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

    FINMA Approves Merger of Credit Suisse and UBS

    The Swiss Financial Market Supervisory Authority (FINMA) has approved the takeover of Credit Suisse by UBS.

    March 21, 2023 WebPage Regulatory News
    News

    BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks

    The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.

    March 13, 2023 WebPage Regulatory News
    News

    OSFI Finalizes on Climate Risk Guideline, Issues Other Updates

    The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.

    March 12, 2023 WebPage Regulatory News
    News

    APRA Assesses Macro-Prudential Policy Settings, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) published an information paper that assesses its macro-prudential policy settings aimed at promoting stability at a systemic level.

    March 07, 2023 WebPage Regulatory News
    News

    BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending

    BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.

    March 03, 2023 WebPage Regulatory News
    News

    HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks

    The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.

    March 02, 2023 WebPage Regulatory News
    News

    BCBS Report Examines Impact of Basel III Framework for Banks

    The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.

    February 28, 2023 WebPage Regulatory News
    News

    PRA Consults on Prudential Rules for "Simpler-Regime" Firms

    Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.

    February 28, 2023 WebPage Regulatory News
    News

    DNB Publishes Multiple Reporting Updates for Banks

    DNB, the central bank of Netherlands, updated the list of additional reporting requests and published additional data quality checks and XBRL-Formula linkbase documents for the first quarter of 2023.

    February 28, 2023 WebPage Regulatory News
    News

    NBB Sets Out Climate Risk Expectations, Issues Reporting Updates

    The National Bank of Belgium (NBB) published a communication on climate-related and environmental risks, issued an update on XBRL reporting

    February 24, 2023 WebPage Regulatory News
    RESULTS 1 - 10 OF 8797