On 30 March 2020, the PRA published statements on:

  • value at risk (VAR) back-testing exceptions temporary approach. The PRA is aware that the exceptional levels of market volatility over the past few weeks has led to an elevated level of VAR back-testing breaches across the industry. In order to mitigate the possibility of procyclical market risk capital requirements through the automatic application of a higher VAR multiplier the PRA will allow firms – on a temporary basis – to offset increases due to new exceptions through a commensurate reduction in risks-not-in-VAR (RNIV) capital requirements; and
  • exposure value for internal models method counterparty credit risk. The PRA is aware that some firms have recently experienced significant moves in counterparty credit risk (CCR) risk-weighted assets (RWAs), and it understands that these moves are partially attributable to large margin calls following significant intraday market price movements.