EBA consults on amendments to the reporting on the Fundamental Review of the Trading Book

The European Banking Authority (EBA) has launched a public consultation on its draft Implementing Technical Standards (ITS) amending the reporting requirements on the Fundamental Review of the Trading Book (FRTB) approaches for the calculation of own funds requirements for market risks. The proposed amendments will provide supervisors with the necessary tools to monitor institutions’ compliance with the prudential rules.
The consultation paper sets out proposals for expanding the FRTB reporting framework, complementing the already existing reporting requirements with a comprehensive set of templates to capture details on the instruments and positions in scope of the Alternative Standardised Approach (A-SA) and Alternative Internal Model Approach (A-IMA). The amendments would effectively impact the reporting by entities with a sizable business subject to market risk. The proposed amendments would provide supervisors with the necessary data to monitor institutions’ implementation of the FRTB approaches and their compliance with own funds requirements for market risk.
The EBA expects to submit these draft ITS to the European Commission in the autumn of 2023, and the revised reporting requirements are expected to apply from the reference date 30 September 2024. The consultation paper also includes some concrete, first proposals regarding amendments to Regulation (EU) 2021/451 (ITS on Supervisory Reporting) linked to the introduction of the FRTB in the EU, such as a template for reporting information on reclassifications of positions between the regulatory books.