2021/03/16

Commission Impl. Reg. (EU) 2021/453 of 15 March 2021 laying down implementing technical standards (ITS) for the application of the Capital Requirements Regulation (CRR) with regard to the specific reporting requirements for market risk was published in the Official Journal of the EU and shall apply from 5 October 2021. It introduces the uniform reporting specifications in accordance with Art. 430b CRR and with the delegated act referred to in Art. 461a, i.e., for the requirement introduced in the CRR II to report own funds under the Basel Committee on Banking Supervision’s (BCBS’s) 2019 risk-sensitive standardised approach for market risk. Institutions shall report the information referred to in Art. 430b, 94(1) and 325a(1) CRR to competent authorities on a quarterly basis as this information stands on 31 March, 30 June, 30 September and 31 December by close of business of the following days: 12 May, 11 August, 11 November and 11 February. Institutions shall report information on the size of their on- and off-balance-sheet business that is subject to market risk, and on the size of their trading book, on an individual basis or on a consolidated basis, as applicable, by using Template 90 of Annex I and in accordance with the instructions of Section 1 of Part II of Annex II. Institutions shall report the results of the calculations based on the alternative standardised approach as referred to in Art. 430b(1) CRR on an individual basis or on a consolidated basis, as applicable, by using Template 91 of Annex I and in accordance with the instructions of Section 2 of Part II of Annex II.

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