On 11 January 2024, the European Banking Authority (EBA) issued a final report containing draft implementing technical standards (ITS) amending Commission Implementing Regulation (EU) 2021/451 with regard to reporting requirements for market risk and repealing Commission Implementing Regulation (EU) 2021/453.
The draft ITS set out the frame and details for expanding the Fundamental Review of the Trading Book (FRTB) reporting framework. The amendments complement existing reporting requirements with a set of templates to capture details on the instruments and positions in scope of the Alternative Standardised Approach for market risk (ASA), as well as templates to capture summary and detailed information on the instruments and positions in scope of the alternative internal model approach (AIMA). As the ASA serves as a fallback-approach for calculating own funds requirements for AIMA desks, where the performance of the model is a matter of concern, institutions will also have to report details on the ASA own funds requirements for their AIMA desks.
The Capital Requirements Regulation (CRR) 3 proposal provisionally agreed by the co-legislators transfers the ‘nominal’ reporting obligation from Article 430b CRR to Article 430(2a) and (2b) CRR. The latter article will also be the basis for the reporting, once the FRTB becomes the binding framework for calculating own funds requirements. For this reason, the EBA explains that all amendments set out in the draft ITS will be included in Commission Implementing Regulation (EU) 2021/451.
The new reporting requirements regarding the ASA and the AIMA introduced by the draft ITS would impact first and foremost the reporting by entities with sizeable business subject to market risk.
The draft ITS will be submitted to the European Commission for endorsement before being published in the Official Journal of the European Union. The draft ITS are expected to apply for the first time for the reporting as of 31 March 2025. The EBA will also develop the data-point model (DPM), XBRL taxonomy and validation rules based on the draft ITS.