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

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News
    News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News
    News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News
    News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News
    News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News
    News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News
    News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News
    News

    ESMA Publishes 2022 ESEF XBRL Taxonomy and Conformance Suite

    The General Board of the European Systemic Risk Board (ESRB), at its December meeting, issued an updated risk assessment via the quarterly risk dashboard and held discussions on key policy priorities to address the systemic risks in the European Union.

    December 22, 2022 WebPage Regulatory News
    News

    FCA Sets up ESG Committee, Imposes Penalties, and Issues Other Updates

    The Financial Conduct Authority (FCA) is seeking comments, until December 21, 2022, on the draft guidance for firms to support existing mortgage borrowers.

    December 20, 2022 WebPage Regulatory News
    News

    FSB Reports Assess NBFI Sector and Progress on LIBOR Transition

    The Financial Stability Board (FSB) published a report that assesses progress on the transition from the Interbank Offered Rates, or IBORs, to overnight risk-free rates as well as a report that assesses global trends in the non-bank financial intermediation (NBFI) sector.

    December 20, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8697