Market risk capital rules take effect on January 1, 2027
Revised market risk capital requirements take effect on January 1, 2027. De Nederlandsche Bank (DNB) called on institutions on October 15, 2026, to prepare their processes, governance, reporting and capital calculations.
Relief requires parallel calculations
The Fundamental Review of the Trading Book (FRTB) introduces revised market risk capital requirements.
In June 2026, the European Commission (EC) announced temporary targeted measures, including an optional multiplier for institutions whose capital requirement under FRTB exceeds that under the current framework.
Institutions using the multiplier must maintain both existing and FRTB calculations and meet the associated reporting and disclosure requirements.
The European Banking Authority (EBA) has issued technical guidance explaining the measures and differences in reporting between institutions using the multiplier and those not using it.
DNB calls on institutions to assess the operational and capital implications before implementation.
Boundary relief runs through 2029
DNB stated on August 13, 2026, that it would not prioritise supervision or enforcement of certain book-boundary provisions and related reporting for directly supervised credit institutions through December 31, 2029.
Institutions determine applicable FRTB elements under the Capital Requirements Regulation (CRR), including thresholds in Articles 94 and 325a.
Calculations must follow legal provisions and EBA clarifications, including Commission Delegated Regulation (EU) 2025/1265 on determining a position's main risk driver.
Preparation extends beyond capital
Many institutions already report under Article 430 CRR, but reporting requirements may change from 2027.
The temporary multiplier entails parallel calculations rather than replacing the existing framework outright.
DNB calls for preparation across processes, governance, reporting and capital requirements.
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