European Banking Authority launches consultation to update 2026 benchmarking data collection with FRTB AIMA templates and wider ASA coverage

The European Banking Authority has launched a consultation on amending the Implementing Technical Standards underpinning the 2026 EU benchmarking exercise for credit risk, market risk and IFRS 9 models, updating the data and templates to be collected for supervisory benchmarking. The proposed changes are concentrated in the market risk framework, introducing new templates and instructions to collect Alternative Internal Model Approach risk measures under the Fundamental Review of the Trading Book, including expected shortfall, default risk charge and the stress scenario risk measure. The exercise would also extend to banks that apply only the Alternative Standardised Approach, reflecting revised Capital Requirements Directive VI wording and increasing the number of institutions captured, while noting that ASA data collection was already developed in prior exercises. For credit risk, only limited amendments are proposed, mainly to map benchmarking portfolio asset classes to the breakdown of Internal Ratings Based templates in the revised supervisory reporting ITS, aligned with Capital Requirements Regulation III and Capital Requirements Directive VI. The consultation closes on 26 May 2025. A public hearing is scheduled for 10 April 2025, with registration due by 8 April 2025, and responses will be published after the consultation ends unless contributors request otherwise.