Market Risk - Standardised Approach

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.

• Market Risk
• Waivers Transitional Provisions
• Disclosure (CRR) 
• Reporting (CRR)
• Trading book (CRR) 

UK legislation

• General provisions - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title IV, Chapter 1)
• Standardised Approach - Capital Requirements Regulation (EU) No 575/2013 (Part 3, Title IV, Chapter 2, Chapter 3 and Chapter 4)
• De minimis exemption for foreign exchange risk – Capital Requirements Regulation 575/2013 (Article 351)
• Permissions under the CRR (Own delta estimation) - Capital Requirements Regulation (EU) No 575/2013 (Article 329)
• Permissions under the CRR (Interest rate risk sensitivity models) - Capital Requirements Regulation (EU) No 575/2013 (Article 331)
• Types of derivatives – Capital Requirements Regulation (EU) No 575/2013 (Annex II)

UK technical standards

• Non-delta risk of options - Commission Delegated Regulation (EU) No 528/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019
• Definition of market - Commission Delegated Regulation (EU) No 525/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex H
• Material specific risk - Commission Delegated Regulation (EU) No 530/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019
• Appropriately diversified indices - Commission Implementing Regulation (EU) No 945/2014, as amended, including by Commission Delegated Regulation (EU) 2020/125 and the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019
• Closely correlated currencies - Commission Implementing Regulation (EU) 2015/2197, as amended, including by Commission Delegated Regulation (EU) 2019/2091 and the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019

Supervisory Statements

• Market risk (SS13/13)  

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

• Guidelines on corrections to modified duration for debt instruments (EBA/GL/2016/09)