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 IFRS 9 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....