Line4

In forceSupervisory benchmarking of internal modelsLast checked 11 November 2026

Supervisory benchmarking: market risk initial market valuation (SBPIMV)

A regulatory return listed by the European Banking Authority (EBA), European Union.

Under Article 78 of Directive 2013/36/EU (CRD), competent authorities assess at least annually the quality of the internal models banks use to calculate capital. Banks run their models on the same standard (benchmark) portfolios, and the EBA calculates benchmark values so supervisors can compare each bank's risk numbers with its peers. This part is the first step of the market risk exercise: banks book a set of hypothetical trading instruments defined by the EBA, report their market value at a fixed date and time (the initial market valuation, IMV), risk sensitivities under the ASA sensitivities-based method (SBM), and results for SBM validation portfolios (template C 106.02, Annex X). Source

Official title: SBPIMV: Initial Market Valuation for Supervisory Benchmarking Portfo[lios] (ITS on supervisory benchmarking of internal models)

Check a SBP IMV file, freeEvery EBA rule for SBP IMV, in plain words

The facts

Who files
For the 2026 exercise, institutions permitted to use internal models for market risk (Internal Model Approach, Article 78(1)(a) CRD); until 1 January 2027 their data collection is restricted to the elements of the alternative standardised approach (recitals 2 and 3). Each institution submits to its competent authority with an explanatory note (Annex V, Section 1(d)); the authority forwards the data to the EBA under EBA DC 337. Source
How often
Annual benchmarking exercise; the dates are fixed in the ITS for each year's exercise. Source
Deadline
2026 exercise (Annex V, Section 1(b) as replaced by Implementing Regulation (EU) 2026/1872): booking date 19 February 2026; IMV (and initial SBM) reference date 27 February 2026 at 5:30 pm CET; IMV (and initial SBM, and SBM validation) remittance date 13 March 2026. Competent authorities then send the data to the EBA within ten business days of the remittance date for each data item, at the highest level of EU consolidation (or individually for stand-alone institutions); revisions within a further five business days (EBA DC 337, Articles 1 and 2). Source
Format
xBRL-CSV, XBRL-XML. Firms file in the data exchange format their national authority sets, following the EBA data point model and its validation rules. Authorities send the data to the EBA in xBRL-CSV only for reference dates from 31 March 2026; for earlier reference dates the EBA accepted xBRL-XML or xBRL-CSV. Source
How it is filed
Filing routes recorded for the EBA: EUCLID (European Centralised Infrastructure of Data); Pillar 3 data hub (P3DH) submissions. See how firms file with the EBA.
Status
In force4.2 framework page: 'Changes to Supervisory Benchmarking for Market risk - Restriction of the data collection to the information on the alternative standardised approach (ASA) to be provided by those banks that were granted the internal model approval. Template C 160.02 was introduced to allow the submission of metrics concerning Annexe X of the ITS, and Templates C 107.00 to C 110.00 are not expected to be reported', expected first reference dates 02/2026 and 05/2026. 4.4 framework page (Phase 2, expected end of June 2027): C 106.00 gains columns 0041 'Instrument implemented for ASA' and 0051 'Rationale for exclusion (ASA)', reflecting the extension of the market risk exercise to institutions applying only the ASA. The EBA consulted until 3 September 2026 on the 2027 market risk exercise (postponed to the second half of 2027); its draft dates put the IMV module reference date on the last calendar day of June with remittance on the second Friday of July, and the risk measures reference date on the last calendar day of September with remittance on the fourth Friday of October. Not adopted yet. Source
Legal basis
Group
Supervisory benchmarking of internal models
Check a file before you file it

Line4 Check for EBA reporting runs EBA's own validation rules on a SBPIMV file in your browser, free. Your file never leaves your computer. What it runs, from its published manifest:

  • EBA release 4.2: all 2 of EBA's active checks.

Every EBA rule for SBP IMV, in plain words

It is not a substitute for the validation the supervisor runs when you submit.

Templates (4)

The tables and forms inside the return. Plain name first, the EBA's code in brackets.

  • Initial Market Valuation and exclusion justification (C 106.00)
  • Risk sensitivities by Instrument (C 106.01)
  • SBM. OFR composition by SBM validation portfolio (C 106.02)
  • Nature of Report (SBP) (S 00.01)

Templates of module SBPIMV in EBA release 4.2, read from the module's entry point in the taxonomy package; parts of a template split into sub-tables (a, b, c) are listed once. Source

Validation rules

2 rules, as counted from the EBA's published material. Software can run them exactly as published. Source

How they are written: Excel list with one row per rule and module version: an expression column in the EBA's DPM-XL syntax, severity (error or warning), active status and reference-date range. The same rules ship as XBRL Formula assertions in the taxonomy package..

EBA's list applies the active SBPIMV_4.2 rules to reference dates from 2026-02-27 with no end date set.

The rules, on eba.europa.eu

How they were counted

Distinct rule codes listed for module SBPIMV_4.2 in EBA's validation rules list VR_4.4.phase1_.xlsx ((from 4.0) EBA_Validation rules, latest update 12/10/2026) with IsActive = Active: 2 of 2 listed. 0 of the active rules have severity error; the rest are warnings.

Counts are in the EBA's own unit, so they are not comparable with other regulators' counts.

Public data

No published data from this return was found. No publication of this return's data found on the EBA's risk analysis and data pages (checked 2026-11-11). Source

Official documents (17)

The EBA's own files, with the size and SHA-256 fingerprint of each as downloaded on 11 November 2026, so anyone can tell whether a copy is the same version.

  • Legal Act (OJ_L_202601872_EN_TXT.pdf): Commission Implementing Regulation (EU) 2026/1872

    Legal text · PDF · 2.0 MB · 12 August 2026

    Official Journal copy hosted by the EBA. Adopted 29 July 2026, published in the OJ on 12.8.2026, in force on the twentieth day after publication; it replaces Annexes II, V, VI, VII and X of Implementing Regulation (EU) 2016/2070. Date is the OJ publication date printed on the file.

    SHA-256 193f5db793feshow in full193f5db793fea1728280394ca207ef1d435a0d7c370d5083ebf9b8889fa899ea
  • Templates (Templates.zip)

    Template · ZIP · 5.7 MB · 30 September 2026

    Five workbooks: credit risk portfolios (C 101 to C 104), credit risk templates (C 101 to C 105.03), IFRS 9 templates (C 111.00 to C 118.00), market risk templates (C 106.00 to C 120.06) and SBM validation portfolios (Annex X).

    SHA-256 86a029387539show in full86a029387539707f323c705add491a55987fc14dfbfa1ac736e2384e3c483385
  • Instructions (Instructions.zip)

    Instructions · ZIP · 678.8 KB · 30 September 2026

    Five Word files: credit risk portfolio definitions and reporting instructions, IFRS 9 instructions, market risk instruments and portfolios (with the exercise dates) and market risk template instructions.

    SHA-256 36624053969eshow in full36624053969e0fb4152227c2cec217dfb7247ed3cef72c287ae7950209bb9039
  • Amending draft ITS on benchmarking

    Other · PDF · 602.2 KB · 8 August 2025

    EBA/ITS/2025/07 final report for the 2026 benchmarking exercise (date from the cover).

    SHA-256 066f4416d4b7show in full066f4416d4b70068e1d43b5731975f4bec290ebc5a2986b9ec5f92c2238a00fb
  • Decision on data for supervisory benchmarking - (EBA DC 337)

    Legal text · PDF · 112.2 KB · 5 June 2020

    EBA Decision: competent authorities send the benchmarking data they receive to the EBA.

    SHA-256 fcb30d66903cshow in fullfcb30d66903c52ad953fe1a824918eda55835c2cb9a14715a4eec51e97d8508f
  • List of institutions and investment firms for the purpose of supervisory benchmarking (2025 update) [pdf]

    Other · PDF · 118.5 KB · 8 April 2025

    EBA list of institutions in the benchmarking sample as of March 2025, showing for each whether it submits credit risk, market risk and IFRS 9 data.

    SHA-256 a047782126c4show in fulla047782126c4a282dd2d551871403c974e8d3c47c4778683d4f78ce528085b6a
  • List of institutions and investment firms for the purpose of supervisory benchmarking (2025 update) [xls]

    Other · XLSX · 177.7 KB · 8 April 2025

    SHA-256 b31681d2f820show in fullb31681d2f82087534d1ef1b04fca30cf1a62f576cc57331a351d0d8ff1197d9b
  • Reporting framework 4.2

    List of returns · HTML

    Table 1.A maps every module of release 4.2 to its legal act, templates and instructions.

  • Taxonomy package 4.2

    Taxonomy · ZIP · 62.0 MB · 13 January 2026

    XBRL taxonomy for all 50 modules of release 4.2, including the validation rules as XBRL Formula assertions.

    SHA-256 0bf9e33720deshow in full0bf9e33720de1472e809417999cfd29e4b5eadb31750c7770622e502590bbdd0
  • Sample files 4.2

    Sample · ZIP · 2.9 MB · 13 January 2026

    SHA-256 41fb8435ce33show in full41fb8435ce33c53528bd05f8624e79acdfc7e6d8991a67870292646fb88cc0ef
  • DPM table layout and data point categorization (4.2.1)

    Template · ZIP · 17.5 MB · 27 February 2026

    Annotated Excel layouts of every template in release 4.2 and 4.2.1, with row and column codes.

    SHA-256 e022598f9f98show in fulle022598f9f98408d6920555a90c899bea5a1a2519b696703c232526a45b7cc07
  • (from 4.0) EBA_Validation rules (latest update 12/10/2026)

    Validation rules · XLSX · 1.1 MB · 12 October 2026

    One row per rule and module version, with the expression, severity, active status and reference-date range.

    SHA-256 38c190fa4c2fshow in full38c190fa4c2ff81f22a5bd2ed94f744fc64e4eb9b722676e07f89669d79b1aea
  • Small validation package 14/09/2026: Micro taxonomy package

    Validation rules · ZIP · 1.5 MB · 14 September 2026

    Severity and deactivation updates for the taxonomy (XBRL set folders).

    SHA-256 ea6184a7e3a6show in fullea6184a7e3a67016346f2154bfb04ca0a489ea829cf344239367fa216d21709f
  • EBA filing rule V5.9

    Filing rules · PDF · 1.2 MB · 26 June 2026

    Technical rules for XBRL-XML and xBRL-CSV files sent to the EBA.

    SHA-256 bbc23b9ecad5show in fullbbc23b9ecad5de0a0821bbe8bce8e4ce617652afce02e81c88d572bac4a4b293
  • DPM Know issues (uploaded on 05/11/2026)

    Known issues · XLSX · 69.9 KB · 5 November 2026

    SHA-256 c6753a428649show in fullc6753a4286496876f2e545b355f1ebaddf0e4383de522b19818c93af141327e0
  • EBA filing rule V5.8

    Filing rules · PDF · 1.1 MB · 25 February 2026

    SHA-256 dea8d520c922show in fulldea8d520c9229c52ae1f44e921a3728d769544e0f0c8937da3958f1c0197d2bf
  • FAQs for Reporting Innovations and Upcoming Releases (Updated on 25/11/2025)

    Guidance · PDF · 196.4 KB · 25 November 2025

    SHA-256 ddcccd9e56f0show in fullddcccd9e56f0c670c5fdeffda7b564dd5a7bf752e990be8e6ed3e2fe7c6fd796

Sources

Every page and document this return's facts were read from.

Knowing exactly what is collected, in what format and under which rules is the first step to real-time supervision. Line4 builds SupTech software for financial regulators that runs checks like these as each return arrives.

Line4's text and records here are free to reuse under CC BY 4.0. Please credit: “Source: Line4 regulatory submissions library (CC BY 4.0), https://www.line4.ai”. The regulators' documents, forms, taxonomies, rules and data belong to them: see EBA's reuse terms. This describes what regulators publish. It is not legal or regulatory advice: always rely on the regulator's own text.

Contains material from the European Banking Authority (EBA), https://www.eba.europa.eu, reproduced with the source acknowledged as the EBA's legal notice requires. Source: European Banking Authority.

Last checked 11 November 2026.