European Banking Authority amends 2026 benchmarking ITS to focus market risk data on the alternative standardised approach for internal model banks

The European Banking Authority published final draft Implementing Technical Standards amending the EU implementing regulation on supervisory benchmarking of credit and market risk for the 2026 exercise. The draft would significantly narrow the market risk benchmarking data collection to alternative standardised approach (ASA) information to be provided by banks with internal model approval, while making only minor changes for credit risk. For market risk, templates based on the alternative internal model approach (AIMA) have not been implemented due to further delays in the European Commission’s adoption of the Fundamental Review of the Trading Book (FRTB), keeping the participating sample the same as in the 2024 exercise. With a stable set of internal model approval (IMA) banks and portfolio composition, supervisors preferred to focus on the ASA side of the data collection, and deadlines are slightly later than in the 2025 exercise to give firms more time to transition to Data Point Model (DPM) 2.0. For credit risk, the EBA aligned benchmarking definitions with the amended supervisory reporting ITS following Basel III implementation in the EU by introducing a mapping between benchmarking asset classes and the revised breakdown used in credit risk IRB templates, allowing firms to continue using existing extraction and aggregation processes. The ITS are developed under Article 78 of the Capital Requirements Directive and support competent authorities’ annual assessments of the quality of internal approaches used for own funds requirements calculations. The EBA also published a statement confirming its response to the European Commission Delegated Act postponing the application of the FRTB in the EU.