7.1 The PRA proposed to make a number of changes to the market risk framework that would:

• make explicit that prudent valuation requirements apply to trading and non-trading book positions measured at fair value;

• replicate in the Trading Book (CRR) Part of the PRA Rulebook the UK Technical Standards Instrument due to be repealed that prescribes additional prudent valuation requirements;

• require that, in order to be included in the trading book, a position must be revalued at fair value on at least a daily basis, and the changes in the value of those positions must be reported in the profit and loss account of the firm;

• incorporate requirements on management of the trading book and internal hedges between the trading book and non-trading book into the Trading Book (CRR) Part of the PRA Rulebook; and

• amend the eligibility requirements for use of the derogation for small trading book business.

7.2 One respondent requested clarification on the status of CRR Level 2 Regulations for which the mandate falls under the CRR Level 1 Articles that have been deleted by the FS Act, in particular regarding Commission Delegated Regulation (EU) 2016/101 relating to the proposals on prudent valuation. One respondent supported the proposals to require daily revaluation at fair value of trading book positions. Two respondents supported the proposals relating to the derogation for small trading book business on the basis of proportionality.