FRTB Market Risk Reporting: What the CRR3 Temporary Multiplier Means for EU Trading Book Teams

ByOfficer

Last updated: June 2026

If your bank runs a trading book, the number that lands in your market risk own funds calculation on 1 January 2027 is no longer the number you spent two years building toward. On 4 June 2026 the European Commission adopted a delegated regulation that bolts a targeted multiplier and a set of operational relief measures onto the Fundamental Review of the Trading Book (FRTB) framework. The point of the multiplier is blunt: scale a bank’s FRTB market risk capital back down to roughly its pre-FRTB level for three years. FRTB market risk reporting teams now have to model both worlds, because the framework that produces the binding capital figure has changed shape weeks before it becomes binding.

This is not a deferral. The EU has already used up the two-year postponement that Article 461a of the Capital Requirements Regulation allowed, so the binding market risk own funds requirement does start on 1 January 2027. What changed is the size of the number it produces, and the conditions attached to using the relief. Get the calibration wrong, or omit the pre-FRTB market risk figure that Article 495v still requires multiplier users to report, and the COREP submission that feeds your solvency ratio is built on a treatment your supervisor cannot reconcile.

The change sits inside CRR3, Regulation (EU) 2024/1623, and it is published under a Commission delegated act rather than a new Level 1 amendment. That distinction matters for how fast it lands and how long it lasts, and it is the first thing a reporting team should understand before touching a template.

Related reading: CRR3 Output Floor Phase-In 2026

What the Commission actually adopted on 4 June 2026

The instrument is a Commission delegated regulation amending Regulation (EU) No 575/2013 (the CRR) as regards temporary targeted operational relief measures and targeted multipliers for the calculation of an institution’s own funds requirements for market risk. The Commission announced it on 4 June 2026, describing a multiplier to temporarily offset capital impacts for EU banks adversely affected by the FRTB implementation, and followed with a second communication on 8 June 2026 confirming the same measures and describing a multiplier “designed to neutralise the capital impact on banks negatively impacted by the new FRTB rules.”

The legal hook is Article 461a of the CRR, inserted by CRR3. That article gives the Commission two distinct tools. The first, in Article 461a(2)(a), lets it apply “targeted operational relief measures or targeted multipliers equal to or greater than 0 and lower than 1” in the calculation of market risk own funds requirements, for specific risk classes and risk factors, across the three FRTB calculation approaches. The second, in Article 461a(2)(b), lets it postpone the application date by up to two years. The EU has now reached for the first tool, because the second is exhausted.

One operational detail teams misread here: this is not the regulation that postponed FRTB. The postponements were two earlier acts. Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 pushed the market risk own funds requirement to 1 January 2026. Commission Delegated Regulation (EU) 2025/1496 of 12 June 2025 pushed it again to 1 January 2027. Those acts moved a date. The June 2026 act does not move a date. It changes the calculation that applies from that date. If your project plan still references “the FRTB postponement,” that label is now wrong for the 2027 work.

The two-year deferral, and why a third one was not possible

Article 461a(2)(b) caps postponement at two years. Delegated Regulation (EU) 2024/2795 used the first year, moving application from 1 January 2025 to 1 January 2026. Delegated Regulation (EU) 2025/1496 used the second, moving it to 1 January 2027. After that, the date tool is spent. There is no Article 461a route to a third clean postponement to, say, 1 January 2028.

That constraint explains the design of the new measure. The Commission could not say “wait another year.” It could only say “apply the framework, but with a multiplier and reliefs that bring the capital outcome down.” The rationale is the international level playing field that Article 461a is built around. The 8 June 2026 communication points to two specific timelines abroad: the United States published a consultation in March 2026, open to around mid-June, proposing significant amendments to its market risk rules with an unclear implementation date; and the United Kingdom is implementing Basel III from 1 January 2027 but delaying the internal models for market risk by at least an additional year. The EU’s concern is that its banks would carry full FRTB capital while competitors do not.

Where teams get this wrong is in treating the multiplier as permanent relief. It is not. Under Article 461a, where the Commission uses these tools it is also expected, where appropriate, to bring forward a legislative proposal to adjust the EU’s implementation of the international standards in a more durable way. The multiplier is a bridge, calibrated to expire, not a new steady state.

How the targeted multiplier works in the calculation

Article 461a(2)(a) is the legal empowerment for targeted operational relief measures and targeted multipliers equal to or greater than 0 and lower than 1, for specific risk classes and risk factors, using the three market risk approaches in Article 325(1): the alternative standardised approach in Articles 325c to 325ay, the alternative internal model approach in Articles 325az to 325bp, and the simplified standardised approach in Articles 326 to 361. The 4 June 2026 delegated act then uses that empowerment in two different ways. Article 495s applies a 0.9 transitional multiplier to the sensitivities-based method and to the simplified standardised approach. Article 495v creates a separate, optional bank-specific multiplier for institutions whose FRTB market risk own funds requirement, after the temporary reliefs, is higher than the pre-FRTB requirement; however, Article 495v(2) excludes institutions that calculate market risk own funds requirements only under Articles 326 to 361.

The Commission’s own explanation is that banks “calibrate this multiplier such that it scales down their FRTB capital requirements to the level of their pre-FRTB capital requirements.” The target is capital neutrality, measured after the temporary amendments and after the output floor are applied. In plain reporting terms: the bank works out what its market risk capital would have been under the rules in force before FRTB, works out what it is under FRTB with the reliefs, and the multiplier closes the gap so the bank is not worse off purely because the EU switched frameworks on schedule.

This is the part that creates real model and reconciliation work. The Article 495v multiplier is optional, bank-specific and recalibrated every three months as the ratio between market risk own funds calculated under the CRR version in force on 8 July 2024 and market risk own funds calculated under the CRR version in force on 9 July 2024, taking into account Articles 495i to 495t. A bank that uses it must notify the competent authority without delay, provide evidence that it meets the conditions, and use the CRR boundary rules in force on 8 July 2024 for the calculation. That means the market risk engine has to keep the pre-FRTB calculation live alongside the FRTB calculation and the reporting layer has to preserve the evidence trail.

The operational relief measures sitting alongside the multiplier

The delegated regulation does more than apply a single scaling factor. It relaxes specific mechanics inside both the internal model approach and the standardised approach. The Commission’s Q&A and the accompanying analysis describe relief in a handful of named areas.

Under the alternative internal model approach, the relief touches the profit and loss attribution test and the risk factor eligibility test, the two gatekeeping tests that decide whether a trading desk can use internal models at all and which risk factors qualify as modellable. It also permits specified sovereign default risk relief, lets institutions use an alternative averaging and disclosure approach for specified AIMA values, replacing the standard 60-business-day observation period, and introduces CIU look-through and alternative-modelling flexibilities subject to the stated conditions.

Under the standardised approach, the relief includes the recognition of specified equity hedges in the default risk charge, a 0.9 phase-in multiplier for the sensitivities-based method, a 0.9 phase-in multiplier for the simplified standardised approach, a zero multiplier for the residual risk add-on on specified instruments, a temporary EU ETS correlation adjustment, ACTP index decomposition flexibility, and targeted relief for eligible small trading book institutions.

Across both approaches, the regulation introduces a more flexible treatment for the calculation of capital requirements on exposures to collective investment undertakings. CIU look-through has been one of the heavier FRTB build items, because a fund position that cannot be fully decomposed can attract punitive treatment. The relief eases that under both the standardised and the internal model approaches.

A confusion point worth flagging: these reliefs are targeted, not a blanket reduction. Each one attaches to a specific test, exposure type, or risk class. A bank that does not run internal models gains nothing from the P&L attribution test relief. A bank with no material CIU positions gains nothing from the CIU flexibility. The reporting impact is therefore bank-specific, and the first task is to map which reliefs actually bite on your book rather than assuming the whole package applies.

FRTB market risk reporting and disclosure do not get a holiday

The single biggest reporting trap in this change is assuming that lighter capital means lighter reporting. It does not. The Commission’s Q&A states that banks using the multiplier “must also comply with the reporting and disclosure requirements of the own funds requirements for market risk set out in Part Eight of the CRR in the version in force on 8 July 2024.”

That phrase, “the version in force on 8 July 2024,” is the same anchor the postponement acts used. Delegated Regulation (EU) 2024/2795 required institutions to continue applying the market risk requirements of Articles 430, 430b, 445 and 455 in the version in force on 8 July 2024 during the deferral. Article 430b is the dedicated reporting obligation on the alternative standardised approach and alternative internal model approach for market risk. Article 445 is the market risk own funds disclosure. Article 455 is the internal model disclosure. The new act keeps the disclosure side pinned to that pre-FRTB-disclosure baseline while the capital number is relieved.

For the supervisory reporting templates themselves, the relevant implementing technical standards are Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024, which replaced Commission Implementing Regulation (EU) 2021/451. That ITS was amended by Commission Implementing Regulation (EU) 2025/2475 of 8 December 2025, which extended the market risk reporting transitional provisions: for the own funds requirements referred to in the relevant points of Article 92, institutions continue to submit information on market risk own funds requirements in accordance with Article 5(12) of Implementing Regulation (EU) 2021/451 until 31 December 2026. In other words, the COREP plumbing for market risk has its own transitional clock that runs to the end of 2026, separate from the capital relief that starts on 1 January 2027.

The practical consequence is narrower and more technical. Article 495v requires an institution that uses the optional multiplier to continue reporting information on market risk own funds requirements calculated under Part Three, Title IV of the CRR in the version in force on 8 July 2024. It must also disclose that it chooses to apply the multiplier and continue the relevant Part Eight market risk disclosure requirements in the version in force on 8 July 2024. Do not hard-code a 2027 COREP treatment for the relieved and unrelieved FRTB figures until the Commission or EBA reporting instructions for the 2027 reference dates specify the template treatment. Our guide to COREP reporting walks through the own funds templates that carry these figures.

How this interacts with the output floor

Market risk does not sit in isolation in the capital stack. It feeds the total risk exposure amount, which is what the CRR3 output floor constrains. The Commission’s description of the multiplier is explicit that capital neutrality is measured after both the temporary amendments and the output floor are applied. That ordering matters.

The output floor itself phases in under Article 465 of the CRR. By way of derogation from Article 92(3), institutions apply a factor that rises over time: 50 percent from 1 January 2025, 55 percent from 1 January 2026, 60 percent from 1 January 2027, 65 percent from 1 January 2028, and 70 percent from 1 January 2029. The transitional period under Article 465(1) ends at 70 percent on 31 December 2029; the fully loaded Basel floor of 72.5 percent applies from 1 January 2030 under Article 92(3) of the CRR. So in 2027, the first year the relieved FRTB number is binding, the output floor factor is 60 percent. The interaction is not academic. A relieved market risk requirement changes the standardised total risk exposure amount that the floor compares against, which changes how much, if any, additional floor capital a bank holds.

This is where teams running the two projects separately get caught. The market risk team applies the multiplier; the output floor team uses the pre-multiplier standardised figure; the consolidated number does not reconcile. The reliefs and the floor have to be sequenced consistently, and the sequencing is defined by the regulation, not by internal project convenience. Our walkthrough of the CRR3 output floor phase-in covers the C 02.00 mechanics that this market risk figure now flows into.

Timing, scrutiny, and what is not yet final

The delegated regulation was adopted on 4 June 2026, with application from 1 January 2027 and expiry at the end of 2029, a three-year window that aligns with the Article 461a(2)(a) limit of up to three years in the absence of a more permanent legislative act. The reliefs are time-limited by design.

Because it is a delegated act, it is subject to the standard scrutiny procedure. The European Parliament and the Council have a period of three months to object, extendable by a further three months, before the act can enter into force. A reporting team should treat the substance as the planning baseline but should not assume the text is immovable until the scrutiny period closes. This is the same caution that applies to any delegated act in flight: build to it, but track the objection window.

There is also a Level 1 thread to watch. Article 461a(3) required the EBA to submit a report by 10 July 2026 to the European Parliament, the Council and the Commission on the implementation of the international market risk standards in third countries. That report is the evidence base on which the Commission may, where appropriate, bring a legislative proposal to secure a global level playing field on a more permanent footing. The multiplier is the short-term answer; the EBA report and any resulting proposal are the long-term question. For a recent example of how EBA technical work reshapes the COREP and FINREP data model, see our coverage of the EBA 4.3 DPM changes for COREP and FINREP.

What this means for a Luxembourg or EU trading book reporting team

The change applies uniformly across the EU because it amends the CRR directly, so there is no separate national transposition step. A bank in Luxembourg supervised by the CSSF, or directly by the ECB under the Single Supervisory Mechanism, faces the same Article 461a multiplier and the same reporting baseline as a bank in Frankfurt or Paris. The jurisdiction-specific layer is the supervisor you submit to and the questions they will ask, not the rule itself.

The work splits into three tracks. First, calculation: keep the pre-FRTB market risk engine running so the multiplier can be recalibrated every three months, identify which of the named reliefs apply to your positions, and reflect the CRR boundary requirements in force on 8 July 2024 where Article 495v applies. Second, reporting: confirm how your 2027 COREP build will capture the Article 495v reporting obligation for market risk own funds calculated under the CRR version in force on 8 July 2024, and track the Commission/EBA instructions for any template treatment of the multiplier. Third, disclosure and governance: disclose the use of the multiplier, continue the relevant Part Eight market risk disclosures in the version in force on 8 July 2024, and document the calibration so it can be reconstructed for the supervisor.

One thing this change does not do: it does not relax the broader CRR3 and CRD6 package around it. Credit risk, the output floor, operational risk and the governance changes proceed on their own timelines. If your CRD6 implementation is still settling, our note on the CRD VI Luxembourg transposition sets out where that sits. The market risk multiplier is a narrow, time-boxed adjustment inside a much larger framework that is otherwise live.

Frequently Asked Questions

Is FRTB postponed again from 1 January 2027?

No. The binding market risk own funds requirement starts on 1 January 2027 as scheduled. The two postponements available under Article 461a(2)(b) were used by Delegated Regulation (EU) 2024/2795 and Delegated Regulation (EU) 2025/1496. The June 2026 act does not move the date; it applies a multiplier and operational reliefs under Article 461a(2)(a) that reduce the capital outcome for three years.

What exactly does the targeted multiplier do?

There are two relevant multipliers. Article 495s applies a 0.9 transitional multiplier to the sensitivities-based method and to the simplified standardised approach until 31 December 2029. Article 495v creates a separate optional bank-specific multiplier for banks whose FRTB market risk own funds requirement, after the temporary amendments, is higher than the pre-FRTB requirement. That bank-specific multiplier is recalibrated every three months and is calibrated to preserve capital neutrality after the output floor. Institutions using only Articles 326 to 361 cannot apply the Article 495v multiplier.

Do we still have to report and disclose FRTB market risk figures if we use the multiplier?

Yes, but separate the two obligations. The Commission Q&A says the revised CRR introduced FRTB-based reporting and disclosure requirements for market risk own funds that apply to credit institutions in scope. The delegated act then adds that multiplier users must continue reporting market risk own funds requirements calculated under the CRR version in force on 8 July 2024, disclose that they use the multiplier, and continue the relevant Part Eight market risk disclosure requirements in that 8 July 2024 version.

Which FRTB approaches does the relief cover?

Article 461a(2)(a) covers all three approaches in Article 325(1): the alternative standardised approach (Articles 325c to 325ay), the alternative internal model approach (Articles 325az to 325bp), and the simplified standardised approach (Articles 326 to 361). The specific reliefs are targeted, so a given bank only benefits from those that match its book.

What are the operational relief measures, in practice?

They include relaxation of the profit and loss attribution test and the risk factor eligibility test under the internal model approach, flexibility for default risk on sovereign exposures under the internal model approach, a more favourable treatment of hedged equity exposures under the standardised approach, a more flexible treatment of collective investment undertaking exposures under both approaches, and a phase-in of certain standardised approach requirements.

How long do the relief and the multiplier last?

The act applies from 1 January 2027 and expires at the end of 2029, a three-year window consistent with the up-to-three-years limit in Article 461a(2)(a) where no more permanent legislative act is in place.

Is the delegated regulation already final?

It was adopted on 4 June 2026 but is subject to the delegated-act scrutiny procedure. The European Parliament and the Council have three months to object, extendable by a further three months. Teams should plan to the substance while tracking the scrutiny window.

How does the multiplier interact with the output floor?

Market risk feeds the total risk exposure amount that the CRR3 output floor constrains under Article 465. The Commission measures capital neutrality after the output floor is applied, and the floor factor is 60 percent in 2027. The market risk relief and the output floor calculation have to be sequenced consistently or the consolidated figure will not reconcile.

Related Articles

Key Takeaways

  • The Commission adopted a delegated regulation on 4 June 2026 (C(2026) 3647 final) applying a targeted multiplier and operational relief to FRTB market risk under Article 461a of the CRR (Regulation (EU) 2024/1623).
  • This is not a third postponement. The two postponements under Article 461a(2)(b), via Delegated Regulation (EU) 2024/2795 and Delegated Regulation (EU) 2025/1496, are exhausted, so the binding requirement starts on 1 January 2027.
  • There are two multipliers: Article 495s applies a fixed 0.9 transitional multiplier to the sensitivities-based method and the simplified standardised approach, while Article 495v is an optional bank-specific multiplier for banks whose FRTB requirement exceeds their pre-FRTB requirement, recalibrated every three months.
  • The Article 495v multiplier is not available to institutions that calculate market risk own funds only under Articles 326 to 361, and using it triggers a notification, evidence and continued pre-FRTB reporting obligation.
  • Operational relief targets the P&L attribution and risk factor eligibility tests, sovereign default risk under the internal model approach, hedged equity under the standardised approach, CIU exposures under both approaches, the residual risk add-on, EU ETS correlation, ACTP decomposition, and small trading book institutions.
  • Reporting and disclosure continue. Banks using the Article 495v multiplier must continue reporting market risk own funds under Part Three, Title IV, and disclosing under Part Eight of the CRR in the version in force on 8 July 2024.
  • The COREP market risk reporting transitional under Implementing Regulation (EU) 2024/3117, as amended by Implementing Regulation (EU) 2025/2475, runs to 31 December 2026 on its own clock; the 2027 template treatment of the multiplier is not yet specified in reporting instructions.
  • The reliefs and the multiplier apply for three years, from 1 January 2027 to the end of 2029, and the act is still in the delegated-act scrutiny window.

Sources and References

  • Commission Delegated Regulation (EU) …/… amending Regulation (EU) No 575/2013 as regards temporary targeted operational relief measures and targeted multipliers for the calculation of an institution’s own funds requirements for market risk, C(2026) 3647 final, adopted 4 June 2026: European Commission
  • European Commission, “Commission adopts temporary adjustments to Basel III Market Risk Rules to safeguard EU banks’ competitiveness” (4 June 2026): finance.ec.europa.eu
  • European Commission, “EU temporarily amends prudential rules for banks’ market risk” (8 June 2026): finance.ec.europa.eu
  • European Commission, “Questions and answers: Banking package: Amending market risk requirements to preserve the international level playing field”: finance.ec.europa.eu
  • Regulation (EU) 2024/1623 of 31 May 2024 (CRR3), including Article 461a, OJ L 2024/1623, 19.6.2024: EUR-Lex
  • Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 amending the CRR as regards the date of application of the own funds requirements for market risk: EUR-Lex
  • Commission Delegated Regulation (EU) 2025/1496 of 12 June 2025 amending Regulation (EU) No 575/2013 as regards the date of application of the own funds requirements for market risk, OJ L 2025/1496, 19.9.2025: EUR-Lex
  • Commission Implementing Regulation (EU) 2024/3117 of 29 November 2024 (supervisory reporting ITS), OJ L 2024/3117, 27.12.2024: EUR-Lex
  • Commission Implementing Regulation (EU) 2025/2475 of 8 December 2025 amending Implementing Regulation (EU) 2024/3117: EUR-Lex
  • Consolidated Regulation (EU) No 575/2013 (CRR), Articles 325, 430b, 445, 455, 465: EUR-Lex consolidated text

Modelling two worlds until 2030

The hard part of this change is not the multiplier itself. It is the evidence stack around it. A reporting team using Article 495v has to keep the pre-FRTB market risk calculation under the CRR version in force on 8 July 2024, the FRTB calculation under the CRR version in force on 9 July 2024 with Articles 495i to 495t, and the relieved binding amount produced by the Article 495v multiplier. The pre-FRTB figure supports the ratio and remains reportable. The multiplier choice and the relevant Part Eight market risk disclosures also remain visible to the market and supervisor. Parallel-running ends only when the relief expires at the end of 2029, or when a more permanent legislative fix replaces it. Until then, the FRTB number you spent two years building is not gone. It has become one part of a temporary calibration and reporting stack.

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.

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