Amending draft EU ITS on benchmarking of internal models

The European Banking Authority (EBA) published its final draft implementing technical standards (ITS), amending the Implementing Regulation on the benchmarking of credit and market risk for the 2026 exercise. The EBA flags that the most significant change is in the area of market risk, where it is proposing to restrict the data collection to the information on the alternative standardised approach (ASA) from those banks that were granted the internal model approval. In light of the additional delay to the application of the Fundamental Review of the Trading Book (FRTB), the templates based on the alternative internal model approach (AIMA) have not been implemented.

On credit risk, the EBA report that only minor changes are being made to align the definitions used with the ITS on supervisory reporting following the implementation of Basel III. In particular, the EBA has introduced a mapping between the asset classes used in the benchmarking exercise and the breakdown of credit risk IRB templates adopted in the revised ITS on supervisory reporting.

The draft ITS will be submitted to the European Commission for endorsement and will apply 20 days after publication in the Official Journal.

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