Market risk data collection amended for 2027 exercise
The European Banking Authority (EBA) has launched a consultation on amendments to the Implementing Technical Standards (ITS) for the 2027 market risk benchmarking exercise. The changes aim to align the framework with evolving regulations and prepare institutions for upcoming market risk requirements.
Benchmarking scope expands
The EBA's proposed amendments significantly update the market risk benchmarking framework for the 2027 exercise.
A key change involves expanding the scope to include institutions applying the CRR3 Alternative Standardised Approach (ASA), irrespective of their internal model usage.
This ensures broader coverage and consistency across the regulatory landscape.
The consultation also proposes resuming the collection of data under the CRR2 Internal Model Approach (IMA), restoring existing reporting requirements.
The 2027 benchmarking exercise itself will be postponed to the second half of that year, providing additional preparation time.
Similarly, the collection of data under the CRR3 Alternative Internal Model Approach (AIMA) is deferred due to ongoing uncertainties regarding its effective implementation.
These adjustments aim to streamline reporting and enhance supervisory assessments, alongside a planned reorganisation of market risk reporting templates for greater clarity.
Technical refinements and FRTB alignment
The proposed amendments are largely technical and pragmatic, rather than substantive.
Some changes, like resuming CRR2-IMA reporting, restore existing requirements, while others incrementally update the framework, including reorganising reporting templates.
These adjustments also account for the European Commission's FRTB Delegated Act, which applies from 1 January 2027, ensuring alignment with the latest regulatory standards.
Certain proposed changes, such as the CRR3-AIMA templates, have already undergone public consultation.
A shortened six-week consultation period is deemed appropriate, allowing for earlier adoption of the final Implementing Technical Standards and providing newly included institutions more time to prepare for the 2027 exercise.
Clarity for complex models
This consultation provides necessary technical clarity for a complex regulatory landscape.
While largely procedural, these amendments are crucial for ensuring the benchmarking exercise remains relevant and effective amidst evolving market risk requirements.
The EBA's pragmatic approach, including postponements and reorganisation, helps institutions navigate these changes, even if the underlying complexities of internal models persist.