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April 30, 2018

PRA published the final policy statement PS8/18 on Pillar 2 reporting requirements, updated the Supervisory Statement SS32/15 to reflect amendments to the reporting requirements, and published the data item PRA111 and its instructions, along with the updated Pillar 2 reporting schedule. PRA also updated the guidance on terms used in data items PRA111 and FSA071 to FSA082, which will be effective from October 01, 2018; however, the updated guidance on data items PRA111 and FSA071 to FSA082 for ring-fenced banks takes effect from January 01, 2019.

The appendices to PS8/18 contain:

  • Final rules amending the Glossary, Regulatory Reporting Part, Reporting Leverage Ratio Part, and Reporting Pillar 2 Part of the PRA Rulebook (Appendix 1). The final rules will come into force on October 01, 2018.
  • Final data item PRA111 (Appendix 2)
  • Updated supervisory statement SS32/15 on Pillar 2 reporting, including instructions for completing data items FSA071 to FSA082, and PRA111 (Appendix 3)
  • Updated Statement of Policy on the PRA methodologies for setting Pillar 2 capital (Appendix 4)

SS32/15 was updated to reflect amendments to the reporting requirements. These include the introduction of data item PRA111 to capture stress testing data included in firms’ Internal Capital Adequacy Assessment Process (ICAAP) documents and a reduction in the frequency of reporting of the data items in the Reporting Pillar 2 Part of the PRA Rulebook for some firms. The appendices to SS32/15 include guidance on terms used in data items (Appendix 1), Pillar 2 reporting schedule (Appendix 2), and instructions for completing data items (Appendix 3); these appendices have been amended to reflect the changes mentioned earlier. PRA has amended the SS32/15 (paragraph 2.4) to reflect a nomenclature change from Firm Data Submission Framework (FDSF) to Stress Testing Data Framework (STDF). These changes take effect from October 01, 2018 and the updates for ring-fenced banks takes effect from January 01, 2019.

Furthermore, the updated Statement of Policy sets out the methodologies that PRA uses to inform the setting of Pillar 2 capital for firms to which Capital Requirements Directive (CRD) IV applies. Section I sets out the methodologies PRA will use to inform the setting of a firm’s Pillar 2A capital requirement for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, interest rate risk in the non-trading book, pension obligation risk, and ring-fenced bodies (RFB) group risk. Section II provides information on the purpose of the PRA buffer, how it is determined, and how it relates to the CRD IV buffers. Section II also provides details on the PRA approach to tackling weak governance and risk management under Pillar 2B and RFB group risk. This policy takes effect from October 01, 2018 and the parts relevant for ring-fenced banks apply from January 01, 2019.


Related Links

Effective Date: October 01, 2018 (Final rules, SS32/15, and Statement of Policy); January 01, 2019 (SS32/15 and Statement of Policy updates for RFB)

Keywords: Europe, UK, Banking, Pillar 2, ICAAP, Stress Testing, Reporting, SS32/15, PS8/18, Statement of Policy, Ring Fencing, PRA

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