EBA consultation on amending data collection for 2026 benchmarking under CRD IV

The European Banking Authority (EBA) has published a consultation paper containing draft implementing technical standards (ITS) on amending Commission Implementing Regulation (EU) 2016/2070 with regard to the benchmarking of internal models in advance of the 2026 benchmarking exercise. Article 78 of Directive 2013/36 (CRD VI) requires competent authorities to conduct an annual assessment of the quality of approaches used for the calculation of own funds requirements. To assist competent authorities in this assessment, the EBA calculates and distributes benchmark values to competent authorities that allows a comparison of individual institutions' risk parameters. These benchmark values are based on data submitted by institutions as laid out in Commission Implementing Regulation (EU) 2016/2070 which specifies the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises.

For the 2026 benchmarking exercise:

• For market risk, changes are suggested to the templates and instructions for the Alternative Internal Model Approach (AIMA) framework, reflecting the changes introduced with the fundamental review of the trading book (FRTB). Given the complexity of the AIMA FRTB implementation, the initial application of the data submission has been reduced to a smaller subset of the instruments and portfolios than were required for the previous IMA framework. Granular data collection is limited to Expected Shortfall and Stress Scenario Risk Measures, while Default Risk Charge will be considered for future developments. Additionally, though no substantial change was introduced in the FRTB Alternative Standardised Approach (ASA) data collection, with proposed changes to Article 78 of the CRD which will enter into force at the beginning of 2026, the 2026 benchmarking exercise will see an increase in the number of institutions in the scope of the ASA data collection and the EBA benchmarking exercise will pay close attention to implementing the FRTB ASA framework.
• For credit risk, to the asset classes definition to align with the breakdown of Credit Risk IRB templates adopted in the revised ITS on supervisory reporting.

The deadline for responses is 26 May. Alongside the consultation, the EBA also published a press release reinforcing the benchmarking exercise and linking the four annexes to the ITS.

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