The EBA consults to amend data collection for the 2026 benchmarking exercise

The European Banking Authority (EBA) today launched a consultation to amend the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2026 exercise. The most significant changes, in the market risk framework, are the new templates for the collection of the alternative internal model approach (AIMA) risk measures under the fundamental review of the trading book (FRTB) and the extension of the scope of the exercise to banks that apply solely the Alternative Standardised Approach (ASA) methodology. For the credit risk framework only minor changes are being proposed. This consultation runs until 26 May 2025.

The EBA benchmarking exercise is the basis for both the supervisory assessment and the horizontal analysis of the outcome of internal models. It ensures consistent monitoring of the variability of own funds requirements resulting from the application of internal models as well as of the impact of the several different supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU. In this regard, this consultation paper updates the information to be collected in the 2026 exercise.

The changes will be substantial for the market risk part. Besides the new templates and instructions for collecting the AIMA FRTB risk measures (expected shortfall, default risk charge, and stress scenario risk measure),  the scope of the exercise will be extended to banks that apply solely the ASA methodology. This extension is a direct application of the revised wording of the Capital Requirements Directive (CRD VI) and has a massive impact on the number of banks participating in the market risk assessment. In this regard, the FRTB ASA data collection was already developed in the past exercises, so the amendments to the framework of the exercise are less extensive.

As regards the credit risk benchmarking, the amendments to the ITS will provide a mapping between the asset classes used for the definition of the benchmarking portfolios and the breakdown of Credit Risk IRB templates adopted in the revised ITS on supervisory reporting, in line with changes in the regulatory framework related to the new Banking Package (Capital Requirements Regulation - CRR3, and CRD6).

Consultation process

Responses to the consultations can be sent to the EBA by clicking on the "send your comments" button on the consultation page.

All contributions received will be published after the consultation closes, unless requested otherwise. The deadline for the submission of comments is 26 May 2025

A public hearing on this consultation will take place on 10 April 2025 from 14:00 to 15:30 CEST. Deadline for registration is 8 April 2025 at 16:00 CEST.

Legal basis

This draft ITS have been developed in accordance with article 78 of the CRD, which requires the EBA to specify the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises. These are used by competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.