PRA is proposing (CP5/19) to update the Pillar 2 capital framework to reflect continued refinements and developments in setting the PRA buffer (Pillar 2B). The proposals cover hurdle rate in stress, buffer interactions and usability, the risk management and governance assessment, updating benchmarks to assess Pillar 2A credit risk, and corrections to certain minor drafting errors. Comment period on the consultation ends on June 13, 2019 and PRA proposes to implement the amendments by October 01, 2019.
To implement the changes in the consultation, PRA proposes to update the following:
- Statement of Policy on PRA’s methodologies for setting Pillar 2 capital (Appendix 1)
- Supervisory statement (SS31/15) on Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) (Appendix 2)
- SS6/14 on implementing the Capital Requirements Directive (CRD IV) provisions on capital buffers. (Appendix 3)
CP5/19 is relevant to PRA-authorized banks, building societies, and PRA-designated investment firms. The purpose of these proposals is to bring greater clarity, consistency, and transparency to the capital-setting approach of PRA. In promoting a greater level of transparency, PRA seeks to promote financial stability, the safety and soundness of PRA-authorized firms, and facilitate more informed and effective capital planning for banks.
Comment Due Date: June 13, 2019
Keywords: Europe, UK, Banking, Basel III, Pillar 2, Capital Framework, Credit Risk, CRD IV, Pillar 2B, CP5/19, SS31/15, SS6/14, ICAAP, SREP, PRA
Previous ArticleFED Updates Supplemental Information and Q&A for Form FR Y-14
APRA updated the lists of the Direct to APRA (D2A) validation and derivation rules for authorized deposit-taking institutions, insurers, and superannuation entities.
EC adopted a package that includes the digital finance and retail payments strategies and the legislative proposals for regulatory frameworks on crypto-assets and digital operational resilience.
ECB published an opinion (CON/2020/22) on proposals for regulations amending the securitization framework of EU, in response to the COVID-19 pandemic.
FCA is consulting on its approach to the authorization and supervision of international firms operating in UK.
MAS published amendments to Notice 637 on the risk-based capital adequacy requirements for reporting banks incorporated in Singapore.
FCA announced that it will move firms to RegData from Gabriel in the coming months in stages, based on the reporting requirements of firms.
ISDA issued a letter to regulators to flag that it now expects the supplement to the 2006 ISDA Definitions and the Interbank Offered Rate (IBOR) Fallbacks Protocol to be effective around mid- to late-January 2021.
APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.
ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.
BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.