EBA consults on amending ITS on benchmarking of internal models for 2027 market risk benchmarking exercise

The European Banking Authority (EBA) has launched a consultation on draft implementing technical standards (ITS) amending Commission Implementing Regulation (EU) 2016/2070 with regard to the benchmarking of internal models and the standardised approach for market risk for the 2027 exercise. Article 78 of the Capital Requirements Directive 2013/36/EU requires competent authorities to conduct annual assessments of the quality of internal approaches used to calculate own funds requirements. To support competent authorities in this assessment, the EBA calculates and distributes benchmark values based on data submitted by institutions as set 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 2027 exercise, the EBA proposes to make the following changes:

• Updating the framework for the expanding scope of the market risk benchmarking exercise to institutions applying the CRR3 Alternative Standardised Approach, regardless of whether they use an internal model.
• Resuming the collection of data under the CRR2 Internal Model Approach.
• Postponing the 2027 benchmarking exercise to the second half of 2027.
• Postponing the collection of data under the CRR3 Alternative Internal Model Approach, given the uncertainty surrounding its effective implementation.
• Reorganising and rationalising the market risk reporting templates.

Booking instructions are included in an annex to the consultation paper. The deadline for comments is 3 September, with a public hearing scheduled for 28 July. The EBA will submit the draft ITS to the European Commission for endorsement before publication in the Official Journal of the European Union (OJ). The technical standards will apply 20 days after their publication in the OJ.

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