The European Banking Authority (EBA) published its 2025 Reports on the annual market and credit risk benchmarking exercises on 18 June 2026, showing continued progress in the consistency and reliability of banks' internal models across the EU, while identifying areas for supervisory attention as key regulatory reforms approach full implementation.
For market risk, the results confirm stable and relatively low dispersion across key risk metrics, reflecting improved data quality and convergence in modelling practices. The assessment is presented in two dedicated reports covering the Internal Model Approach (IMA) and the Alternative Standardised Approach (ASA), improving transparency and analytical clarity, particularly given that the ASA is expected to play an increasingly central role under the forthcoming Fundamental Review of the Trading Book (FRTB) framework.
The IMA exercise, covering 43 EU banks across 13 jurisdictions, shows a marked improvement in data quality for Initial Market Valuation (IMV), with reduced dispersion across asset classes. Variability in Value-at-Risk (VaR) remains at historically low levels. However, higher dispersion persists in stressed VaR (sVaR) and Incremental Risk Charge (IRC). Key findings include greater consistency in FX instruments following supervisory guidance, persistent dispersion in commodities due to small samples and varied practices, and limited supervisory concerns as most deviations were considered justified.
For the ASA, results confirm its role as a more stable and comparable framework, with continued improvements in consistency. Dispersion in the Sensitivities-Based Method (SBM) has declined further, reaching an average of 8%. Methodological issues remain in FX translation and equity sector mapping, and seven banks were flagged for further supervisory review.
For credit risk, the benchmarking shows a stable overall picture alongside structural improvements linked to ongoing regulatory reforms. The share of Exposure at Default (EAD) under the Internal Ratings Based (IRB) approach has continued its gradual decline in recent years. The increase in approved material model changes across all asset classes suggests that the implementation of the IRB roadmap is advancing. Over the 2015–2024 period, PD variability declined across several asset classes, while LGD variability remained broadly stable with a slight downward trend.
The EBA's annual benchmarking exercises are a key supervisory tool to assess the consistency and comparability of internal models across EU banks. For credit risk, these exercises complement the EBA's broader roadmap to repair IRB models, a central pillar of the ongoing review of the IRB framework alongside the finalisation of Basel III reforms. By providing regular benchmarks and peer comparisons, the exercises enable competent authorities to identify undue variability, promote best practices, and ensure a level playing field across institutions.
The reports impact several stakeholders. EU banks using internal models face continued scrutiny and potential model changes, particularly those flagged for higher dispersion or methodological issues, which may lead to increased capital requirements or supervisory interventions. National competent authorities gain enhanced tools to identify inconsistencies and target supervisory reviews. EU regulators benefit from improved data to calibrate the final Basel III framework. Investors and market participants gain greater confidence in the comparability of risk-weighted assets across institutions, supporting a level playing field.
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