The members of the EACB welcome the opportunity to comment on the EBA draft GL on the management of interest rate risk arising from non-trading book activities (interest rate risk in the trading book, IRRBB).
While in principle we appreciate the idea to align the IRRBB framework to the recent regulatory developments we do not believe that the moment is appropriate. In fact, IRRBB constitutes a crucial component of the ongoing Review of the CRD/CRR, where numerous both high level and technical questions are on the table. It would be more efficient to postpone the new GL until the legislative process is concluded to avoid any misalignments and consequent recalibration of the GL. This would avoid unjustified additional implementation burden for institutions.
Moreover, we would also point out that overall the draft GL do not sufficiently address proportionality. A proportionate approach should not only lead to reduced reporting obligations, but should also foresee that only calculations that are needed for and justified by the business model and risk profile of the bank are performed. Also the systems and processes put in place should reflect the nature of the institution’s business and should only cover the relevant material risks for the institutions in question.