The PRA has announced the timeframe for its consult on the UK implementation of Basel 3.1, including the Fundamental Review of the Trading Book (FRTB), along with a proposed timetable for firms to submit new IMA applications.
The PRA has announced that it will consult on the UK implementation of Basel 3.1 including FRTB (Fundamental Review of the Trading Book), in Q4 of 2022.
The planned implementation date is 1 January 2025.
Basel 3.1 removes the current market risk internal model approach (IMA) methodologies and replaces it with a new framework. In a letter to firms, published on 27 June, the PRA said they have reached a provisional decision on the timetable for firms to submit new IMA applications for review, before the UK implementation date.
To allow enough time for the PRA to review and reach a decision on prospective model applications, and so that new IMA permissions are in place before or on the implementation date, the PRA has said firms should submit their final pre-application materials at least 12 months before Basel 3.1 is implemented, by 1 January 2024.
The new market risk rules introduced by FRTB are “substantially different” to the existing rules, and the PRA does not intend to consult on a temporary extension of the existing modelling regimes or permissions.
The letter also outlines updates to the ongoing pre-engagement discussions that have taken place between the PRA and firms since 2018.
As the implementation date gets closer, these meetings will be used to cover “more in-depth reviews on selected topics.” Feedback will be given after each of these meetings on any concerns raised about the impending changes, and expectations.
Find out more details and read the letter in full here.