Featured Product

    EC Rule Sets Out Dates and Templates for Market Risk Reporting

    March 16, 2021

    EC published Regulation 2021/453, setting out the implementing technical standards for reporting requirements for market risk, in line with the Capital Requirements Regulation (CRR or 575/2013). The regulation on market risk reporting requirements addresses reference dates and reporting dates, reporting on the alternative standardized approach, reporting on the thresholds set out in CRR, and data exchange formats and information associated with submissions. The associated templates and instructions have been provided in Annexes I and II of the regulation, respectively. Regulation 2021/453 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from October 05, 2021.

    The regulation on market risk reporting requirements stipulates that institutions shall report, among others, the

    • information referred to in Articles 430b, 94(1), and 325a(1) of CRR to competent authorities on a quarterly basis as this information stands on March 31, June 30, September 30, and December 31.
    • on the size of their on- and off-balance-sheet business that is subject to market risk and on the size of their trading book, on an individual basis or on a consolidated basis, as applicable, by using template 90 of Annex I and in accordance with the instructions of Section 1 of Part II of Annex II to Regulation 2021/453.
    • results of the calculations based on the alternative standardized approach as referred to in Article 430b(1) of CRR on an individual basis or on a consolidated basis, as applicable, by using template 91 of Annex I to Regulation 2021/453 and in accordance with the instructions of Section 2 of Part II of Annex II to the Regulation.
    • results of calculations based on the alternative standardized approach, along with the thresholds, set out in CRR in the data exchange formats and representations specified by their competent authority.

    The regulation on market risk reporting requirements states that institutions shall report this information in the data exchange formats and representations specified by their competent authority and shall respect the data point definition of the data point model and the validation formulae laid down in Annex III. The information reported by institutions shall be associated with reporting reference date and reference period, reporting currency, accounting standard, Legal Entity Identifier (LEI) of the reporting institution, and scope of consolidation. Institutions shall be identified solely by their LEI. Legal entities and counterparties other than institutions shall be identified by their LEI, where available.

     

    Related Links

    Effective Date: April 05, 2021

    Keywords: Europe, EU, Banking, Market Risk, Reporting, CRR, FRTB, Standardized Approach, Internal Models, Basel, Regulatory Capital, EC

    Featured Experts
    Related Articles
    News

    EBA Publishes Final Regulatory Standards on STS Securitizations

    The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.

    September 20, 2022 WebPage Regulatory News
    News

    ECB Further Reviews Costs and Benefits Associated with IReF

    The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.

    September 15, 2022 WebPage Regulatory News
    News

    EBA Publishes Funding Plans Report, Receives EMAS Certification

    The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).

    September 15, 2022 WebPage Regulatory News
    News

    MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures

    The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.

    September 15, 2022 WebPage Regulatory News
    News

    BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules

    The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.

    September 15, 2022 WebPage Regulatory News
    News

    IOSCO Welcomes Work on Sustainability-Related Corporate Reporting

    The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)

    September 15, 2022 WebPage Regulatory News
    News

    BoE Allows One-Day Delay in Statistical Data Submissions by Banks

    The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.

    September 14, 2022 WebPage Regulatory News
    News

    ACPR Amends Reporting Module Timelines Under EBA Framework 3.2

    The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.

    September 14, 2022 WebPage Regulatory News
    News

    ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies

    The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)

    September 13, 2022 WebPage Regulatory News
    News

    APRA to Modernize Prudential Architecture, Reduces Liquidity Facility

    The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.

    September 12, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8514