ESBG responds to the EBA consultation on IRRBB supervisory reporting

ESBG submitted its response to the consultation launched by the European Banking Authority (EBA) on 2 May 2023 on its draft Implementing Technical Standards (ITS) on supervisory reporting with respect to interest rate risk in the banking book (IRRBB). The consultation paper proposes new, harmonised reporting requirements for the assessment and monitoring of institutions’ IRRBB across the EU. This new reporting will provide supervisors the necessary data to monitor IRRBB risks in credit institutions, taking into careful consideration the concept of proportionality.

Since ESBG supports the introduction of more proportionality in reporting, we pointed out that the proposed the design of templates does not properly embrace this principle. In our view, the foreseen proportionality applied in practice does not really reduce the complexity of populating the templates, bearing in mind especially banking groups with large number of banking subsidiaries.

What is more, ESBG believes the level of detail in the data requests provides limited additional information about the IRRBB exposure of a bank, and it doesn’t improve the quality of internal management of IRRBB. The rationale and added value of requesting additional calculations besides supervisory outlier test (SOT) on economic value of equity (EVE), net interest income (NII) and standard repricing schedule is not clear.

Some examples of additional calculations whose purpose is unclear, especially for small entities, and which need to be provided on a quarterly basis are: i) the repricing schedule with contractual features; ii) PV01 with eliminating optionality; or iii) EVE and NII according to contractual features. ESBG also supports that some metrics should be reported at group level only and with lower frequency