​The EBA consults on amendments to data collection for the 2027 market risk benchmarking exercise

Key dates

2026-07-17

EBA launches consultation on amendments to ITS for the 2027 market risk benchmarking exercise

2026-07-27 Deadline

Deadline (16:00 CEST) for registration to the public hearing on the consultation

2026-07-28

Public hearing on the consultation (14:00–15:30 CEST)

2026-09-03 Deadline

Deadline for submission of comments to the EBA consultation on the 2027 market risk benchmarking ITS amendments

2027-01-01

Application date of the European Commission’s FRTB Delegated Act referenced in the amended ITS

Suggested considerations

• Compliance teams at EU credit institutions using market risk internal models or the CRR3 Alternative Standardised Approach may wish to review the consultation paper and annexes (booking instructions, relevant dates, instruments and portfolios, template instructions, and templates) to understand proposed changes to the 2027 benchmarking data collection and reporting requirements.
• Firms applying or planning to apply CRR2 Internal Model Approach for market risk should consider the implications of the resumption of CRR2-IMA data collection and assess whether existing reporting processes and systems can be reactivated or need updating to meet the revised ITS templates.
• Institutions intending to use the CRR3 Alternative Standardised Approach for market risk may wish to assess the impact of being newly in scope of the EBA market risk benchmarking exercise, including internal governance, data availability, and operational readiness for participation in the second half of 2027.
• Firms that anticipate using the CRR3 Alternative Internal Model Approach may wish to monitor the postponement of AIMA data collection and evaluate how the uncertainty in the effective implementation date interacts with their internal model development timelines and supervisory expectations.
• Regulatory and reporting functions may wish to map current market risk reporting templates to the proposed reorganised and rationalised templates, identifying data gaps and system changes required once the final ITS enter into force.
• Compliance teams may wish to coordinate with risk and reporting teams to prepare a response to the EBA consultation by the 3 September 2026 deadline, particularly on practical aspects of template design, data availability, and timing of the 2027 benchmarking exercise.
• Institutions newly included in scope by virtue of using CRR3 ASA should consider whether additional internal documentation, model validation, and supervisory engagement are needed ahead of the second-half 2027 benchmarking exercise, given the EBA’s intention to adopt the final ITS earlier to give such institutions more preparation time.

What changed

The consultation proposes amendments to the ITS on supervisory benchmarking of market risk models for the 2027 exercise, updating the data collection framework and reporting templates used by institutions and competent authorities under Article 78 of Directive 2013/36/EU (CRD). The scope of the market risk benchmarking exercise would be expanded to include institutions applying the CRR3 Alternative Standardised Approach (ASA) for market risk, irrespective of whether they also use an Internal Model Approach (IMA). The EBA proposes to resume the collection of data under the CRR2 Internal Model Approach (IMA), effectively reactivating previously existing reporting requirements for internal market risk models. The 2027 market risk benchmarking exercise would be postponed to the second half of

Who is affected

• EU credit institutions subject to CRD Article 78 market risk benchmarking
• EU banks using CRR2 Internal Model Approach (IMA) for market risk
• EU banks applying the CRR3 Alternative Standardised Approach (ASA) for market risk
• EU banks expected to use the CRR3 Alternative Internal Model Approach (AIMA) for market risk
• EU competent authorities conducting market risk model benchmarking under CRD

Related regulations

• CRD (Directive 2013/36/EU) Article 78 benchmarking of internal approaches
• CRR2 (Regulation (EU) 2019/876) Internal Model Approach for market risk
• CRR3 (proposed amendments to Regulation (EU) No 575/2013) Alternative Standardised Approach (ASA) and Alternative Internal Model Approach (AIMA) for market risk
• European Commission FRTB Delegated Act applicable from 2027-01-01