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    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.

     

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    Effective Date: April 05, 2021

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

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