Europejski Urząd Nadzoru Bankowego, Raport końcowy Projekt standardów wykonawczych dotyczący sprawozdawczości IRRBB zgodnie z rozporządzeniem wykonawczym Komisji (UE) 2021/451

EBA/ITS/2023/03

31/07/2023

Final Report Draft Implementing Standards on IRRBB reporting under Commission Implementing Regulation (EU) 2021/451

1. Executive Summary

This Final Report proposes amendments to the implementing technical standards (ITS) on supervisory reporting with regard to interest rate risk in the banking book (IRRBB) reporting requirements. This new, harmonised reporting aims to bring the data quality required for assessing IRRBB risks on an appropriate scale of institutions, including large institutions, small and noncomplex institutions (SNCIs) and institutions other than large institutions and SNCIs (‘other institutions’), which cannot be left outside the scrutiny of IRRBB risks. It is strictly related to the completion of the policy work on:

I. The regulatory technical standards (RTS) on supervisory outlier test (SOT), which specify the common modelling assumption and supervisory shock scenarios that institutions shall apply to evaluate the decline in economic value of...