SS13/13 - Market risk

Supervisory Statement 13/13

First published on 19 December 2013

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.

Near-final version

Published on 12 December 2023. Effective from 1 July 2025

Following PS17/23 – Implementation of the Basel 3.1 standards near-final part 1

Past versions