Capital relaxation for market risk 2026: what changes for banks and credit institutions

Key data

Banks operating under European prudential supervision have a concrete opportunity on the table: to temporarily reduce their capital requirements thanks to the Commission Delegated Regulation (EU) 2026/1221, published on 11 September 2026. The regulation amends the Regulation (EU) No 575/2013 (CRR) and introduces relief measures designed to cushion the impact of the progressive implementation of the Basel IV framework.

This is not a permanent structural reform: these are temporary and specific measures. But their effect on capital planning and short-term liquidity is immediate and real. Entities that do not review their internal models will lose the advantage that this regulation offers.

What does this regulation establish?

Commission Delegated Regulation (EU) 2026/1221 introduces two types of amendments to the CRR:

Context is key: the EU is progressively implementing the Basel IV framework, which significantly tightens risk calculation models. To avoid an abrupt impact on banking operations during the transition, the Commission has opted for these temporary relief measures. These are not a permanent reduction in prudential standards, but rather a buffer for adaptation.

National supervisors, including the Bank of Spain, must incorporate these provisions into their supervisory review and evaluation processes (SREP), which directly affects how the capital adequacy of each entity in Spain is assessed.

Economic and operational impact

The transitional reduction in capital requirements has direct consequences for the income statement and business strategy of affected entities:

• Greater financing capacity: by reducing the capital that must be held immobilized, entities have more room to grant credit or invest.
• Improved short-term liquidity: operational relaxation frees up resources that would otherwise be locked in as a capital buffer.
• Mandatory review of internal models: specific multipliers for calculating own funds for market risk must be updated. Entities using internal models approved by the supervisor will need to verify that their parameters reflect the new multipliers.
• Impact on SREP: the Bank of Spain will apply these measures in its supervisory assessments, which may modify the additional capital requirements (Pillar 2) communicated to each entity.
• Capital planning: CFOs and risk directors must recalculate their regulatory capital projections for the time horizon covered by these measures.

Who is affected?

• Banks with activity in the European Union subject to the CRR (Regulation 575/2013)
• Credit institutions under European prudential supervision (ECB or competent national authorities)
• Investment firms subject to CRR capital requirements
• Entities supervised by the Bank of Spain, which must apply these provisions in its SREP processes
• Risk, finance and compliance departments of all the above entities, responsible for updating models and projections

Non-financial companies, SMEs and self-employed individuals are not directly affected by this regulation, although they may benefit indirectly if greater bank liquidity translates into better credit conditions.

Practical example

Imagine a medium-sized Spanish bank supervised by the Bank of Spain that uses approved internal models to calculate its own funds requirements for market risk.

Until now, its models applied the multipliers established in the original CRR. With the entry into force of Commission Delegated Regulation (EU) 2026/1221, those specific multipliers are adjusted downward on a transitional basis. The result: the regulatory capital that the bank must hold immobilized to cover its market risk positions is reduced.

This bank must act on two fronts immediately:

1. Update its internal models to reflect the new multipliers, and communicate the changes to the Bank of Spain if required by the supervisory process.
2. Recalculate its capital planning for the transitional period, identifying how much capital is available for new credit or investment operations.

If the bank does not update its models, it will continue to calculate a higher capital requirement than the regulation requires, losing the liquidity advantage that the measure offers. And if the Bank of Spain detects in the SREP that the models are not updated, it could require a formal review.

What should entities do now?

1. Review internal market risk models: identify which specific multipliers are affected by Commission Delegated Regulation (EU) 2026/1221 and update calculation parameters.
2. Recalculate capital planning: finance and risk departments must project the impact of the transitional reduction in operational capital requirements over the time horizon covered by the regulation.
3. Coordinate with the supervisor: verify with the Bank of Spain (or with the ECB, depending on the applicable supervisory model) whether updating models requires formal communication or approval within the SREP framework.
4. Update compliance documentation: ensure that internal capital reports (ICAAP) and risk policy documents reflect the changes introduced by this regulation.
5. Monitor the entry into force date: the regulation does not specify a specific application date. It is essential to follow the EU Official Journal and Bank of Spain communications to identify the exact moment of mandatory application.

Official source

Consult full regulation in official source — EUR-Lex OJ:L_202601221

Disclaimer: This article is for informational purposes only and does not constitute legal advice. For specific decisions, consult a qualified professional. Source: https://eur-lex.europa.eu/./legal-content/AUTO/?uri=OJ:L_202601221