On 4 May 2020, the European Banking Authority (EBA) published final draft Implementing Technical Standards (ITS) on specific reporting requirements for market risk. The final 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 EBA is required to develop ITS on specific reporting requirements for market risk in accordance with Article 430b of the Capital Requirements Regulation (CRR). These ITS are adopted by the European Commission in the form of Implementing Regulations. The reporting requirements defined in the 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 Capital Requirements Directive IV, the ITS on resolution planning reporting in accordance with Article 11 of the Bank Recovery and Resolution Directive and the guidelines on harmonised definitions and templates for funding plans.
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). Later, in line with the mandate of Article 430b of the CRR (as amended) 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 the 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.