30-04-2019 Revised interest rate risk report

As already published in the Newsletter Banks ( link), banks are required to  make use of a renewed form for the interest rate risk report as of reference date 30 June 2019. The submission of this revised report will take place via DLR. The renewal is the result of the new EBA IRRBB guidelines and the phasing out of e-Line DNB.

DLR
DNB is developing an XBRL taxonomy for the revised Interest Rate Risk report. Submitting the revised Interest Rate Risk report via DLR will become possible in two ways:

  • Sending an XBRL file directly, as is the case with current EBA ITS reports
  • Use an Excel input facility provided by DNB where an Excel can be uploaded via DLR. This Excel will then be converted to XBRL by the system. After the conversion, both the Excel file and the XBRL file will be accessible via DLR.

Excel input facility
The Excel input form consists of three tabs: two input sheets (R01.01 and R02.01) and a presentation overview.

Input sheet R01.01 relates to a number of more general data points.

Input sheet R02.01 relates to data points that are related to the various significant currencies. Five significant currencies are predefined (Euro, US Dollar, Pound Sterling, Australian Dollar and Turkish Lira). For these five currencies, a value must be reported at all times in column 030 (report 0 in case of no actual amount). In addition, the form offers space for 3 other significant currencies if relevant.

The presentation overview is similar to the old reporting form of the interest rate risk report and provides insight into total counts and the outcome of the outlier criterion. This overview is only included for informational purposes, no data points can be reported via this overview.

An example Excel input form can be found under "Downloads".