EBA publishes final draft technical standards on specific reporting requirements for market risk

The European Banking Authority (EBA) published today its final draft Implementing Technical Standards (ITS) on specific reporting requirements for market risk. These ITS introduce the first elements of the Fundamental Review of the Trading Book (FRTB) into the EU prudential framework by means of a reporting requirement. The ITS are expected to apply from September 2021.

The specific reporting requirements for market risk include a thresholds template, providing insights into the size of institutions’ trading books and the volume of their business subject to market risk, and a summary template, reflecting the own funds requirements under the alternative standardised approach for market risk (MKR-ASA). At a later stage, and in line with the mandate of Article 430b of the amended Capital Requirements Regulation (CRR), these reporting requirements will be complemented with details on the own funds requirements under the MKR-ASA and the alternative internal model approach.

As announced in EBA Statement on the application of the prudential framework on targeted aspects in the area of market risk in response to the COVID-19 outbreak, published on 22 April 2020, the reporting requirements are expected to apply from September 2021.

Those reporting requirements will become part of version 3.1 of the EBA reporting framework.

Background and legal basis

The EBA is required to develop ITS on specific reporting requirements for market risk in accordance with Article 430b of the CRR. These ITS are adopted by the EU Commission in the form of Implementing Regulations. The reporting requirements defined in these ITS will become part of the overall EBA reporting framework, currently comprising the ITS on Reporting in accordance with Article 430 of the CRR, the ITS on Supervisory Benchmarking in accordance with Article 78 of the CRD, the ITS on Resolution Planning Reporting in accordance with Article 11 of the BRRD and the Guidelines on harmonised definitions and templates for Funding Plans.