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

Market risk – SS13/13 UPDATED

07 July 2016

23 February 2017: Content on this page has been updated see:

Market risk – SS13/13 UPDATE

For information only, the publication issued on 7 July 2016 is available below.

Update 7 July 2016: This statement was updated to amend the expectations on the validation of firms’ risks not In VaR (RNIV) frameworks and reporting of extensions and changes to firms’ RNIV frameworks, and also provides clarification on the PRA’s reporting requirements around Internal Model Approach (IMA) model changes and extensions. In addition, the process for informing the PRA with regard to non-compliance has been clarified. There are changes to paragraphs 2.2, 9.16, and 12.1. Paragraphs 2.10 to 2.12, and paragraph 12.3 are new. In addition, Chapters 3A and 3B have been added in a way to maintain the integrity of the numbering of the chapters and paragraphs in the previous version of this statement.

Additionally amendments were made to bring attention to the PRA’s expectations for firms applying for: the use of own estimates of delta in the standardised approach for options; the use of sensitivity models under Article 331 of the Capital Requirements Regulation (CRR); and the exclusion of positions from the calculation of net open currency positions under Article 352(2) of the CRR. The amendments clarify the criteria expected of firms to satisfy the standards set out in the relevant CRR articles. These revisions are found in paragraphs 3.1, 3.2, and Chapters 3A and 3B.

The policy contained in this PS has been designed in the context of the current UK and EU regulatory framework. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework, including changes arising once any new arrangements with the European Union take effect.

This supervisory statement is aimed at firms to which CRD IV applies.

Supervisory statement

Market risk – SS13/13 UPDATE

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