What changed, Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards…

+ ### Article 16a — Disclosure of exposures to interest rate risk on positions not held in the trading book
+ **1.** Institutions shall disclose the information referred to in Article 448(1), points (a) and (b), of Regulation (EU) No 575/2013 by using template EU IRRBB1 set out in Annex XXXVII to this Regulation and by following the instructions set out in Annex XXXVIII to this Regulation.
+ **2.** Institutions shall disclose the information referred to in Article 448(1), points (c) to (g), of Regulation (EU) No 575/2013 by using table EU IRRBBA set out in Annex XXXVII to this Regulation and by following the instructions set out in Annex XXXVIII to this Regulation.
+ **3.** Where institutions disclose an information in accordance with paragraph 1 or 2 for the first time, the disclosure of that information relating to the previous reference date shall not be required.
+ ### ANNEX XXXVII
+ **Table EU IRRBBA - Qualitative information on interest rate risks of non-trading book activities**
+ *Free format text boxes for disclosure of qualitative information*
+ | Row number | Qualitative information - free format | Legal basis |  |
+ | (a) | A description of how the institution defines IRRBB for purposes of risk control and measurement |  | Article 448(1), point (e) |
+ | (b) | A description of the institution's overall IRRBB management and mitigation strategies |  | Article 448(1), point (f) |
+ | (c) | The periodicity of the calculation of the institution's IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB |  | Article 448(1), points (e) (i) and (v); Article 448(2) |
+ | (d) | A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable) |  | Article 448(1), point (e) (iii); Article 448(2) |
+ | (e ) | A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable) |  | Article 448(1), point (e) (ii); Article 448(2) |
+ | (f) | A high-level description of how the Institution hedges its IRRBB, as well as the associated accounting treatment (if applicable) |  | Article 448(1), point (e) (iv); Article 448(2) |
+ | (g) | A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable) |  | Article 448(1), point (c); Article 448(2) |
+ | (h) | Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures |  | Article 448(1), point (d) |
+ | (i) | Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional) |  |  |
+ | (1) (2) | Disclosure of the average and longest repricing maturity assigned to non-maturity deposits |  | Article 448(1), point (g) |
+ **Template EU IRRBB1 - Interest rate risks of non-trading book activities**
+ | Supervisory shock scenarios | a | b | c | d |  |
+ | Changes of the economic value of equity | Changes of the net interest income |  |  |  |  |
+ | Current period | Last period | Current period | Last period |  |  |
+ | 1 | Parallel up |  |  |  |  |
+ | 2 | Parallel down |  |  |  |  |
+ | 3 | Steepener |  |  |  |  |
+ | 4 | Flattener |  |  |  |  |
+ | 5 | Short rates up |  |  |  |  |
+ | 6 | Short rates down |  |  |  |  |
+ ### ANNEX XXXVIII
+ **Instructions for interest rate risk on positions not held in the trading book disclosure templates**