their IRRBB exposure values based on their internal measurement systems and on institutions’ overall IRRBB objective and management. They also provide quantitative disclosures about the impact of changes in interest rates on institutions’ economic value of equity and net interest income.

In addition, given the ongoing EBA work on the policy framework for IRRBB, the EBA is proposing transitional provisions that should facilitate institutions’ disclosures while the policy frameworks is being finalised.

If you want to know more, you can acces to the original post.