12.1 The PRA expects an appropriate individual in a SMF role to provide to the PRA on an annual basis written attestation that the firm’s internal approaches for which it has received a permission comply with the requirements in the Market Risk: Internal Model Approach (CRR) Part of the PRA Rulebook, and any applicable market risk supervisory statements.

12.2 Firms should agree the appropriate SMF for providing this attestation with the PRA, noting that the PRA would not expect to agree more than 2 SMFs to cover all the firm’s market risk internal models as described in the Market Risk: Internal Model Approach (CRR) Part.

12.3 Where a firm is unable to provide an attestation under paragraph 12.1 or at any time has ceased to comply with the requirements in the Market Risk: Internal Model Approach (CRR) Part, then the firm is expected to notify the PRA of that fact pursuant to Fundamental Rule 7 of the PRA Rulebook for CRR firms and to do one of the following:

- present the PRA with a credible plan for a timely return to compliance; or

- demonstrate to the satisfaction of the PRA that the effect of non-compliance is immaterial.