On 21 March 2022, the European Banking Authority (EBA) published a Consultation Paper (CP) on draft Implementing Technical Standards (ITS) amending Regulation (EU) 2021/453 with regard to the specific reporting requirements for market risk.

As the full implementation of the Fundamental Review of the Trading Book (FRTB) in the EU approaches, and with the aim to support institutions’ preparation for it, this CP sets out proposals for expanding the FRTB reporting framework. The proposals complement the existing reporting requirements with a comprehensive set of templates to capture details on the instruments and positions in scope of the Alternative Standardised Approach for market risk (A-SA), as well as templates to capture summary and detailed information on the instruments and positions in scope of the alternative internal model approach (A-IMA).

The new reporting requirements regarding the A-SA and the A-IMA introduced through this proposal would effectively impact first and foremost the reporting by entities with sizeable business subject to market risk.

In addition to the ITS on FRTB reporting, this CP also sets out ideas and some concrete, first proposals regarding amendments to Regulation (EU) 2021/451, linked to the introduction of the FRTB in the EU. The most noteworthy of those proposals is a template for reporting information on reclassifications of positions between the regulatory books.

The deadline for feedback to the CP is 20 June 2023.