21 March 2023
The consultation paper expands the reporting on the Fundamental Review of the Trading Book (FRTB) approaches to the calculation of own funds requirements for market risks.
The expanded reporting will provide supervisors with the necessary data to monitor institutions’ compliance with the prudential rules.
The European Banking Authority (EBA) launched today a public consultation on its draft Implementing Technical Standards (ITS) amending the ITS on specific reporting requirements on market risks (FRTB reporting), aiming at providing supervisors with the necessary tools to monitor these risks. The consultation runs until 21 June 2023.
As the full implementation of the FRTB in the EU approaches, the proposals set out in the consultation paper complement the already existing reporting requirements with a comprehensive set of information on the instruments and positions to which institutions apply related to the FRTB approaches. The planned amendments will provide the supervisors with the necessary data to monitor institutions’ implementation of the FRTB approaches and their compliance with the own funds requirements for market risk. The amendments mostly affect institutions with significant business subject to market risk, thus reflecting the proportionality elements embedded in the Capital Requirements Regulation (CRR).
The consultation paper also illustrates a set of possible amendments to the ITS on supervisory reporting, mainly reflecting the trading book boundary framework. Those amendments are, in principle, relevant for all institutions.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 21 June 2023. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will be organised in the form of a webinar on 25 May 2023 from 11:00 to 12:00 CET. The EBA invites interested stakeholders to register using this link by 22 May 2023 at 16:00 CET.
The dial-in details will be communicated to the registered participants.
These draft ITS have been developed in accordance with Article 430b(6) of Regulation (EU) No 575/2013, which mandates the EBA to develop uniform reporting templates, the instructions and methodology on how to use the templates, the frequency and dates of reporting, the definitions and the IT solutions. The original ITS were published as Regulation (EU) 2021/453.
The EBA expects to submit these draft ITS to the European Commission in autumn 2023. The revised reporting requirements are expected to apply from the reference date 30 September 2024.
Franca Rosa Congiu