EBA consults on market risk benchmarking rule changes for 2027 exercise

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EBA market risk benchmarking 2027

Highlights

EBA launches consultation on amending market risk benchmarking rules for the 2027 exercise, including expanded CRR3 Alternative Standardised Approach coverage and delayed benchmarking to H2 2027.
Proposals align with the European Commission's FRTB Delegated Act effective 1 January 2027, restoring CRR2-IMA reporting and incrementally adjusting reporting frameworks and templates.
The six-week consultation aims to enable timely adoption of standards, granting newly included institutions extra preparation time for 2027 market risk benchmarking participation.

Consultation scope and proposed timetable

According to EBA, it has launched a consultation on amendments to the Implementing Technical Standards governing the benchmarking of internal models and the standardised approach for market risk for the 2027 exercise.

The changes include extending the benchmarking scope to institutions applying the CRR3 Alternative Standardised Approach, regardless of whether they use an internal model, and resuming data collection under the CRR2 Internal Model Approach. The authority also proposes postponing the 2027 benchmarking exercise to the second half of 2027, delaying data collection under the CRR3 Alternative Internal Model Approach because of uncertainty around its effective implementation, and reorganising market risk reporting templates.

EBA said the amendments are numerous but limited in substance, describing them as mainly technical and pragmatic. It added that some measures, including the return of CRR2-IMA reporting, restore existing requirements, while others make incremental adjustments to the reporting framework.

Regulatory alignment and sector impact

The proposals also take account of the European Commission's FRTB Delegated Act, which applies from 1 January 2027. EBA said some of the proposed changes, including CRR3-AIMA templates, have already been subject to public consultation.

The consultation period runs for six weeks, which the authority considers appropriate given the targeted nature of the amendments. It said an earlier adoption of the final standards would give newly included institutions additional time to prepare for participation in the 2027 exercise.

Responses can be submitted through the consultation page, and contributions received are set to be published after the consultation closes unless respondents request otherwise.

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