Updated interest rate risk reporting form

News
Datum 26 maart 2019

From 30 June 2019 onwards, banks must use a new form in the Digital Reporting Portal for their quarterly interest rate risk reports to DNB.

The update was prompted by the new EBA IRRBB guidelines and the phasing out of e-Line DNB.

Changes

No additional data are requested in the new form compared to the current reporting form in e-Line DNB. The form has remained the same as far as possible. The main changes are the following:

  • the principles listed in section 115 of the new IRRBB guidelines for calculating changes in the economic value of equity (∆EVE) have been added
  • qualitative monitoring of the six additional interest rate shocks
  • automatic aggregation of ∆EVE for the supervisory outlier test We will also update our explanatory notes to the quarterly report on interest rate risk in the banking book

STE data request

In parallel to the DNB interest rate risk report, significant institutions must also report their interest rate risk in the SSM Short Term Exercise (STE) form. The ECB is currently reviewing this form to bring it in line with the new EBA guidelines. It should be noted that these changes are not reflected one-on-one with the updated form in the digital Reporting Portal.