Banks receive additional flexibility as EBA postpones market risk reporting requirements under CRR2 

The European Banking Authority (EBA) recently published its final draft Implementing Technical Standards (ITS) on specific reporting requirements for market risk. The document brings forward the first elements of the Fundamental Review of the Trading Book (FRTB) reflected as a reporting requirement. The ITS are expected to apply from September 2021.

EBA is taking a gradual approach in the implementation of the FRTB framework. In the first step, a threshold and summary templates are introduced under the alternative standardized approach (MKR-ASA), while in the second phase, details on the calculation of the own funds requirements under the MKR-ASA and alternative internal model approach shall be provided.

Institutions will be subject to the FRTB framework only if their trading book business and on- and off-balance-sheet business subject to market risk exceed certain thresholds that are defined in Articles 94 and 325a CRR. 

This article provides further insight on the threshold and the MKR-ASA summary templates.