Consultation Paper on specific supervisory reporting requirements for market risk

  • Consultation
  • 7 JANUARY 2020
  • EBA/CP/2019/13

The European Banking Authority (EBA) launched today a public consultation on specific supervisory reporting requirements for market risk, which are the first elements of the Fundamental Review of the Trading Book (FRTB) introduced by the revised Capital Requirements Regulation (CRR2) in the prudential framework of the EU. The consultation runs until 7 January 2020.

This consultation paper includes proposals for 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). This consultation paper is the first step to address the elements of the mandate of Article 430b CRR referring to the MKR-ASA. The reporting requirements on the new market risk framework will be gradually expanded over time.

Mindful of the importance of expanding the reporting requirements resulting from the FRTB in a proportionate manner, the EBA is taking a gradual approach as institutions will also continue to be subject to the current market risk framework and the associated reporting requirements.

This consultation paper is one of the deliverables presented in the EBA Roadmap on the risk reduction measures package, which includes the EBA’s strategy to implement the CRR2/CRD5, the BRRD2 and the IFR mandates in the reporting framework.

Consultation process            

Responses to the consultations can be sent to the EBA by clicking on the following link.

All contributions received will be published after the consultation closes, unless requested otherwise. The deadline for the submission of comments is 7 January 2020.

A public hearing will take place at the EBA premises on 2 December from 10:00 to 12:30. Please note that this public hearings covers all consultations on reporting in the context of the banking package (CRR2, CRD5, BRRD2) that were launched by the EBA, i.e. the consultation on the ITS on Reporting related to CRR2 and Backstop Regulation, the consultation on the ITS on disclosure and reporting on MREL and TLAC  and the consultation on this ITS.


The form is now closed.


Consultation paper

(169.46 KB - PDF) Last update 22 November 2019

Annex I - Templates

(28.09 KB - Excel Spreadsheet) Last update 22 November 2019

Annex II - Instructions

(96.3 KB - PDF) Last update 22 November 2019

Annex III - DPM and validation rule

(12.04 KB - PDF) Last update 22 November 2019