EBA publishes Market Risk Reporting Standards
This week the European Banking Authority (EBA) published its final draft Implementing Technical Standards (ITS) on reporting requirements for market risk. They are expected to take effect in September 2021 as part of v.3.1 of the EBA reporting framework.
The requirements 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).
These reporting requirements form the first part of the Fundamental Review of the Trading Book (FRTB) to be introduced into the prudential framework of the EU. EBA is introducing reporting requirements for the new market risk framework gradually over time in order to prevent a potentially problematic reporting burden on institutions still subject to existing market risk frameworks.
The draft ITS report and files can be found here.
