Implementing Technical Standards on specific reporting requirements for market risk

  • Status: Adopted and published in the Official Journal of the EU

The original version of the Implementing Technical Standards (ITS) on supervisory reporting requirements for market risk were the first elements of the Fundamental Review of the Trading Book (FRTB) introduced by the revised Capital Requirements Regulation (CRR2) in the prudential framework of the EU. These requirements included 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).

With effect as of 2025, the reporting requirements on the market risk framework were expanded to capture further detailed information on the own funds requirements under the ASA, as well as a summary and detailed information on the own funds requirements under the Alternative internal model approach (AIMA), and transferred into Regulation (EU) 2021/451.

Summary of document history

Current version Ongoing versions

Consultation Paper on specific supervisory reporting requirements for market risk

  • Status: Closed
  • Deadline: 7 JANUARY 2020
Documents
Consultation paper

(169.46 KB - PDF) Last update 22 November 2019

Annex I - Templates

(28.09 KB - Excel Spreadsheet) Last update 22 November 2019

Annex II - Instructions

(96.3 KB - PDF) Last update 22 November 2019

Annex III - DPM and validation rule

(12.04 KB - PDF) Last update 22 November 2019

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Public Hearing on Consultation paper on Supervisory Reporting framework 3.0

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