CRR3 FRTB Reporting: What the Market Risk Framework Changes for EU Banks From January 2027

ByOfficer

Last updated: June 2026

Get your CRR3 FRTB reporting timeline wrong and the consequences compound fast. Your market risk desk assumes the new capital charges already apply. Your reporting team files under the wrong framework version. Your COREP templates carry figures calculated on an approach that is not yet binding for own funds. I have seen all three happen across different institutions since CRR3 took effect in January 2025, and the root cause is always the same: teams confuse what is already live for reporting with what remains postponed for capital.

Regulation (EU) 2024/1623 (CRR3) rewrites the EU market risk framework. It transposes the Basel Committee’s Fundamental Review of the Trading Book into binding EU law for capital calculation and strengthens the monitoring reporting that has been running since CRR2. But the Commission used its Article 461a power to postpone the date from which FRTB capital requirements actually bite. That date is now 1 January 2027, not 1 January 2025. Until then, market risk own funds requirements stay on the pre-FRTB standardised approach, while FRTB reporting continues purely for supervisory monitoring.

Related reading: CRR3 output floor phase-in 2026

Why FRTB Capital Was Postponed to January 2027

CRR3 entered into force on 9 July 2024 and applied from 1 January 2025. Most of its provisions, from the output floor to the new operational risk framework, went live on that date. Market risk was the exception.

Article 461a of CRR3 empowers the European Commission to adopt delegated acts postponing the date from which institutions must calculate their own funds requirements for market risk using the FRTB approaches (the alternative standardised approach and the alternative internal model approach). On 24 July 2024, the Commission adopted a first delegated act, Commission Delegated Regulation (EU) 2024/2795, postponing the application date by one year, to 1 January 2026. Continued delays to FRTB implementation in other major jurisdictions then prompted a second delegated act, Commission Delegated Regulation (EU) 2025/1496, which the Commission adopted on 12 June 2025 and which was published in the Official Journal on 19 September 2025. That second act postponed the date by a further year, to 1 January 2027.

The rationale, in both cases, centred on the international level playing field. The Commission’s stated aim was to align the EU’s FRTB timeline with other major jurisdictions: with the United States and the United Kingdom delaying their own implementation, applying binding FRTB capital requirements in the EU ahead of them would have put EU banks’ trading activities at a competitive disadvantage. Alongside this, the EBA issued a no-action letter in August 2024 to manage the transitional period and the treatment of the trading book boundary provisions.

The practical result for 2025 and 2026: market risk own funds requirements continue to be calculated under the pre-FRTB standardised approach rules. CRR3 reworks this into what it calls the “simplified standardised approach” (SSA), which keeps the familiar position-risk templates (C 18.00, C 21.00, C 22.00, C 23.00) from CRR2 but applies the multiplication factors set out in Article 325(2). Those CRR3 changes form part of the market risk amendments deferred along with the rest of the FRTB framework: until 1 January 2027 institutions apply the market risk rules in the version of the CRR in force on 8 July 2024 (the pre-FRTB standardised approach), so the SSA multiplication factors do not yet affect the binding own funds calculation.

What Is Already Live in 2025-2026

The postponement covers FRTB capital requirements only. Several CRR3 market risk provisions are already in force and affect reporting teams today.

The trading book boundary framework (Articles 104 and 104a CRR) has applied since 28 June 2021, carried over from CRR2 with modifications under CRR3. In practice, the EBA’s August 2024 no-action letter advised competent authorities not to prioritise enforcement of the boundary and internal-risk-transfer provisions until the FRTB framework is fully implemented for own funds purposes. Reclassifications between the regulatory books are to be captured in a dedicated template, the MOV template (C 24.01), introduced by the EBA’s January 2024 amendments. That template is part of the expanded FRTB reporting that has not yet entered into force, so it is not something desks report today.

FRTB monitoring reporting under Article 430b continues. This requirement was introduced by CRR2, with the first reference date of 30 September 2021. Institutions with trading book activity submit templates C 90.00 and C 91.00 on a quarterly basis, following the standard quarterly COREP remittance dates (12 May, 11 August, 11 November, and 11 February). C 90.00 captures threshold information. C 91.00 captures ASA summary data, with further FRTB monitoring templates covering more detailed ASA information and, where applicable, AIMA information. The data is for supervisory monitoring, not for own funds. But it is not optional, and I have seen competent authorities follow up when submissions are late or incomplete.

CRR3 also amends the standardised approach itself, adding the Article 325(2) multiplication factors and the corresponding template changes for the SSA. Those amendments are deferred with the rest of the FRTB framework and take effect from 1 January 2027, not 2025.

Until then the pre-FRTB (CRR2) standardised approach and its existing market risk templates remain in force, so reporting teams should continue to file market risk own funds on the CRR2 basis for the 2025 and 2026 reference dates and plan the move to the CRR3 SSA, ASA, or AIMA for 2027.

CRR3 FRTB Reporting: The Three Approaches Explained

CRR3 establishes a hierarchy of three approaches for market risk own funds requirements. Understanding the terminology is essential because the old CRR2 names no longer apply in the CRR3 text.

The simplified standardised approach (SSA) is the default. It corresponds to the pre-FRTB standardised approach from CRR/CRR2. Institutions that do not meet the thresholds for mandatory ASA use and have not sought AIMA approval continue on the SSA. In its pre-FRTB (CRR2) form, this is the approach institutions use for binding capital today; from 1 January 2027 the SSA remains available as the fallback for institutions that stay below the Article 325a thresholds and so do not move to the ASA or AIMA.

The alternative standardised approach (ASA) is the FRTB standardised approach. It has three components: the sensitivities-based method (SbM), covering delta, vega, and curvature risk across prescribed risk classes; the default risk charge (DRC) for credit and equity positions in the trading book; and the residual risk add-on (RRAO) for instruments with exotic underlyings or other residual risks not captured by the SbM or DRC. From January 2027, institutions exceeding the Article 325a thresholds must use the ASA for their own funds requirements unless they have AIMA approval.

The alternative internal model approach (AIMA) replaces the old internal models approach (IMA). It centres on an expected shortfall (ES) risk measure with liquidity-adjusted horizons, a stressed capital add-on for non-modellable risk factors, and an internal default risk charge. AIMA requires trading-desk-level approval from the competent authority. Desks that fail the profit-and-loss attribution test or the backtesting requirements lose AIMA approval and fall back to the ASA. This desk-level granularity is a fundamental change from the old IMA, where approval was granted at the risk-category level.

What Changes for the Output Floor in 2026

The CRR3 output floor is already in force and phases in from 2025 to 2030. For market risk, the unfloored own funds requirement currently uses the pre-FRTB (CRR2) standardised approach. For the floored standardised total risk exposure amount (S-TREA), the Commission’s communication accompanying the FRTB postponement directs institutions to use the FRTB standardised approach, or the CRR2 standardised approach as applicable, so reporting teams should confirm the basis their institution applies for the S-TREA market risk component.

From 1 January 2027, when FRTB capital requirements become binding, the market risk component of S-TREA uses the standardised approach that applies to the institution: the ASA for institutions above the Article 325a thresholds, and the SSA for institutions below them. Because S-TREA is by definition a standardised measure, institutions with AIMA approval do not use their internal models here; they calculate the S-TREA market risk component on the ASA, even though their unfloored requirement uses AIMA. For IRB institutions, this could materially change the floor bite depending on the relative calibration of their market risk models versus the ASA.

I flagged this to several institutions in Luxembourg last year because teams were already trying to estimate their 2027 output floor impact without realising the market risk component would change. If you are running output floor projections, make sure your 2027 scenarios use the correct standardised market risk basis for S-TREA rather than a simple carry-forward of the pre-FRTB figures you report today.

FRTB Reporting Templates: C 90.00 to C 99.00

The FRTB-specific reporting templates sit in the C 90.00 to C 99.00 range, separate from the SSA templates in C 18.00 to C 23.00. These are governed by Commission Implementing Regulation (EU) 2021/453, which the EBA developed under the Article 430b mandate.

C 90.00 is the trading book and market risk thresholds template. It captures the size of an institution’s trading book and its on- and off-balance-sheet business subject to market risk, measured against the thresholds in Articles 94 and 325a CRR that determine whether an institution falls within the scope of the FRTB approaches. C 91.00 is the ASA summary template. It reflects the own funds requirements under the alternative standardised approach: the sensitivities-based method totals across the risk classes (general interest rate, credit spread, equity, commodity, foreign exchange), the default risk charge, and the residual risk add-on, including the correlation scenario outcomes (low, medium, high) that drive the final SbM aggregation.

For institutions with AIMA approval (post-January 2027), additional templates capture expected shortfall results, stressed capital add-on for non-modellable risk factors, internal default risk charge, and desk-level backtesting and P&L attribution test outcomes. The EBA’s final report on amending the ITS on specific reporting requirements for market risk details the full template structure and data point definitions.

Until January 2027, these templates are monitoring-only. After January 2027, the relevant data feeds directly into the COREP own funds calculation. The reporting infrastructure is the same; the regulatory consequence changes.

EBA Framework 4.4 and the Reporting Roadmap

The EBA’s reporting framework versioning matters here. Framework 4.3, published via the 16 April 2026 draft technical package, covers third-country branch reporting and AMLA modules. It does not change COREP market risk or FRTB templates.

FRTB reporting template amendments under CRR3/CRD6 step 2 belong to framework 4.4. The EBA’s reporting frameworks overview page places the FRTB template updates, along with COREP own funds, FINREP/IFRS 18, DORA, resolution, and benchmarking amendments, in the 4.4 release. The EBA’s framework 4.4 page gives an expected application date of Q4 2026, with first reference dates varying by module (ranging from December 2026 to September 2027).

For reporting teams, this means the full FRTB template set for binding capital calculation will arrive through framework 4.4. If you are building or upgrading your market risk reporting pipeline for January 2027, monitor the EBA’s framework 4.4 publications closely. The DPM, XBRL taxonomy, and validation rules for FRTB capital reporting will all come through that release.

What Reporting Teams Should Prepare Now

Six months is not a long runway for a framework change of this scale. Here is what I would prioritise if I were running a market risk reporting desk heading into January 2027.

First, map your current Article 430b monitoring submissions to the binding capital templates. The core data points are similar, but the validation rules, cross-checks against C 02.00 (own funds requirements), and the output floor integration are new. If your monitoring submissions have been running on approximate or partial data, fix that now. Any gaps in your C 90.00 and C 91.00 data quality will surface as capital-calculation errors from January 2027.

Second, confirm your approach classification. Institutions with trading book positions at or above the Article 325a thresholds must use the ASA. Institutions below the thresholds can stay on the SSA. Institutions seeking AIMA approval need trading-desk-level permission from their competent authority, which for significant credit institutions in the Banking Union means the ECB. The AIMA approval process requires backtesting, P&L attribution testing, and desk-level documentation. If you have not started that process, the SSA or ASA is your January 2027 reality.

Third, integrate the trading book boundary reporting. Reclassifications between the regulatory books will be captured in the MOV template (C 24.01), which is part of the expanded FRTB reporting that has not yet entered into force rather than something reported today. From January 2027, reclassifications carry capital consequences under the FRTB framework (where a reclassification reduces an institution’s own funds requirements, it incurs an additional own funds requirement equal to that reduction under Article 104a CRR). Your reporting pipeline must link boundary changes to the market risk capital calculation.

Fourth, update your Pillar 3 disclosures. Commission Implementing Regulation (EU) 2024/3172 replaced the previous ITS 2021/637 for disclosure requirements. Templates EU MR1, EU MR2, and EU MR3 will need to reflect whether your institution reports under the SSA, ASA, or AIMA, and the disclosure content changes with the approach. EU MR1 covers the ASA, EU MR3 covers the SSA, and additional templates apply for AIMA users.

Common Errors I See in FRTB Transition Reporting

The first recurring mistake is treating the Article 430b monitoring reporting as a soft requirement. It is not. Article 430b is a Level 1 CRR obligation, and the CSSF in Luxembourg expects timely and accurate submissions. I have seen institutions deprioritise the FRTB monitoring templates because “it does not affect capital yet,” only to discover data quality problems when the capital calculation goes live.

The second common error is confusing SSA and ASA in COREP. In 2025 and 2026, the own funds requirement for market risk in C 02.00 uses figures from the pre-FRTB (CRR2) standardised approach. The ASA figures in C 90.00 and C 91.00 are monitoring-only and do not feed C 02.00. From January 2027, the ASA (or AIMA) figures will replace the pre-FRTB approach in C 02.00 for institutions above the thresholds. Teams that have built their COREP workflow with a hardcoded pre-FRTB feed will need to rewire the data flow.

The third error is underestimating the desk structure requirements. The AIMA operates at the trading desk level, which means each desk needs its own risk management structure, backtesting, P&L attribution, and reporting. This is not just a risk management exercise. The reporting templates capture desk-level results, and the validation rules check cross-desk aggregation. If your desk definitions are loose or undocumented, the reporting will not pass validation.

Luxembourg and CSSF Specifics

For Luxembourg credit institutions, the CSSF’s reporting requirements table confirms the FRTB monitoring templates (C 90.00 to C 91.00) as quarterly submissions on the standard COREP calendar.

The reference dates are the calendar quarter-ends (31 March, 30 June, 30 September, and 31 December), and the corresponding remittance dates are 12 May, 11 August, 11 November, and 11 February of the following year for the December reference date.

Luxembourg-based significant institutions supervised directly by the ECB will go through the ECB for AIMA approval. Less significant institutions supervised by the CSSF will apply to the CSSF. In both cases, the EBA’s RTS on the assessment methodology for AIMA approval sets the technical criteria.

The CSSF has not published Luxembourg-specific guidance on the FRTB transition beyond the standard EBA framework implementation. I would expect any local clarifications to come through the CSSF’s regular reporting requirements updates or dedicated circulars closer to the January 2027 date. Watch the CSSF circulars page and the quarterly newsletter.

Frequently Asked Questions

Is FRTB already in force?

CRR3 has been in force since 9 July 2024 and applicable since 1 January 2025. The FRTB provisions are part of CRR3, and FRTB monitoring reporting under Article 430b has been running since 2021. However, the Commission used Article 461a to postpone the date from which FRTB approaches (ASA and AIMA) are used for binding own funds requirements to 1 January 2027. Until then, market risk capital uses the pre-FRTB (CRR2) standardised approach.

What is the difference between SSA, ASA, and AIMA?

SSA (simplified standardised approach) is the pre-FRTB standardised approach carried forward in CRR3 terminology. ASA (alternative standardised approach) is the FRTB standardised approach based on sensitivities, default risk, and residual risk. AIMA (alternative internal model approach) is the FRTB internal model approach requiring desk-level approval. SSA remains the fallback for smaller trading books. ASA is mandatory above the Article 325a thresholds. AIMA requires competent authority permission.

Do I still need to submit FRTB monitoring reports in 2026?

Yes. Article 430b reporting (templates C 90.00 to C 91.00) is mandatory for institutions with trading book positions, regardless of the Article 461a postponement. The reporting is quarterly, following the standard COREP remittance dates (12 May, 11 August, 11 November, and 11 February).

When will EBA framework 4.4 update the FRTB templates?

The EBA has placed FRTB template amendments under framework 4.4, which covers CRR3/CRD6 step 2 reporting changes. Framework 4.4 is expected to apply from Q4 2026. The updated DPM, XBRL taxonomy, and validation rules for binding FRTB capital reporting will come through this release.

How does the FRTB postponement affect the output floor?

The output floor is already in force from 1 January 2025. For 2025 and 2026, the unfloored market risk own funds requirement uses the pre-FRTB (CRR2) standardised approach; for the floored S-TREA component, institutions should follow the Commission’s communication, which directs use of the FRTB standardised approach or the CRR2 standardised approach as applicable. From 1 January 2027, the S-TREA market risk component uses the relevant standardised market risk basis: ASA for institutions above the Article 325a thresholds and SSA for institutions below them. AIMA approval does not change the S-TREA calculation because internal models are not used in the floored standardised measure. Institutions projecting output floor impact for 2027 should use the correct standardised basis, not AIMA output or a simple carry-forward of pre-FRTB figures.

Can a bank stay on the SSA permanently?

Yes, if it falls below the Article 325a trading book thresholds. These thresholds determine whether an institution must use the ASA (or seek AIMA approval) rather than the SSA. Small and non-complex institutions with modest trading books will typically remain on the SSA. The thresholds are based on the absolute size of on- and off-balance-sheet trading book business.

What happens if an AIMA desk fails backtesting or P&L attribution?

The desk loses its AIMA approval and falls back to the ASA for that desk’s positions. This is a desk-level consequence, not an institution-wide revocation. Other desks with valid AIMA approval continue on AIMA. The reporting templates capture desk-level test results, and the own funds calculation adjusts automatically for the fallback.

Is there a risk of further postponement beyond January 2027?

Article 461a lets the Commission postpone the FRTB application date by a maximum of two years in total. The Commission has now used that full two-year allowance through two successive delegated acts: the first (Delegated Regulation (EU) 2024/2795) moved the date from 1 January 2025 to 1 January 2026, and the second (Delegated Regulation (EU) 2025/1496) moved it to 1 January 2027. Because the two-year maximum is exhausted, a further postponement to 2028 under Article 461a is not available; any additional delay would require a change to the Level 1 text. Institutions should therefore plan firmly for the FRTB framework becoming binding on 1 January 2027.

Related Articles

Key Takeaways

  • FRTB capital requirements are postponed to 1 January 2027 via two successive Article 461a delegated acts (Delegated Regulations (EU) 2024/2795 and (EU) 2025/1496). The original CRR3 application date of 1 January 2025 does not apply to FRTB own funds.
  • FRTB monitoring reporting under Article 430b (templates C 90.00 to C 91.00) has been mandatory since 2021 and continues through the postponement period. It is not optional.
  • In 2025 and 2026, market risk own funds use the pre-FRTB (CRR2) standardised approach. From 1 January 2027, the simplified standardised approach (SSA, the CRR2 approach plus the Article 325(2) multiplication factors) applies below the Article 325a thresholds, while the alternative standardised approach (ASA) or alternative internal model approach (AIMA) becomes binding for institutions above those thresholds.
  • For the floored S-TREA market risk component, the Commission’s communication directs use of the FRTB standardised approach or the CRR2 standardised approach as applicable during the postponement. From January 2027, S-TREA uses the standardised market risk basis: ASA above the Article 325a thresholds and SSA below them. AIMA approval affects the unfloored requirement, not the S-TREA calculation.
  • EBA framework 4.4 (expected Q4 2026) will deliver the updated FRTB templates, DPM, XBRL taxonomy, and validation rules for binding capital reporting.
  • AIMA operates at the trading desk level, requiring desk-by-desk approval, backtesting, P&L attribution testing, and reporting. This granularity is new compared to the old institution-level IMA.
  • Institutions should map their Article 430b monitoring data quality to capital-grade accuracy now. Gaps in monitoring submissions will translate directly into capital-calculation errors from January 2027.

Sources and References

  • Regulation (EU) 2024/1623 (CRR3) – EUR-Lex
  • Regulation (EU) No 575/2013 (CRR), as amended – EUR-Lex consolidated
  • Commission Implementing Regulation (EU) 2021/453 (ITS on specific reporting requirements for market risk under Article 430b) – EUR-Lex
  • Commission Implementing Regulation (EU) 2024/3172 (ITS on Pillar 3 disclosures) – EUR-Lex
  • Commission Delegated Regulation (EU) 2024/2795 (first Article 461a postponement to 1 January 2026) – EUR-Lex
  • Commission Delegated Regulation (EU) 2025/1496 (second Article 461a postponement, to 1 January 2027) – EUR-Lex
  • EBA Final Report on amending the ITS on specific reporting requirements for market risk (FRTB reporting), EBA/ITS/2024/02 – EBA
  • EBA Reporting Frameworks overview (4.3, 4.4 scope) – EBA
  • EBA Reporting Framework 4.4 – EBA
  • EBA Reporting Time Traveller – EBA
  • EBA Risk Reduction Package Roadmaps – EBA
  • EBA DPM Data Dictionary – EBA

Disclaimer: The information on RegReportingDesk.com is for educational and informational purposes only. It does not constitute legal, regulatory, tax, or compliance advice. Always consult your compliance officer, legal counsel, or the relevant supervisory authority for guidance specific to your institution.

Similar Posts