On 21 June, ESBG submitted its response to the consultation launched by the European Banking Authority (EBA) in March 2023 on its draft Implementing Technical Standards (ITS) amending the ITS on specific reporting requirements on market risks (FRTB reporting).

The consultation paper sets out proposals to complement the already existing reporting requirements with a comprehensive set of information on the instruments and positions to which institutions apply related to the FRTB approaches.

The planned amendments will provide the supervisors with the necessary data to monitor institutions’ implementation of the FRTB approaches and their compliance with the own funds requirements for market risk.

ESBG’s response focused on the below headlines:
• Introduction of a materiality threshold for the reporting on offsetting group level
• High level of complexity with respect to A-SA reporting
• Need for clarity on definitions on “risk transfer” and “trading /banking book reclassification”
• Materiality threshold for reporting/obtaining regulatory permission to reclassify a transaction
• Cost of compliance with the reporting requirements