Reports on the EBA’s annual benchmarking exercises

Article 78 CRD (Capital Requirements Directive, Directive 2013/36/EU) governs supervisory benchmarking for institutions that use specific internal modelling approaches (credit risk and market risk as well as IFRS 9) or (potentially from 2026 onwards) the alternative market risk standardised approach to calculate own funds requirements. The EBA is supporting this process by developing technical standards and creating assessment reports.

For supervisory benchmarking purposes, every year, the institutions concerned report the data specified in the ITS for the respective year along the following SBP modules:

• Credit risk (CR) – IRBA model reporting
• Market risk (IMV) – reporting on initial market valuations (IMVs) and sensitivities using the sensitivities-based method (SBM) under the alternative standardised approach.
• Market risk (RM) – reporting of risk measures (RM) under the market risk model approach and the alternative standardised approach.
• IFRS 9: reporting on IFRS 9 models used to calculate provisions for expected losses

The reports submitted annually by the banks are made in line with the COREP reporting framework using the EBA’s data point model and XBRL taxonomy.

Credit risk models and IFRS 9

Credit risk benchmarking applies to all institutions with approved IRBA models or that submit COREP template C_08.01.

IFRS 9 benchmarking applies to institutions that use internal models or the alternative standardised approach and meet one of the following three conditions (see Article 78(1) subparagraph 1 point (c) of Directive (EU) 2024/1619 (CRD VI)): 

(i) report in accordance with IFRS; 

(ii) use IFRS for supervisory purposes pursuant to Article 24(2) CRR; 

(Iii) draw up balance sheets in accordance with national rules but account for their expected credit losses in accordance with the IFRS model.

The data on credit risk (reporting templates C101.00, C102.00, C103.00, C105.01-C105.03) and IFRS 9 (reporting templates C111.00-C118.00) are to be collected as at the reporting date of 31 December of the previous year and are to be submitted by the banks on 11 April of the current year.

Market risk models and alternative standardised approach

Market risk benchmarking currently applies to all institutions that use internal market risk models or submit reporting template C_24.00. 

At the same time as the entry into force of the FRTB approaches for calculating own funds requirements, the group of reporting institutions is expected to be expanded. In the future, institutions applying the alternative standardised approach will also be required to report, provided that the size of their on and off-balance-sheet business that is subject to market risk is equal to or greater than €500 million in accordance with Article 78(1) point (b) CRD IV. Market risk benchmarking will continue to include institutions that use internal market risk models.

The relevant IMV and RM reports must be submitted annually; please see the prevailing versions of the EBA-ITS and PRISMA for the specific reporting dates and deadlines. The reporting date and submission deadline for the IMV report (reporting templates C106.00, C106.01) are earlier than those for the RM report (reporting templates C107.01, C107.02, C108.00, C109.01, C109.02. C109.03, C110.01, C110.02, C110.03, C120.01, C120.02, C120.04, C120.05, C120.06). The information from the IMV report enables the competent authorities to check the correct reporting of the hypothetical instruments and to inform the institutions in the event of irregularities so that they can make any necessary revisions before the risk measures (RM report) are calculated. This two-step process is intended to reduce the impact of accounting errors on the variability of reported own funds requirements.