Regulatory Alerts2026-06-19
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PRA sets out adjustments to its market risk internal model approach under Basel 3.1
The Prudential Regulation Authority (PRA) has issued Consultation Paper 9/26, proposing targeted adjustments to the Basel 3.1 internal model approach (IMA) for market risk. These proposals include extending the monitoring period for the profit and loss attribution test (PLAT), adjusting the risk factor eligibility test (RFET) for less liquid factors and new issuances, and introducing a new category of non-modellable risk factors (NMRFs) with operational simplifications. The adjustments aim to enhance the proportionality, operational effectiveness, and international consistency of the framework, while maintaining robust prudential standards, with an implementation date of 1 January 2028.
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