ITS amendments on disclosure of IRRBB published in the Official Journal

2022/04/19

Commission Implementing Regulation (EU) 2022/631 amending the disclosure implementing technical standards (ITS), Regulation (EU) 2021/637, was published in the Official Journal of the EU and will enter into force on 9 May 2022. It sets out templates and instructions for the disclosure of interest-rate risk in the banking book (IRRBB) as introduced in Article 448 of the Capital Requirements Regulation (CRR) and reflecting the Pillar-3 framework review of the Basel Committee on Banking Supervision (BCBS). Included are a table containing qualitative information and a template containing quantitative information on interest-rate risks of non-trading book activities. In their first disclosure according to these ITS, institutions are required to provide only the information for the current period.