SS13/13 - Market risk (near-final version) (effective from 1 July 2025)

Version date: 12 December 2023 - onwards

Update 12 December 2023

SS13/13 was updated with its near-final version following the publication of PS17/23 – Implementation of the Basel 3.1 standards near-final part 1 and will be effective from 1 July 2025.

	1 Introduction
	2 Material deficiencies in risk capture by an institution’s internal approach
	3 Simplified standardised approach for options
	3A Sensitivity Models for Interest Rate Risk
	3B Calculation of the overall net foreign exchange position
	4 Netting a convertible with its underlying instrument
	5 Offsetting derivative instruments
	5A Corrections to modified duration for debt instruments under CRR Article 340
	6 Exclusion of overshootings when determining multiplication factor addends
	7 Derivation of notional positions for simplified standardised approaches
	8 Qualifying debt instruments
	9 Expectations relating to internal models
	10 Stressed VaR calculation
	11 Requirement to have an internal IRC model
	12 Annual SMF attestation of market risk internal models
	13 Alternative definitions of sensitivities in the advanced standardised approach
	Appendix - SS13/13 updates

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