PRA has reviewed the systemic risk buffer rates for ring-fenced banks (RFBs) and large building societies and has decided to keep them unchanged. Therefore, the rates published on May 01, 2019 still apply. In May 2019, PRA had set systemic risk buffer rates for RFBs in five RFB sub-groups—Lloyds Banking Group RFB sub-group, Royal Bank of Scotland RFB sub-group, Barclays RFB sub-group, HSBC RFB sub-group, and Santander UK RFB sub-group—and these systemic risk buffer rates apply to all exposures, on a sub-consolidated basis. PRA also set a systemic risk buffer rate for the Nationwide Building Society at 1%, which applies to all exposures, on a consolidated basis.
From January 01, 2019, the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014, as amended by the Capital Requirements (Capital Buffers and Macro-prudential Measures) (Amendment) Regulations 2015 (Part 5A), requires PRA to set systemic risk buffer rates for RFBs and large building societies by applying the framework of Financial Policy Committee for systemic risk buffer. PRA has set out its approach to the implementation of the systemic risk buffer in the Statement of Policy that was published in December 2018.
Keywords: Europe, UK, Banking, Systemic Risk Buffer, Ring Fencing, CRR, CRD, Systemic Risk, PRA
Sam leads the quantitative research team within the CreditEdge™ research group. In this role, he develops novel risk and forecasting solutions for financial institutions while providing thought leadership on related trends in global financial markets.
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