Commission Implementing Regulation (EU) 2022/631 of 13 April 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards the disclosure of exposures to interest rate risk on positions not held in the trading book (Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for institutions and amending Regulation (EU) No 648/2012 (1), and in particular Article 434a thereof,

Whereas:

(1) In December 2019, the Basel Committee on Banking Supervision (BCBS) reviewed its Pillar 3 framework, including the disclosure requirements on interest rate risk in the banking book (IRRBB) (2). In line with the development of the international standards agreed by the BCBS, IRRBB disclosure requirements, applicable from June 2021, were introduced in Article 448 of Regulation (EU) No 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council (3).

(2) Commission Implementing Regulation (EU) 2021/637 (4) should also incorporate the new implementing technical standards on the public disclosures of the IRRBB information set out in Article 448 of Regulation (EU) No 575/2013.

(3) In order to ensure that institutions disclose comprehensive and comparable information on IRRBB, a table containing qualitative information on interest rate risks of non-trading book activities and a template containing quantitative information on interest rate risks of non-trading book activities should be laid down.

(4) In order to provide institutions with sufficient time to prepare for the disclosure of information in accordance with this Regulation, institutions should be required to provide in their first-time disclosure only the information for the current period.

(5) Implementing Regulation (EU) 2021/637 should therefore be amended accordingly.

(6) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority.

(7) The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits, and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (5),

HAS ADOPTED THIS REGULATION:

Article 1

Amendment to Implementing Regulation (EU) 2021/637

Implementing Regulation (EU) 2021/637 is amended as follows:

(1) the following Article 16a is inserted: ‘Article 16a Disclosure of exposures to interest rate risk on positions not held in the trading book

(2) Annex XXXVII, as set out in Annex I to this Regulation, is added;

(3) Annex XXXVIII, as set out in Annex II to this Regulation, is added.

Article 2

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 13 April 2022.

For the Commission The President Ursula VON DER LEYEN

(1) OJ L 176, 27.6.2013, p. 1.

(2) ‘Disclosure requirements: DIS70: Interest rate risk in the banking book’. Version effective as of 15 December 2019. https://www.bis.org/basel_framework/chapter/DIS/70.htm.

(3) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012, (OJ L 150, 7.6.2019, p. 1).

(4) Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (OJ L 136, 21.4.2021, p. 1).

(5) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC, (OJ L 331, 15.12.2010, p. 12).