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DNB calls on institutions to prepare in a timely manner for the introduction of FRTB on 1 January 2027

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The revised market risk capital requirements under the Fundamental Review of the Trading Book (FRTB) will become applicable on 1 January 2027. The European Commission (EC) and the European Banking Authority (EBA) have published further clarification on this matter. DNB draws institutions’ attention to several relevant developments in the run-up to the implementation of the revised market risk framework.

Published: 15 October 2026

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Temporary measures from 1 January 2027

In June 2026, the EC announced additional temporary targeted measures. These measures include, among others, a temporary, optional multiplier for institutions whose market risk capital requirement under FRTB is higher than under the current framework. Institutions applying this multiplier will maintain both the existing and the FRTB calculations and, as a result, will comply with the associated reporting and disclosure requirements. The EBA has published additional technical guidance on this matter.

Impact of FRTB on the boundary between the banking book and the trading book

On 13 August 2026, DNB published a news item on the distinction between the banking book and the trading book. It states that, in line with the EBA’s call, DNB will not prioritise supervisory and enforcement measures relating to the relevant provisions and certain related reporting requirements for credit institutions under its direct supervision until 31 December 2029.

Relevant thresholds

Institutions determine, on the basis of the CRR, which elements of the revised market risk framework apply to them. In this context, the thresholds set out in Article 94 CRR and Article 325a CRR are, among others, relevant. The calculation of these thresholds is subject to the applicable legal provisions and EBA clarifications, including Commission Delegated Regulation (EU) 2025/1265 on the determination of the main risk driver of a position.

Reporting and implementation

Many institutions already submit FRTB reporting under Article 430 CRR. However, the reporting requirements may change from 2027 onwards. In its technical guidance, the EBA has provided further clarification on the implications that the EC’s temporary measures may have for the applicable reporting requirements, including the differences between institutions that do and do not make use of the multiplier. 

DNB calls on institutions to prepare in a timely manner for the implementation of FRTB and to assess the implications for their processes, governance arrangements, reporting and capital requirements.

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