Fri. Oct 11th, 2024

11 January 2024

The European Banking Authority (EBA) published today amendments to the reporting requirements for market risk. As the implementation of the Fundamental Review of the Trading Book (FRTB) in the EU approaches, the EBA revised the information to be reported on the own funds requirements under the alternative approaches, and adds reporting on reclassifications of instrument between the regulatory books.

The amending technical standards complement the high-level information on the alternative standardised approach (ASA) that has been reported since 2021 with details on the instruments and positions in scope of the ASA, as well as a summary and detailed information on the instruments and positions in scope of the alternative internal model approach (AIMA).

The amending technical standards also introduce a simple template capturing information on the reclassification of instruments between the banking and trading books of an institution.

The revised reporting requirements, excluding the reporting on reclassifications, are expected to apply, for the first time, for the reporting as of the reference date of 31 March 2025.

Legal basis and background

The reporting requirements were developed on the basis of Article 430 of Regulation (EU) No 575/2013 (‘Capital requirements regulation’, CRR) and reflect the upcoming amendments to the CRR introduced by the CRR3. Against the background of the CRR3, the amending ITS transfer the reporting requirements currently included in Regulation (EU) 2021/451 (‘ITS on specific reporting requirements for market risk’) into Regulation (EU) 2021/453 (‘ITS on Supervisory Reporting’).

The updated data point model, validation rules and XBRL taxonomy accompanying the legal text will be published as part of release v3.5 of the EBA reporting framework.

Documents
  • Draft amending ITS on reporting requirements for market risk (FRTB reporting): Download
  • Annex I – TBT and MOV template [XLSX]: Download
  • Annex II – TBT and MOV instructions: Download
  • Annex III – ASA-AIMA templates [XLSX]: Download
  • Annex IV – ASA-AIMA instructions: Download
  • Annex V – Correlation table: Download
  • Annex VII – OG-scope example: Download
  • Annexes I to IV in tracked changes: Download
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