EBA responds to market dynamics with revised reporting requirements for market risk
The European Banking Authority (EBA) has announced substantial amendments to the reporting requirements for market risk, largely in recognition of the EU’s Fundamental Review of the Trading Book (FRTB). The updates are designed to align reporting standards with evolving market dynamics and regulatory frameworks.
As part of these revisions, the EBA has fine-tuned the information to be reported on own funds requirements under alternative approaches. Notably, it has introduced a comprehensive reporting mechanism for reclassifications of instruments between the regulatory books. These strategic adjustments aim to enhance transparency and accuracy in reporting, offering a more granular view of market risk exposures.
The amending technical standards unveiled by the EBA are designed to complement the existing high-level information on the alternative standardised approach (ASA), which has been in effect since 2021. The new standards provide further details on instruments and positions falling under the ASA, alongside a summary and detailed breakdown of those covered by the alternative internal model approach (AIMA).
The timeline for the revised reporting requirements, excluding reclassifications, is set for implementation from the reporting period starting on 31 March 2025, giving financial institutions a year to align their reporting practices with the new standards.
Market participants can anticipate the updated data point model, validation rules, and XBRL taxonomy, set to be published as part of the release v3.5 of the EBA reporting framework.
Stay tuned for further updates.
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