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.

Future interim version 

Published on 20 January 2026. Effective from 1 January 2027 to 31 December 2027.

- following PS1/26 – Implementation of Basel 3.1: Final rules

Future version

Published on 20 January 2026. Effective from 1 January 2028.

- following PS1/26 – Implementation of Basel 3.1: Final rules

Past versions