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1 min read · EBA reporting framework 4.2 · Updated 10 November 2026

Benchmarking of market risk models: every EBA validation rule in plain words (SBP market risk)

Supervisory benchmarking is the yearly exercise in which banks with internal models run them over the same benchmark portfolios, so supervisors can spot models that come out far from their peers. It rests on Article 78 of the Capital Requirements Directive. Credit risk and IFRS 9 data are usually due on 11 April, in a set of EBA templates (C 101.00 to C 120.06).

EBA's 4.2 package has 24 validation rules for it. Line4 Check runs 8 of them (20 written-out checks): 0 can block a filing and 8 are warnings. EBA has switched 16 off.

8rules Line4 Check runs
0can block a filing
8warnings
20written-out checks
Check a SBP market risk fileRead the Supervisory benchmarking guide

The rules, by template

Each rule in plain words, its code in brackets. Open one for what to do if your filing fails it. A rule that reads more than one template is listed under the first.

SBM. Risk sensitivities by Instrument/Portfolio (C 120.01)1 rule
SBM. OFR Composition by Portfolio (C 120.02)1 rule
DRC. Market values and gross JTD amounts by Instrument/Portfolio (C 120.04)2 rules
DRC. OFR Composition by Portfolio (C 120.05)1 rule
ASA. OFR (C 120.06)1 rule
Nature of Report (SBP) (S 00.01)2 rules

Templates with no rule of their own

Rules on other templates can still read them.

  • VaR, SVaR and PV. Details (C 107.01.a)
  • VaR, SVaR and PV. Details.Comments (C 107.01.b)
  • VaR and SVaR non-CTP. EBA Portfolio currency results (C 107.02)
  • One year profit & loss VaR non-CTP (C 108.00)
  • IRC. Details of the model (C 109.01.a)
  • IRC. Details of the model. Comments (C 109.01.b)
  • IRC. Details by portfolio (I) (C 109.02.a)
  • IRC. Details by portfolio (II) (C 109.02.b)
  • IRC. Amount by portfolio/date (C 109.03)
  • CT. Details of the model (C 110.01.a)
  • CT. Details of the model. Comments (C 110.01.b)
  • CT. Details by portfolio (I) (C 110.02.a)
  • CT. Details by portfolio (II) (C 110.02.b)
  • CT. APR by portfolio/date (C 110.03)
16 rules EBA has switched off

EBA has switched these off, in its 4.2 severity package or since then in its list of validation rules (latest update 12 October 2026): they do not apply to 4.2 filings.

v4328_s, v4330_s, v4331_s, v4332_s, e09355_e, e09356_e, e09357_e, e09358_e, v09359_m, v09360_m, v09361_m, v09362_n, v09363_n, e11306_n, e11307_n, e11308_n

Checks like this one, run at the point of submission, are the first step to real-time supervision. See every return on EBA validation rules in plain words.