Europejski Urząd Nadzoru Bankowego, Raport końcowy - Projekt wykonawczych standardów technicznych zmieniających rozporządzenie wykonawcze Komisji (UE) 2021/451 w odniesieniu do wymogów sprawozdawczych w zakresie ryzyka rynkowego i uchylających rozporządzenie wykonawcze Komisji (UE) 2021/453

EBA/ITS/2024/02

11 January 2024

Final Report

Draft Implementing Technical Standards

Amending Commission Implementing Regulation (EU) 2021/451 with regard to reporting requirements for market risk and repealing Commission Implementing Regulation (EU) 2021/453

1. Executive Summary

1. Regulation (EU) 2019/876 (‘CRR2’) amending Regulation (EU) No 575/2013 (‘CRR’) introduced the Fundamental Review of the Trading Book (FRTB), developed by the Basel Committee on Banking Supervision (BCBS), into the prudential framework of the EU. Despite not yet being binding in terms of own funds requirements, the FRTB was implemented by means of a reporting requirement, constituting the first step towards the full implementation of the FRTB in the EU.

2. Article 430b CRR mandates the EBA to specify the details of the reporting on the own funds requirements calculated in accordance with the FRTB. The Implementing Technical Standards on specific reporting requirements for market risk (or ‘ITS on FRTB reporting’) hav...