Featured Product

    EBA Issues Standards on Reporting Requirements for Market Risk

    May 04, 2020

    EBA published the final draft implementing technical standards on specific reporting requirements for market risk under the Capital Requirements Regulation or CRR (575/2013). The draft technical standards, which are expected to apply from September 2021, will be submitted to EC for endorsement before being published in the Official Journal of the European Union. The reporting requirements will become part of Version 3.1 of the EBA reporting framework. Annexes I, II, and III of the implementing standards contain templates, instructions, and data point model and validation rules, respectively.

    The technical standards introduce the first elements of the Fundamental Review of the Trading Book (FRTB) into the EU prudential framework by means of a reporting requirement; however, the currently applicable market risk framework and the related existing reporting requirements will remain unchanged in the next reporting release. The specific reporting requirements for market risk include

    • A thresholds template, information providing insights into the size of the trading books of institutions and the volume of business subject to market risk
    • A summary template, reflecting the own funds requirements under the alternative standardized approach for market risk, also known as MKR-ASA

    Both the summary template and the thresholds template are envisaged to be reported quarterly. At a later stage, and in line with the mandate of Article 430b of the amended CRR, these reporting requirements will be complemented with details on the own funds requirements under the alternative standardized approach for market risk and the alternative internal model approach. 

    EBA is taking a gradual approach because it is mindful of the importance of expanding the reporting requirements resulting from FRTB in a proportionate manner, as institutions will also continue to be subject to the current market risk framework and the associated reporting requirements. Once clarity on the full implementation of the FRTB framework in the EU exists—including clarity on the implementation of the EBA roadmap on market risk and counterparty credit risk—the framework will be expanded to fully cover the new requirements. EBA will also develop the data-point model (DPM), XBRL taxonomy, and validation rules based on the final draft implementing technical standards and publish them soon.

     

    Related Links

    Keywords: Europe, EU, Banking, Market Risk, Reporting, FRTB, CRR, Own Funds Requirement, Standardized Approach, Reporting Framework 3.1, Internal Models, EC, EBA

    Featured Experts
    Related Articles
    News

    BSP Tackles Aspects of Lending and Islamic, Open & Sustainable Finance

    The Central Bank of the Philippines (BSP) issued communications covering developments related to online lending platforms, open finance framework and roadmap, and on the expected regulations in the area sustainable finance.

    January 16, 2022 WebPage Regulatory News
    News

    US Agencies Issue Regulatory Updates, FDIC Launches Tech Sprint

    The Board of Governors of the Federal Reserve System (FED) published the final rule that amends Regulation I to reduce the quarterly reporting burden for member banks by automating the application process for adjusting their subscriptions to the Federal Reserve Bank capital stock, except in the context of mergers.

    January 13, 2022 WebPage Regulatory News
    News

    EBA Issues Guide on Bank Resolvability, Consults on Transferability

    The European Banking Authority (EBA) published its assessment of risks through the quarterly Risk Dashboard and the results of the Autumn edition of the Risk Assessment Questionnaire (RAQ).

    January 13, 2022 WebPage Regulatory News
    News

    MFSA Publishes CRD5 Updates and Supervisory Priorities for 2022

    The Malta Financial Services Authority (MFSA) updated the guidelines on supervisory reporting requirements under the reporting framework 3.0.

    January 13, 2022 WebPage Regulatory News
    News

    HKMA Extends Repayment for Trade Facilities, Consults on Crypto-Assets

    The Hong Kong Monetary Authority (HKMA) published a circular, along with the reporting form and instructions, for self-assessment, by authorized institutions, of compliance with the Code of Banking Practice 2021.

    January 12, 2022 WebPage Regulatory News
    News

    FCA Registers Securitization Repositories; PRA Issues 2022 Priorities

    The Financial Conduct Authority (FCA) decided to register European DataWarehouse Ltd and SecRep Limited as securitization repositories under the UK Securitization Regulation, with effect from January 17, 2022.

    January 12, 2022 WebPage Regulatory News
    News

    EC Regulation Sets Out Methods for Measuring K-Factors Under IFR

    The European Commission (EC) published the Delegated Regulation 2022/25, which supplements the Investment Firms Regulation (IFR or Regulation 2019/2033) with respect to the regulatory technical standards specifying the methods for measuring the K-factors referred to in Article 15 of the IFR.

    January 11, 2022 WebPage Regulatory News
    News

    BIS Studies How Platform Models Impact Financial Stability & Inclusion

    The Bank of International Settlements (BIS) published a paper that assesses the ways in which platform-based business models can affect financial inclusion, competition, financial stability and consumer protection.

    January 10, 2022 WebPage Regulatory News
    News

    CBE Issues Additional Measures to Ease Disruptions from Pandemic

    The Central Bank of Egypt (CBE) published a circular with instructions on emergency liquidity assistance to banks that are unable to meet their liquidity requirements.

    January 10, 2022 WebPage Regulatory News
    News

    ESAs Publish List of Financial Conglomerates for 2021

    The European Supervisory Authorities (ESAs) published the list of identified financial conglomerates for 2021.

    January 07, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 7868