COMMISSION IMPLEMENTING REGULATION (EU) 2021/453

of 15 March 2021

laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the specific reporting requirements for market risk

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular Article 430b(6) thereof,

Whereas:

(1) In 2019, the Basel Committee on Banking Supervision (BCBS) published the revised ‘Minimum capital requirements for market risk’, which addressed the weaknesses in the prudential treatment of banks’ trading book activities and introduced, amongst others, the requirement for a risk-sensitive standardised approach for market risk, which is designed and calibrated to serve as a credible fall-back to the internal models approach.

(2) Regulation (EU) 2019/876 of the European Parliament and of the Council (2) amended Regulation (EU) No 575/2013 to introduce into the prudential framework of the Union the requirement for institutions to report information on the own funds requirements under that alternative, risk-sensitive standardised approach.

(3) Uniform reporting requirements regarding the own funds under that alternative standardised approach in relation to the reporting to competent authorities in accordance with Article 430b of Regulation (EU) No 575/2013 and in accordance with the delegated act referred to in Article 461a of that Regulation should be laid down.

(4) According to Article 430b(1) of Regulation (EU) No 575/2013, the specific reporting requirements for market risk set out in that Article should apply as of the date of application of the delegated act referred to in Article 461a of that Regulation. It is therefore appropriate that the date of application of this Regulation is streamlined with the date of application of that delegated act.

(5) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority (EBA).

(6) The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3),

HAS ADOPTED THIS REGULATION:

Article 1 Reference dates and reporting dates 1. Institutions shall report the information referred to in Articles 430b, 94(1) and 325a(1) of Regulation (EU) No 575/2013 to competent authorities on a quarterly basis as this information stands on 31 March, 30 June, 30 September and 31 December. 2. Institutions shall report the information referred to in paragraph 1 by close of business of the following days: 12 May, 11 August, 11 November and 11 February. 3. Where the day referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be reported, or is a Saturday or a Sunday, the information shall be submitted by close of business of the following working day. 4. Institutions shall provide the competent authorities with any corrections to the reported information without undue delay.

Article 2 Reporting on thresholds set out in Articles 94(1) and 325a(1) of Regulation (EU) No 575/2013 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 to this Regulation.

Article 3 Reporting on the alternative standardised approach Institutions shall report the results of the calculations based on the alternative standardised approach as referred to in Article 430b(1) of Regulation (EU) No 575/2013 on an individual basis or on a consolidated basis, as applicable, by using template 91 of Annex I to this Regulation and in accordance with the instructions of Section 2 of Part II of Annex II to this Regulation.

Article 4 Data exchange formats and information associated with submissions 1. Institutions shall report the information referred to in Articles 2 and 3 of this Regulation in the data exchange formats and representations specified by their competent authority and shall respect the data point definition of the data point model and the validation formulae laid down in Annex III. 2. Information that is not required or not applicable shall not be included in the data submission. 3. Numeric values shall be submitted as follows: (a) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to thousands of units; (b) data points with the data type ‘Percentage’ shall be expressed per unit with a minimum precision equivalent to four decimals; (c) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units. 4. Institutions shall be identified solely by their Legal Entity Identifier (LEI). Legal entities and counterparties other than institutions shall be identified by their LEI where available. 5. The information reported by institutions shall be associated with the following: (a) reporting reference date and reference period; (b) reporting currency; (c) accounting standard; (d) Legal Entity Identifier (LEI) of the reporting institution; (e) scope of consolidation.

Article 5 Entry into force and date of application This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. It shall apply from 5 October 2021.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 15 March 2021 For the Commission The President Ursula VON DER LEYEN

(1) OJ L, 176, 27.6.2013, p. 1.

(2) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).

(3) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).