PRA CP9/26: The Market-Risk IMA Just Became More Attainable
On 19 June 2026 the PRA published CP9/26 — adjustments to the internal model approach for market risk under Basel 3.1. The consultation closed on 18 September 2026, with the changes proposed to take effect on 1 January 2028, aligned with the UK’s IMA go-live under PS1/26. The proposals loosen the two quantitative gates that have kept trading desks off the IMA — the P&L attribution test and risk-factor eligibility — and restructure the treatment of non-modellable risk factors. Desks that shelved an IMA application on FRTB economics should re-run the numbers.
Six adjustments, two of which move the IMA business case
CP9/26 is a package of calibration changes, not a redesign of the FRTB. But the PLAT and risk-factor-eligibility moves change the arithmetic that decided most desks’ standardised-vs-internal-model choice.
PLAT: monitoring window extended to three years
P&L attribution test monitoring extends from one year to three, and test failures during that window no longer trigger automatic desk reallocation to the standardised approach. The single largest source of IMA cliff-risk is deferred.
Risk-factor eligibility: 24 → 16 verifiable prices
For risk factors with liquidity horizons above 20 days, the verifiable-price requirement drops from 24 to 16, with pro-rated requirements for new issuances. Fewer factors fall out of the model into NMRF treatment.
NMRFs split into Type 1 and Type 2
Risk factors that fail the quantitative test but pass qualitative tests (Type 1) stay in the model with a capital add-on; only those failing both (Type 2) are excluded. NMRF calculations are simplified and move to monthly frequency.
Diversification between ASA and IMA portfolios
Marginal adjustments recognise diversification between advanced-standardised and IMA portfolios, and hard caps are replaced with permission-based alternatives — a supervisory-dialogue lever, not an automatic one.
CIU look-through at 90%
A 90% look-through threshold for collective investment undertakings, with extended treatment for index-tracking funds — removing a persistent operational blocker for funds-heavy books.
Operational clarifications
Alternative risk-factor coverage tests and guidance on desks for GIRR internal hedges. Small in capital terms; material in model-approval paperwork.
Both quantitative gates that kept desks off the IMA loosen
The risk-factor eligibility threshold falls by a third for less-liquid factors, and the PLAT consequence window triples — without the automatic reallocation penalty that made a marginal desk untouchable.
Source: PRA CP9/26 — Basel 3.1: adjustments to the internal model approach for market risk, 19 June 2026.
From PS1/26 to a 2028 IMA go-live
Who should re-run the IMA case — and who inherits a reporting split
Desks that chose ASA on the old arithmetic
Most UK trading businesses concluded under CP16/22-era calibration that the IMA’s approval cost and PLAT cliff-risk outweighed the capital benefit. CP9/26 moves both inputs. The decision deserves a re-run on the proposed parameters — before the application queue forms ahead of January 2028.
EU G-SIBs with London entities: a year of split methodology
EU FRTB own-funds requirements start on 1 January 2027 (CDR (EU) 2025/1496); the UK IMA arrives a year later. Groups running London desks will carry a split-calibration year across entities — a reconciliation burden the group market-risk function should plan for now, not discover in Q4 2027.
Permission-based levers reward early supervisory dialogue
The replacement of hard caps with permission-based diversification treatment shifts value into the supervisory relationship. Banks that engage the PRA on portfolio structure during the consultation window — not after the policy statement — will shape their own treatment.
Primary documents cited in this analysis
- [1]PRACP9/26 — Basel 3.1: adjustments to the internal model approach for market risk, 19 June 2026 → source
- [2]PRAPS1/26 — Implementation of the Basel 3.1 final rules, 20 January 2026 (Basel 3.1 go-live 1 January 2027; IMA 1 January 2028) → source
- [3]EUCommission Delegated Regulation (EU) 2025/1496 — postponement of the FRTB own-funds application date to 1 January 2027 → source
Dates, paragraph numbers and document versions verified at publication. Where consultations are still open, we flag draft status in text. Corrections: research@ezelman.com.
This analysis underpins our FRTB and market-risk capital mandates.
Partner-led, senior-only, no audit conflict. If the question in this piece is live at your institution, the first conversation is with a partner — not a BD team.
Talk to a partner →