EBA 2027 Market Risk Benchmarking: Scope Widens to ASA Banks

ByOfficer

On 17 July 2026 the European Banking Authority opened a consultation (EBA/CP/2026/11) on draft Implementing Technical Standards that would reshape the 2027 market risk benchmarking exercise, and the change that matters most is one of population. The exercise that has run each year with around 40 institutions is set to capture around 100, because banks applying the CRR3 Alternative Standardised Approach will be pulled in whether or not they run an internal model. Comments are due by 3 September 2026, and a bank that has never filed a benchmarking submission may now have to build one.

The draft ITS amend Commission Implementing Regulation (EU) 2016/2070, the instrument that sets the benchmarking portfolios, templates and definitions for the annual exercise. The EBA frames the package as numerous but limited in substance: it resumes data collection under the CRR2 Internal Model Approach after the 2026 pause, defers mandatory collection under the CRR3 Alternative Internal Model Approach, moves the exercise to the second half of 2027, and reorganises the market risk annexes into a new structure. None of that is optional colour for a reporting officer. Each item changes who submits, when, and against which template.

This piece walks through what the consultation would change for market risk reporting teams, which reference dates decide whether a bank is in scope, and what an internal-model or ASA-only bank should check before the six-week window closes.

Related reading: our guide to CRR3 FRTB market risk reporting.

The 2027 market risk benchmarking calendar

Because the deadline urgency is the whole point of a six-week consultation, the calendar comes first. These are the operative dates in the consultation and the surrounding FRTB timetable:

  • 17 July 2026: the EBA publishes EBA/CP/2026/11 and the draft ITS amending Regulation (EU) 2016/2070.
  • 28 July 2026, 14:00 to 15:30 CEST: public hearing on the consultation. Registration closes 27 July 2026 at 16:00 CEST.
  • 3 September 2026: deadline for comments, submitted through the “send your comments” button on the consultation page.
  • End of October 2026: the reference point that, on the EBA proposal, determines which ASA institutions fall in scope for the first application of the new mandate.
  • 1 January 2027: the date from which the own funds requirements for market risk under the FRTB apply in the EU, set by Commission Delegated Regulation (EU) 2025/1496.
  • Second half of 2027: the rescheduled window for the benchmarking exercise itself, moved back from the first half to give new entrants preparation time.

One date deserves a footnote. The consultation paper body carries a placeholder submission date of 17 July 2026 in its “responding to this consultation” section, which is the publication date rather than the deadline. The EBA press release is the controlling statement: comments close on 3 September 2026. If an internal deadline tracker was populated from the consultation paper text alone, it would be six weeks early in the wrong direction, so check it against the press release.

Why the legal basis sits in the CRD, not the CRR

The benchmarking exercise is often filed mentally under the market risk capital rules, which live in the Capital Requirements Regulation. The mandate for the exercise itself sits elsewhere. Article 78 of Directive 2013/36/EU, the Capital Requirements Directive, requires competent authorities to conduct an annual assessment of the quality of the internal approaches banks use to calculate own funds requirements, and it obliges institutions using those approaches to submit the results of their calculations at least once a year. Article 78 was amended by CRD6, Directive (EU) 2024/1619 of 31 May 2024, which is what extends the exercise toward the FRTB approaches.

The technical scaffolding then comes from the CRR side. Regulation (EU) 2016/2070 specifies the templates and portfolios in accordance with Article 78(2) of the CRD, and the CRR3 amendments to the trading book rules, in Regulation (EU) 2024/1623, define the approaches being benchmarked. Getting the citation right matters for a response letter: a comment that argues the EBA has exceeded a CRR empowerment when the mandate is actually a CRD one will not land. For teams mapping the wider reporting build, our CRR3 FRTB market risk reporting and EU Basel III market risk and trading book capital explainers set out how the standardised and internal-model calculations feed the same numbers the benchmarking exercise now tests.

There is a second structural change worth naming. The credit risk and IFRS 9 components of the benchmarking exercise have migrated into Commission Implementing Regulation (EU) 2024/3117, the ITS on supervisory reporting, because that data is drawn from actual reported observations. Market risk benchmarking relies on hypothetical instruments and portfolios that do not exist inside the supervisory reporting framework, so it stays in its own ITS. The 2027 amending ITS therefore deal with market risk only, and the market risk annexes have been reorganised now that the credit risk material has left.

Who is newly in scope, and the reference date that decides it

The scope extension is the operational headline. Until now the exercise has drawn on the banks that run internal models. The draft ITS extend it to institutions applying the FRTB Alternative Standardised Approach, including banks that apply the ASA and nothing else. The EBA estimates this lifts the population from roughly 40 institutions to approximately 100.

Scope is not a static list, which is the trap for a bank sitting near the boundary. The obligation to apply the ASA methodology depends on conditions that move year to year, principally whether an institution qualifies for the derogation under Article 325a of the CRR and whether its on and off balance sheet business subject to market risk reaches or exceeds EUR 500 million, the threshold in Article 325a(1)(b) CRR that Article 78(1)(b) of the CRD points to. A bank can drift in and out of scope as its trading activity grows or shrinks.

To make participation determinable, the EBA proposes a fixed reference point rather than a live test on the day the exercise begins. Institutions that meet the inclusion criteria 12 months before the end of the exercise would be treated as in scope, and the end of the exercise is marked by the risk measures remittance date. On the proposed generalised notation that date is the fourth Friday of October each year, so the first application of the new ASA mandate would capture the banks applying the ASA as of the end of October 2026. Delivering this cleanly requires an amendment to Article 4 of the ITS, which the EBA has flagged. For banks near the EUR 500 million line, first-year inclusion turns on where they stood at the end of October 2026.

A narrower group needs separate attention. Some institutions qualify for the small trading book derogation under Article 94 of the CRR but still have to apply the FRTB ASA to capture foreign exchange or commodity risk arising from banking book positions. Where that banking-book business subject to market risk exceeds EUR 500 million, they fall in scope under Article 78 of the CRD despite having little or no trading book. For these banks the draft would require only a limited subset of the data: the instruments and portfolios in Annex IV of the benchmarking ITS, the sensitivities-based method validation portfolios, for the FX and commodity asset classes only. That carve-out prevents a banking-book-only institution from being compared against peers on a full trading portfolio it does not hold.

CRR2 internal models come back into the collection

The 2026 exercise paused data collection under the current CRR2 Internal Model Approach. The 2027 draft resumes it, and the reason is the transitional design of the FRTB itself. A further draft Commission delegated act on the FRTB would allow institutions that face an increase in own funds requirements when moving to the FRTB approaches to apply a multiplier, calculated using their current IMA, to neutralise that increase for a period of up to three years. During that phase a bank runs the FRTB ASA or AIMA in parallel with its CRR2 IMA, so the current model keeps producing numbers that supervisors will want to see benchmarked. Our note on the FRTB temporary multiplier sets out how that parallel calculation works.

The EBA reasons that Article 78 of the CRD supports continued benchmarking here, because it requires institutions applying an internal model to participate. The population of CRR2 IMA banks will thin over the transition, but maintaining the collection, on the EBA view, involves no additional build cost because the existing templates can be reused, and it gives supervisors a tool to monitor and challenge IMA outcomes while both frameworks run side by side. For a bank that had already decommissioned its benchmarking submission after the 2026 pause, the practical message is to expect the CRR2 IMA templates to reappear in the 2027 package.

A point of modality is worth holding onto. The transitional multiplier lives in a draft delegated act, and the EBA states plainly that finalisation of the 2027 ITS remains contingent on the European Commission’s FRTB proposal. The benchmarking obligation under Article 78 is in force; the transition mechanics that justify resuming IMA collection are not yet law. A response letter should keep that distinction rather than treating the multiplier as settled.

Why the AIMA templates are published but not yet mandatory

The Alternative Internal Model Approach is the FRTB internal model. The draft takes a deliberately soft line on it. The EBA proposes to defer mandatory data collection under the CRR3 AIMA until further notice, on the reasoning that the expected transitional period and the mitigation measures will leave very few banks initially adopting the AIMA. A benchmarking exercise depends on a sufficiently large and representative sample to produce meaningful peer comparisons, and a handful of early adopters would not support that.

The templates are still in the consultation, and this is the part that is easy to misread. Publishing the AIMA templates does not create an obligation to file them. The EBA has designed a simplified set so that stakeholders can review and comment now and so that a future exercise can switch the collection on without a fresh design cycle. Similar templates were consulted in the 2025 and 2026 benchmarking papers but dropped from the final reports after the two consecutive FRTB postponements; they return here in a lighter form aligned with the COREP AIMA structure, which our COREP reporting explainer describes.

The proposed AIMA templates are worth knowing by number, because they signal what a future mandatory collection would demand:

  • Template 130.01 reports the risk factor eligibility test, showing at portfolio level how many risk factors pass or fail the test, split across risk classes and sub-classes.
  • Template 130.02 reports the stress period applied for the exercise. It resembles the COREP template but pins the actual stress window, because the quarterly COREP timing does not align with the benchmarking exercise.
  • Template 130.03 reports the daily risk measures: the expected shortfall risk measure, the stress scenario risk measure and the default risk charge, per benchmarking portfolio, over a ten working day period.
  • Template 130.04 reports the internal expected shortfall and value at risk over the same two week window, so supervisors can check consistency with 130.03.

Where an AIMA collection does eventually run, institutions would submit only the instrument types traded under approved AIMA trading desks that are not prohibited by internal policy or excluded from the risk-measurement framework. That desk-level filter matters for scoping a build, because it narrows the submission to instruments the bank is actually authorised and equipped to model.

The annexes have been renumbered, and instruments have changed

The reorganisation of the market risk annexes is the change most likely to break an internal mapping quietly. With the credit risk and IFRS 9 material gone, the EBA has split the old Annex V and re-lettered the set. The proposed structure is Annex I for booking instructions, Annex II for the relevant dates of the exercise, Annex III for instruments and portfolios, Annex IV for ASA validation, Annex V for template instructions and Annex VI for templates. The substance of the instructions and portfolios is described as largely unchanged; the containers around them have moved.

The relationship is not a clean rename. The new Annex I, II and III all derive from sections of the previous Annex V, the old Annex X becomes Annex IV, the previous Annex VI becomes Annex V, and the previous Annex VII becomes Annex VI. Any lookup logic, validation script or data dictionary that references benchmarking annexes by number will need to be repointed. This is the one place I always re-run a full cross-reference check before signing off a benchmarking build, because a template that still validates against last year’s annex letter will pass a local check and fail at submission.

The dates themselves also change form. To avoid re-issuing the ITS every year, Annex II expresses the reference and remittance dates in generalised notation, naming the weekday and week of the month, such as the fourth Friday of a given month, rather than a fixed calendar date. The benchmark dates stay unambiguous but no longer require an annual update. A calendar built on hard-coded 2026 dates should be rebuilt to resolve the generalised rule for each year.

On the instrument set, the draft removes 37 instruments deemed redundant across the equity, interest rate, foreign exchange, credit spread and correlation trading categories, and adds 10 new instruments across equity, interest rate, foreign exchange, commodity and credit spread classes, drawing on a dedicated EBA data collection of instruments currently held in participants’ trading books. The template instructions in the new Annex V are otherwise unchanged apart from the four new AIMA templates. A team that maintains a mapped instrument library should reconcile it against the revised Annex III rather than assume last year’s identifiers still resolve.

What ASA-only banks actually have to file

For the banks entering the exercise for the first time under the ASA, the data framework is described as largely unchanged from the existing ASA collection, which is the reassuring half of the message. The harder half is that participation itself is new, and the submission is conditional on the bank’s own book. Institutions in scope for the ASA data collection are required to submit the instruments and corresponding portfolios in Annex III only where those instruments are compatible with their internal policies and trading systems. A bank does not report a hypothetical portfolio it could not actually trade or model under its own governance.

That conditionality is a design choice to keep the peer comparison honest, and it shifts real work onto the newly included banks. Each institution has to assess, instrument by instrument, whether the benchmarking portfolio is compatible with its internal setup, document that assessment, and be ready to explain omissions to its competent authority. For a bank that has never mapped the EBA benchmarking portfolios, that assessment is the first build task, ahead of any template population. The validation rules that govern these submissions are the same family described in our EBA validation rules explainer, and a first-time filer should expect to fail some checks on the first dry run.

Reading the EU exercise against the UK timetable

Because market risk implementation is diverging across jurisdictions, it is easy to import an assumption from one regime into another. The benchmarking exercise here is a purely EU instrument under the CRD and CRR as amended by the 2024 banking package. The United Kingdom runs its own market risk framework under Basel 3.1, with the PRA setting its own approach to internal-model adjustments and its own implementation date, which our PRA Basel 3.1 market risk explainer covers. A UK-headquartered group with EU subsidiaries should treat the EBA benchmarking obligation as applying to the EU entities on EU rules, and not read across the FRTB application dates, the ASA scope test or the benchmarking templates from one side of the Channel to the other.

The same discipline applies inside the EU package. The FRTB own funds requirements apply from 1 January 2027 under Delegated Regulation (EU) 2025/1496, but during the postponement institutions continue to use their pre-FRTB methodologies for own funds, while the FRTB standardised approach feeds the output floor calculation described in our CRR3 output floor explainer. The benchmarking exercise sits alongside all of that as a supervisory quality check, not as a capital requirement in its own right.

Frequently Asked Questions

Is the 2027 market risk benchmarking exercise already in force, or is this only a consultation?

This is a consultation on draft ITS, open until 3 September 2026. The underlying obligation to participate in benchmarking is in force under Article 78 of the CRD, but the specific 2027 amendments to Regulation (EU) 2016/2070 are proposals. The EBA states the draft ITS will be submitted to the Commission for endorsement and will apply 20 days after publication in the Official Journal, and that finalisation remains contingent on the Commission’s FRTB proposal.

My bank applies the Alternative Standardised Approach but runs no internal model. Are we now in scope?

Under the draft you would be, if your on and off balance sheet business subject to market risk reaches or exceeds EUR 500 million, the Article 325a(1)(b) CRR threshold referenced by Article 78(1)(b) CRD. The test is applied at a fixed reference point 12 months before the end of the exercise, which the EBA links to the risk measures remittance date on the fourth Friday of October, so the first application would look at banks applying the ASA as of the end of October 2026.

We have a banking book only and use the ASA solely for FX and commodity risk. Do we file the full portfolio?

No. Where an institution benefits from the Article 94 CRR small trading book derogation but must apply the FRTB ASA for banking-book FX or commodity exposures above the EUR 500 million threshold, the draft requires only a limited subset: the Annex IV sensitivities-based method validation portfolios for the FX and commodity asset classes. The EBA notes this scope may be widened in later exercises once the materiality of these positions is assessed.

Why is the CRR2 internal model approach data being collected again after the 2026 pause?

Because the FRTB transition lets banks run their current IMA in parallel with the new approaches, using a multiplier to neutralise capital increases for up to three years under a draft delegated act. The current models keep producing figures, and Article 78 of the CRD requires internal-model users to participate, so the EBA proposes to resume the CRR2 IMA collection using the existing templates.

Do we have to build and submit the new AIMA templates 130.01 to 130.04 for 2027?

Not on a mandatory basis. The EBA proposes to defer the CRR3 AIMA data collection until further notice, citing limited initial uptake. The four templates are published in the consultation for review and comment so a future exercise can activate the collection, but they are not a required 2027 submission.

Our validation scripts reference the benchmarking annexes by number. Does the reorganisation affect them?

Yes. The market risk annexes are renumbered into a six-annex structure, with Annex I to III derived from the old Annex V, the old Annex X becoming Annex IV, and the previous Annex VI and VII becoming Annex V and VI. Any script, data dictionary or mapping keyed on annex letters needs repointing, and the reference dates are now expressed in generalised weekday notation rather than fixed calendar dates.

When can we raise concerns directly with the EBA?

Through the written consultation, by the “send your comments” button on the consultation page, until 3 September 2026, and at the public hearing on 28 July 2026 from 14:00 to 15:30 CEST, for which registration closes on 27 July 2026 at 16:00 CEST. The EBA asks that comments respond to the specific questions, identify the point at issue and provide supporting evidence.

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Key Takeaways

  • The EBA consultation EBA/CP/2026/11, published 17 July 2026, would amend Regulation (EU) 2016/2070 for the 2027 market risk benchmarking exercise. Comments close 3 September 2026.
  • Scope expands from around 40 to around 100 institutions by including banks that apply the CRR3 Alternative Standardised Approach, with or without an internal model.
  • The scope test is the EUR 500 million on and off balance sheet market risk threshold under Article 325a(1)(b) CRR, applied at a fixed reference point tied to the fourth Friday of October, so end-October 2026 status decides first-year inclusion.
  • Banking-book-only ASA institutions above the threshold file only the Annex IV FX and commodity validation portfolios, not the full set.
  • CRR2 IMA data collection resumes after the 2026 pause, because banks run current models in parallel during the FRTB transition and Article 78 CRD requires internal-model users to participate.
  • Mandatory CRR3 AIMA collection is deferred until further notice; templates 130.01 to 130.04 are published for comment only.
  • The market risk annexes are renumbered into a six-annex structure and reference dates move to generalised weekday notation, so annex-keyed scripts and hard-coded date calendars need reworking.
  • The exercise moves to the second half of 2027, and the draft ITS finalisation remains contingent on the Commission’s FRTB proposal.

Sources and References

  • European Banking Authority, press release, “The EBA consults on amendments to data collection for the 2027 market risk benchmarking exercise” (17 July 2026): eba.europa.eu
  • EBA/CP/2026/11, Consultation Paper, “Draft Implementing Technical Standards on amending Commission Implementing Regulation (EU) 2016/2070 with regard to the benchmarking of approaches for calculating own funds requirements – 2027 market risk benchmarking exercise” (17 July 2026).
  • Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down ITS for templates, definitions and IT-solutions for benchmarking, in accordance with Article 78(2) of Directive 2013/36/EU: eur-lex.europa.eu
  • Directive 2013/36/EU (CRD), Article 78 (benchmarking of internal approaches): eur-lex.europa.eu
  • Directive (EU) 2024/1619 (CRD6) of 31 May 2024 amending Directive 2013/36/EU: eur-lex.europa.eu
  • Regulation (EU) 2024/1623 (CRR3) of 31 May 2024 amending Regulation (EU) No 575/2013: eur-lex.europa.eu
  • Commission Delegated Regulation (EU) 2025/1496 of 12 June 2025 amending Regulation (EU) No 575/2013 as regards the date of application of the own funds requirements for market risk (FRTB postponement to 1 January 2027): eur-lex.europa.eu
  • Commission Implementing Regulation (EU) 2024/3117 (ITS on supervisory reporting), to which the credit risk and IFRS 9 benchmarking components migrated.
  • European Commission, “Commission adopts temporary adjustments to Basel III market risk rules to safeguard EU banks’ competitiveness”: finance.ec.europa.eu

What reporting teams should do before 3 September

The consultation reads as technical housekeeping, and for the banks already inside the exercise it largely is. For the roughly 60 institutions that the scope extension would pull in for the first time, it is a build. The first build task is a scope decision anchored on end-October 2026 status and the EUR 500 million threshold, followed by an instrument-by-instrument compatibility assessment against the revised Annex III, with template population coming after. Teams that already file should repoint any annex-keyed logic, rebuild date calendars off the generalised notation, and reconcile their instrument library against the 37 removals and 10 additions. Whichever camp a bank sits in, the six-week window is the moment to raise a scoping ambiguity or a template concern with the EBA in writing, rather than after the ITS are endorsed.

Last updated: July 2026

Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.

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