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Home > Prudential Regulation Authority > Market risk - SS13/13 – UPDATED

Market risk - SS13/13 – UPDATED

27 October 2014

7 July 2015 – Content on this page has been updated see:

Market Risk – SS13/13 UPDATE

For information only, the publication issued on 27 October 2014 is available below.

This supervisory statement sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in relation to market risk and should be considered in addition to requirements set out in CRD IV Articles 325–377, the market risk rules of the PRA Rulebook and the high-level expectations outlined in The PRA’s approach to banking supervision.

This statement details the PRA’s expectations with regard to the following:
  • Material deficiencies in risk capture by an institution’s internal approach;
  • Standardised approach for options;
  • Netting a convertible with its underlying instrument;
  • Offsetting derivative instruments.
  • Exclusion of backtesting exceptions when determining multiplication factor addends;
  • Derivation of notional positions for standardised approaches;
  • Qualifying debt instruments
  • Expectations relating to internal models;
  • Value-at-Risk (VaR) and stressed VaR (sVaR) calculation;
  • Requirement to have an internal incremental risk charge (IRC) model; and
  • Annual SIF attestation of market risk internal models.

Supervisory statement

Market risk - SS13/13