On 10 November 2021, the European Banking Authority (EBA) published its first draft implementing technical standards (ITS) on Pillar 3 disclosure of institutions’ exposures to interest rate risk on positions not held in the trading book (IRRBB).

From 28 June 2021, Article 448 of the Capital Requirements Regulation (CRR) requires institutions to disclose quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities which are referred to in Article 84 and Article 98(5) of the Capital Requirements Directive IV.

The draft ITS developed by the EBA will complement the comprehensive Pillar 3 standards by amending Implementing Regulation (EU) No 637/2021 of 15 March 2021 with the objective to facilitate the institutions’ compliance to the disclosure requirements of Article 448 of the CRR. The standards are also fully in line with the Pillar 3 disclosure framework of the Basel Committee on Banking Supervision.

The final draft ITS were submitted to the European Commission for adoption.