On 4 June 2026, the European Commission (Commission) adopted a Delegated Regulation amending the Capital Requirements Regulation (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 has also issued Q&As on the Delegated Regulation.
The Delegated Regulation concerns both the Fundamental Review of the Trading Book (FRTB) internal model and standardised approaches. The Commission is aware that some major jurisdictions are expected to delay FRTB implementation beyond 1 January 2027 and uncertainty remains regarding the final rules for those jurisdictions. As such the Commission has adopted this Delegated Regulation to preserve the level playing field for EU banks, based on an empowerment in the CRR.
The Delegated Regulation temporarily relaxes certain aspects of the internal model approach (such as the profit and loss attribution test and the risk factor eligibility test), providing both capital and operational relief. It also introduces a more flexible treatment for the calculation of the capital requirements for Collective Investment Undertaking exposures, under both approaches, and allows banks certain flexibilities in the calculation of the capital requirements for default risk for sovereign exposures under the internal model approach and for hedged equity exposures under the standardised approach. Banks also benefit from a temporary phase-in of some requirements under the standardised approach that address level playing field issues coming from the different implementation timelines with other jurisdictions. The targeted multiplier is designed to neutralise the capital impact on banks negatively impacted by the new FRTB rules. EU banks will calibrate this multiplier such that it scales down their FRTB capital requirements, after the application of the targeted amendments and after the application of the output floor, to the level of their pre-FRTB capital requirements.
Next steps
The Delegated Regulation will now be reviewed by the European Parliament and the Council, with a three-month scrutiny period (extendable by a further three months). If no objection is raised, the measures will enter into application on 1 January 2027, for a period of three years.