21 November 2019
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.
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.
Legal basis and next steps
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, definitions and instructions and specify the frequency, reference and remittance dates and the IT solutions for the reporting.
The EBA expects to submit these revised draft ITS to the European Commission in April 2020. The reporting requirements are envisaged to apply from March 2021, with the first reference date for reporting being the 31 March 2021. During the summer of 2020, the EBA will publish draft Data Point Models (DPM) on the proposed changes to supervisory reporting.