Market Risk - Internal Models Approach

Policies relating to the Internal Models Approach (IMA) to the calculation of risk-weighted assets for banks, building societies and investment firms.

PRA Rules and Waivers

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

UK legislation

  • General provisions - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title IV, Chapter 1)
  • Internal Model Approach - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title IV, Chapter 5)
  • Permissions under the CRR (use of internal models) - Capital Requirements Regulation (EU) No 575/2013 (Article 363)
  • Types of derivatives – Capital Requirements Regulation (EU) No 575/2013 (Annex II) 

UK technical standards

  • Materiality of extensions and changes - Commission Delegated Regulation (EU) No 529/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex I
  • Benchmarking portfolio assessment standards and assessment-sharing procedures - Commission Delegated Regulation (EU) 2017/180 as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex E
  • Defining material exposures and thresholds for internal approaches to specific risk in the trading book - Commission Delegated Regulation (EU) 530/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019

Supervisory Statements

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This page was last updated 31 January 2023