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Changes in IRRBB reporting banks

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In the area of Interest Rate Risk in the Banking Book (IRRBB) newly introduced reporting schemes for significant institutions (and a few less significant institutions) will be added to the existing reporting. Amongst others, significant institutions will have to report in the context of the ECB short term exercise (STE) for IRRBB (less detailed) and Credit Spread Risk in the Banking Book (CSRBB). As a result, DNB has decided to stop the DNB interest rate risk reporting requirement as of December 2023 for significant institutions.

Published: 13 November 2023

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Upcoming reporting requirements IRRBB

Several existing and to be introduced reporting schemes will have to be submitted by significant institutions coming period.

As of Q4 2023 the one-time EBA ad-hoc IRRBB-reporting will be required to be submitted by institutions which are part of the regular QIS exercise. Moreover, the ECB has broadened the scope of this EBA ad-hoc exercise to all significant institutions (at the highest level of consolidation). This reporting scheme will finally be replaced per Q3 2024 by the IRRBB reporting requirements which are part of the updated Implementing Technical Standards (ITS). Furthermore, the ECB will request IRRBB and CSRBB templates through the STE starting Q4 2023. Starting Q1 2024 the IRRBB part will no longer be required. As a result of the prior reporting requirements DNB has decided to stop its DNB interest rate risk reporting requirement for significant institutions as of December 2023 (see table 1).

Table 1: IRRBB reporting and submit dates for significant institutions (SIs)

IRRBB reporting and submit dates for significant institutions (SIs)

Continuation interest rate risk reporting for small and medium size institutions (LSIs)

The ECB STE will not be required to be submitted by LSIs and the EBA QIS exercise only includes a few LSIs. As a result, DNB will continue the DNB interest rate risk reporting requirements for LSIs. As of November 2024 the EBA ITS on IRRBB will replace the DNB interest rate risk reporting requirement. See table 2 for relevant reporting schemes and timelines for LSIs.

Table 2: IRRBB reporting requirements and dates for LSIs

IRRBB reporting requirements and dates for LSIs

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