EBA Issues Standards on Reporting Requirements for Market Risk
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.
Keywords: Europe, EU, Banking, Market Risk, Reporting, FRTB, CRR, Own Funds Requirement, Standardized Approach, Reporting Framework 3.1, Internal Models, EC, EBA
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