PRA published the systemic risk buffer rates for ring-fenced banks (RFBs) and large building societies. PRA has 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 has set a systemic risk buffer rate for the Nationwide Building Society at 1%, which applies to all exposures, on a consolidated basis. The systemic risk buffer rates will be applicable from August 01, 2019
For these RFBs, if the group is not subject to a global systemically important bank (G-SIB) buffer or if the group has a G-SIB buffer rate that is lower than the systemic risk buffer rate, there will be an increase in both the group PRA buffer and the Leverage Ratio Group Add-on. This is to ensure that, where systemic buffers apply at different levels of consolidation, there is sufficient capital within the consolidated group and it is distributed appropriately, to address both global systemic risks and domestic systemic risks.
From January 01, 2019, PRA is required to set systemic risk buffer rates for RFBs and large building societies (together, systemic risk buffer institutions) 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 its Statement of Policy published in December 2018. PRA has set systemic risk buffer rates by applying the FPC’s framework to the total assets of the systemic risk buffer institutions as of the end of December 2018, assessed on a sub-consolidated basis for RFBs and on a consolidated basis for building societies. In future, PRA expects to publish the systemic risk buffer rates by December 15 of each year, with application by January 01 of the second year following the calendar year when the rates are published.
Keywords: Europe, UK, Banking, Systemic Risk Buffer, Ring Fencing, CRR, CRD, Systemic Risk, PRA
Across 35 years in banking, Blake has gained deep insights into the inner working of this sector. Over the last two decades, Blake has been an Operating Committee member, leading teams and executing strategies in Credit and Enterprise Risk as well as Line of Business. His focus over this time has been primarily Commercial/Corporate with particular emphasis on CRE. Blake has spent most of his career with large and mid-size banks. Blake joined Moody’s Analytics in 2021 after leading the transformation of the credit approval and reporting process at a $25 billion bank.
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