On 6 November 2025, the European Commission (Commission) launched a targeted consultation on the prudential framework for market risk for banks, the Fundamental Review of the Trading Book (FRTB).
The consultation is framed by the empowerment to the Commission under Article 461a of the Capital Requirements Regulation (CRR) and focuses on potential actions by the Commission under that empowerment through delegated acts. Stakeholders are invited to submit their comments on the way forward on FRTB implementation and comment on the following two components:
- To use the empowerment in Article 461a CRR to introduce temporary targeted amendments to the market risk framework that would address aspects of the framework on which other jurisdictions have already deviated or indicated that they would plan to deviate in their final FRTB implementation. Potential changes may broadly cover:
- maintaining the profit and loss attribution test as a monitoring tool under the internal model approach;
- phasing in the own funds requirements for market risks of non‑modellable risk factors;
- providing additional operational relief to onboard risk factors from new risk factors, such as new issuances, new reference rates, new commodities, etc., under the alternative internal model approach;
- aligning the own funds treatment for default risk for sovereign issuers under the alternative standardised approach and the alternative internal model approach;
- simplification/operationalisation of the framework for the calculation of own funds requirements for collective investment undertaking positions under both the alternative standardised approach and the alternative internal model approach;
- phasing in the own funds requirements for specific instruments under the residual risk add‑on calculation under the alternative standardised approach;
- allowing banks to recognise economic hedging for equity and credit instruments under the default risk charge under the alternative standardised approach;
- recognising additional diversification in the calculation of the own funds requirements for instruments exposed to EU emissions trading system scheme under the alternative standardised approach;
- introducing a phase‑in factor for the alternative standardised approach; and
- reflecting the changes in the alternative standardised approach in the calibration of the simplified standardised approach.
- To use the empowerment in Article 461a CRR to introduce a multiplier for the overall market risk capital requirements that banks negatively impacted by the new rules would be allowed to use to significantly limit their market risk capital requirements increases for three years. Some alternative methods for the multiplier include:
- a bank‑specific multiplier, periodically recalibrated throughout the three‑year period to the Basel 2.5 capital requirements and aiming to neutralise, at each recalibration date, the increases stemming from market risk capital requirements, due to the FRTB implementation;
- a bank‑specific multiplier, calibrated to the current capital requirements and aiming to neutralise increases stemming from market risk capital requirements at implementation date, due to the FRTB implementation;
- an industry‑wide multiplier defined as a single percentage that would be centrally calibrated on the capital impacts reported by banks negatively impacted;
- an industry‑wide multiplier for banks adversely impacted that have opted to apply the internal model approach in the future, centrally calibrated to their reported capital impacts, and an industry‑wide multiplier for banks adversely impacted that have opted to apply the alternative standardised approach in the future, centrally calibrated to their reported capital impacts; and
- any alternative that delivers on the objective of temporarily neutralising increases from the market risk capital requirements for banks adversely impacted by the FRTB requirements.
Deadline
The deadline for comments on the consultation is 6 January 2026.