FRTB Reporting 2027: Assessing the Impact of the EBA Simplification Package on Regulatory Reporting, Risk Management and Governance

With Consultation Paper EBA/CP/2026/07 – Module 5 of the “Simplification Package” dated 10 April 2026 – the European Banking Authority (EBA) aligns European supervisory reporting for market risk, Prudent Valuation, Counterparty Credit Risk (CCR) and CVA risk with CRR3 and the Fundamental Review of the Trading Book (FRTB).  

FRTB is the central driver – not simplification. Most of the changes merely activate the reporting framework already prepared in 2024 but postponed due to the FRTB delay (Alternative Standardised Approach (ASA), Alternative Internal Models Approach (AIMA), Boundary, Structural FX) for the application start on 1 January 2027. Simplification is not deregulation. The removal of individual templates reduces reporting granularity, not the underlying calculation and governance obligations. Banks will still need to maintain robust calculations, controls and audit evidence internally. 

Impact depends strongly on the institution. Small trading books and institutions using the Simplified Standardised Approach (SSA), ASA or AIMA are affected in very different ways. Proportionality does not arise automatically; it requires robust threshold governance. 

With the adopted 3rd Delegated Act (C(2026)3647) and the multiplier under Article 461a CRR adopted on 4 June 2026, parallel operation of pre-FRTB and FRTB reporting becomes mandatory beyond 2027 for institutions applying it. 

The consultation period ended on 10 July 2026. The final ITS is expected by the end of 2026; first application under the revised framework is scheduled for 30 September 2027. 

Context and timeline 

Module 5 is one of nine parallel module consultations under EBA/CP/2026/07, through which the EBA is initiating the most comprehensive revision of regulatory reporting in more than a decade and aims to reduce the number of data points across the package by around half. Module 5 covers the reporting requirements for Boundary and thresholds, market risk, Prudent Valuation, CCR and CVA. The revised ITS resulting from this consultation is expected to be finalised and published by the end of 2026; first application is planned for the reporting reference date of 30 September 2027. 

Module 5 is designed to achieve two objectives: first, the integration of reporting requirements that had already been finalised but deferred due to the FRTB postponement (ASA/AIMA from EBA/ITS/2024/02, Structural FX from EBA/RTS/2025/09); second, the actual simplifications and technical corrections, including those resulting from Single Rulebook Q&As. 

From a timing perspective, two interlinked tracks need to be distinguished: the FRTB-driven activation of the previously deferred reports (SSA scaling factors, ASA/AIMA, Boundary) is linked to FRTB application from 1 January 2027; for the SSA templates, the consultation paper formally identifies Q1 2027 as the first reference date. The updated technical specifications (DPM, validation rules, XBRL taxonomies), however, will only become available for a later reference date that has not yet been specified in detail. Until the technical specifications are published, the existing reporting templates and reporting logic are expected to continue to apply. 

Overview of the changes 

The following table summarises the key adjustments, the institutions primarily affected and the respective driver – FRTB integration, simplification or technical correction. 

Changes in detail

1. Boundary, thresholds and Structural FX

The reports on trading book composition (C 90.05) and reclassifications between the trading book and banking book (C 24.01) had already been included in the ITS in 2024, but their application was suspended until the FRTB requirements become effective. 

With full FRTB application from 1 January 2027, they will become effective – in line with the EBA’s no-action letter on the Boundary framework. The template design remains unchanged; the EBA also deliberately does not redesign threshold template C 90.00 despite the amended CRR3 logic for identifying and aggregating long and short positions. As a simplification, C 90.05 will in future only have to be reported by institutions above the trading book threshold under Article 94 CRR, thereby reducing the burden for small trading books. 

Reporting of structural foreign exchange positions (Structural FX) is newly included. It is based on the RTS finalised in December 2025 (EBA/RTS/2025/09) and is deliberately assigned to the Boundary section, as Structural FX positions may be relevant irrespective of the market risk approach chosen. 

2. Standardised approaches: SSA and ASA

For the Simplified Standardised Approach (SSA), the consultation paper activates the scaling factors provided for in Article 325 CRR, the application of which is currently suspended under Article 520a CRR; the related reporting remains suspended until FRTB enters into force (first reference date formally Q1 2027). As a simplification, the breakdown by currency in C 18.01 (interest rate risk) and the breakdown by market in C 21.01 (equity risk) will be removed – in each case eliminating the z-axis. 

For the Alternative Standardised Approach (ASA), the enhanced reporting framework finalised in 2024 is integrated. For institutions with partial offsetting permissions (Article 325b CRR), multi-entity offsetting groups will no longer automatically be considered material; instead, materiality must be assessed using quantitative and qualitative criteria. In addition, the ASA detail templates (C 92.01–C 94.03) will only have to be reported for the total of all offsetting groups, and no longer for each material group; only summary template C 91.01 must still be completed both for the total and for each material group. 

3. Internal models: AIMA and the CRR2 transition

The consultation paper introduces reporting for the Alternative Internal Models Approach (AIMA) for the first time (design from EBA/ITS/2024/02); a misalignment in C 95.00 regarding the own funds calculation for IRT portfolios or desks is corrected. On the simplification side, the template on stress periods (C 96.01.2) and the template on the SSRM breakdown by method (C 96.05.2) are removed; the standardised qualitative disclosures on trading desks (C 97.00) are replaced by a pure free-text description; in the DRC correlation report (C 98.02.1), the number of counterparties to be reported individually decreases from 25 to 20; and the reporting of economic profits and losses (C 99.00) is required only from institutions whose trading book activities exceed the thresholds under Article 94 CRR and which also conduct significant market risk business under Article 325a CRR. 

The template on positions and own funds under internal models according to CRR2 (C 24.00) is intended to be removed once CRR2 models become irrelevant. Due to the delegated act adopted on 4 June 2026, institutions using the multiplier must continue to comply with the reporting and disclosure requirements for market risk own funds under Part Eight of the CRR in the version applicable on 8 July 2024, meaning that template C 24.00 will continue to exist beyond 1 January 2027 until the temporary measure expires. 

4. Prudent Valuation

In the area of Prudent Valuation, the consultation paper removes the templates for Model Risk AVA (C 32.03) and the AVA for concentrated positions (C 32.04). The key point from a risk and audit perspective is that the deletion relates solely to reporting. The obligation to determine these Additional Valuation Adjustments under Article 105 CRR and the relevant RTS remains unchanged. For users of the Core Approach, the benefit is therefore primarily operational rather than substantive. 

5. CCR and CVA

For CCR and CVA, the consultation paper does not provide for any major substantive changes to the detail templates (C 34.01–C 34.11 and C 25.01). In the CCR area, C 34.01 is adjusted to correct a misalignment between the regulatory and reporting frameworks caused by the CRR3 “Main Risk Driver” approach (EBA Q&A 7431). For CVA, two cells are greyed out to avoid double reporting (EBA Q&A 7456); the explanations for field c0090 are also clarified: the BA-CVA value for unhedged Credit Spread Risk (CSR) must be reported before application of the discount factor DS_CVA (EBA Q&A 7489). 

Implications from a reporting perspective 

The primary challenge will be integrating the new FRTB templates (ASA, AIMA, Boundary, Structural FX) into existing reporting processes and data architectures. FRTB reporting places high demands on granularity, consistency and traceability and requires a robust link between the front office, risk calculation, finance data architecture and regulatory reporting. Incorrect boundary classifications, incomplete risk factors or inconsistent valuation data have an immediate impact on reporting quality. 

Since the information required for this often comes from different front-office, risk, finance and reporting systems, consistent data management becomes significantly more important. 

In addition, the scope of the reporting obligations themselves must be clearly delineated: in the consultation paper, the EBA explicitly asks whether it is clear which institutions have to report which templates. For group structures, offsetting groups and the new quantitative-qualitative materiality assessment, a clean functional mapping is required – including evidence explaining why a template is or is not reported. 

Proportionality is therefore double-edged: the removal of breakdowns and templates reduces the burden, but partly shifts the effort from data collection to threshold monitoring and governance of reporting obligations. Relief therefore does not arise automatically; it requires robust classification – for example, whether a trading book qualifies as small within the meaning of Article 94 CRR. 

Overall, the consultation paper shows that the future challenges for reporting will lie less in producing individual reports than in managing a complex data and process landscape. Successful regulatory reporting will increasingly depend on high data quality, clear responsibilities and close cooperation between reporting, risk management and the business functions. Against the background of FRTB introduction from January 2027, banks should therefore not view the upcoming adjustments as an isolated reporting project, but as a strategic development of their regulatory data and management architecture. 

Implications from a risk perspective 

For risk management, the most important message is that simplification does not mean deregulation. The removal of individual templates reduces supervisory visibility, but not the underlying calculation and governance obligations. This is most evident in the deleted Prudent Valuation templates for Model Risk AVA (C 32.03) and the AVA for concentrated positions (C 32.04): determining these Additional Valuation Adjustments under Article 105 CRR and the relevant RTS remains fully mandatory. The same applies to the deleted AIMA templates. As a result, evidence and audit assurance shift from external reporting to internal controls, model validation and management information. Where supervisors see less granularity, the importance of robust internal evidence increases – a point that deserves particular attention from an audit perspective. 

The distinction between the trading book and the banking book will attract greater supervisory attention. With the activation of reclassification reporting between the trading book and banking book (C 24.01), internal Boundary controls become visible to supervisors. Since reclassifications under FRTB are highly restricted and sensitive from a supervisory perspective, institutions need robust governance processes, clear responsibilities and a traceable rationale throughout the product lifecycle. Incorrect classification affects not only reporting, but also capital requirements, limit management and supervisory assessment. 

Moreover, the transition to FRTB approaches increases the requirements for model governance. Model validation, backtesting, P&L attribution and regulatory capital calculation must interact consistently. AIMA reporting makes weaknesses in model governance or data processes immediately visible and thus becomes an additional audit trail for the quality of market risk management. The fact that individual detailed reports such as the stress period template (C 96.01.2), the SSRM breakdown by method (C 96.05.2) or the number of DRC counterparties to be reported individually are removed or reduced does not change this: the underlying concepts (Expected Shortfall including stress calibration, non-modellable risk factors, Default Risk Charge) remain an integral part of the approach. The restriction of reporting economic profits and losses (C 99.00) to institutions with a non-small trading book and significant market risk business also affects only the reporting scope. For AIMA users, the economic profit and loss calculation remains relevant as the basis for backtesting and model monitoring. 

In addition, the previously open question of the 3rd Delegated Act has now been decided. On 4 June 2026, the Commission adopted a Delegated Regulation under the empowerment in Article 461a CRR providing temporary, targeted relief and a multiplier for market risk own funds; it is still subject to scrutiny by the European Parliament and the European Council. The multiplier is calibrated by each institution so that it scales down the FRTB requirements after application of the targeted adjustments and after the output floor to the respective pre-FRTB level. For institutions using the multiplier, parallel operation is therefore no longer a contingency: they must continue to comply with the reporting and disclosure requirements for market risk under Part Eight of the CRR in the version applicable on 8 July 2024, so that template C 24.00 will continue to exist beyond 1 January 2027 until the temporary measure expires. For institutions with internal models, this dual operation of pre-FRTB and FRTB calculation streams is a capital- and resource-relevant factor that must be firmly incorporated into implementation planning. Since the EBA has announced that it will take the effects of a 3rd Delegated Act into account in the final ITS, the reporting design may still be adjusted in this respect. 

Finally, several smaller adjustments indicate that methodological consistency between calculation and reporting is increasingly expected. The correction to C 34.01 in the CCR area aligns reporting with the CRR3 Main Risk Driver approach, which concerns determining the relevant risk category of a derivative position. For CVA, the clarification of field c0090 makes clear that the BA-CVA value for unhedged CSR must be reported before application of the discount factor DS_CVA. In addition, further smaller changes from the separate module on the integration of stress test data flow into the Prudent Valuation and CCR templates. Overall, this raises the expectation that internal calculation logic, supervisory reporting and stress testing produce a consistent picture. 

Impact by institution type 

The effect of the changes depends strongly on the chosen approach and the size of the trading book. The following overview assigns the main impact to typical institution segments. 

Recommended actions 

To manage the transition to the revised reporting framework early and in an orderly manner, the following steps are particularly recommended: 

• start the impact and gap analysis by template now and precisely determine the impact by institution type and approach (SSA/ASA/AIMA)
• make architecture and target-state decisions along the entire chain (source system to XBRL) before year-end 2026 in order to meet the first 2027 reference date in production
• establish documented Boundary and reclassification governance as well as the materiality assessment for offsetting groups
• maintain AVA calculation and control processes despite the removal of the reporting requirement and keep them internally evidenced
• take the continued CRR2/FRTB parallel operation resulting from the 3rd Delegated Act under Article 461a CRR into account in capital, resource and implementation planning
• bring Finance, Risk, Treasury, Reporting and IT together early – FRTB reporting is a cross-functional transformation project, not a purely regulatory reporting project

Conclusion and outlook 

Consultation Paper EBA/CP/2026/07 is less a pure reporting amendment than the operational implementation of FRTB in European supervisory reporting – accompanied by targeted but selective simplifications. For banks, the picture is ambivalent: genuine relief in terms of granularity and individual templates, but at the same time substantial implementation and governance effort as well as continuing regulatory uncertainty. The final ITS is expected by the end of 2026, and the first reporting reference date is planned to be 30 September 2027. Institutions that succeed will be those that develop a consistent target state for FRTB reporting, the data architecture and the control framework at an early stage – and understand regulatory reporting and risk management as two sides of the same task. 

BDO supports banks and financial services providers in assessing regulatory developments, conducting gap analyses, interpreting new reporting requirements from a subject-matter perspective and implementing reporting and data architecture requirements. By combining regulatory reporting, risk management and audit expertise, we help institutions integrate regulatory requirements efficiently and sustainably into existing steering and reporting processes. 

Do you have questions about the impact of the consultation paper on your institution, or would you like to assess the action required for your organisation? Please feel free to contact us.