Financial Supervisory Authority of Norway clarifies scope and template requirements for IRRBB regulatory reporting

The Financial Supervisory Authority of Norway issued general guidance to improve data quality in banks’ and credit institutions’ regulatory reporting of interest rate risk in the banking book (IRRBB), drawing on the first two reporting cycles since the requirement was incorporated into Norwegian rules and first reported for the third quarter of 2024. IRRBB must be reported at both solo and consolidated levels, while banks subject to other consolidated reporting only due to participation in cooperating groups under section 21 of the CRR/CRD regulation are to report IRRBB only at solo level. The notice sets out the required IRRBB templates and frequency by Capital Requirements Regulation category: large institutions report J 01.00, 02.00, 05.00 and 08.00 quarterly and J 10.01 and 10.02 annually; other institutions report J 01.00, 03.00, 06.00 and 09.00 quarterly and J 11.01 and 11.02 annually; small, non-complex institutions report J 01.00, 04.00, 07.00 and 09.00 quarterly and J 11.01 and 11.02 annually. It also stresses that all fields must be completed using the correct unit (amounts, basis points or rates) and with the correct sign, including for rate fields. Firms must additionally complete annual general quantitative information on the IRRBB method used (internal method, standard method or simplified standard method) in templates 10.01 and 11.01. The methodology for the standard and simplified standard methods follows Delegated Commission Regulation (EU) 2024/856, and the simplified standard method is limited to small, non-complex institutions under section 36a of the CRR/CRD regulation; internal models should be assessed against the EBA guidelines on IRRBB and credit spread risk outside the trading book (EBA/GL/2022/14).