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This consultation paper includes proposals for 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). This consultation paper is the first step to address the elements of the mandate of Article 430b CRR referring to the MKR-ASA. The reporting requirements on the new market risk framework will be gradually expanded over time.
Mindful of the importance of expanding the reporting requirements resulting from the FRTB in a proportionate manner, the EBA is taking a gradual approach as institutions will also continue to be subject to the current market risk framework and the associated reporting requirements.
This consultation paper is one of the deliverables presented in the EBA Roadmap on the risk reduction measures package, which includes the EBA’s strategy to implement the CRR2/CRD5, the BRRD2 and the IFR mandates in the reporting framework.
Responses to the consultations can be sent to the EBA by 7 January 2020. A public hearing will take place at the EBA premises on 2 December from 10:00 to 12:30.
Full consultation paper on EBA
Full annex I - templates on EBA
Full annex II - instructions on EBA
Full annex III – DPM and validation rule on EBA