The PRA published the policy statement PS22/17, which provides feedback to responses to the consultation paper CP3/17 titled "Refining the PRA’s Pillar 2A capital framework." The PS22/17 contains the final amendment to the Reporting Pillar 2 Part of the PRA Rulebook (Appendix 1), along with the updates to the supervisory statements SS31/15 titled "The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)" (Appendix 2); SS32/15 titled "Pillar 2 reporting, including instructions for completing data items FSA071 to FSA082" (Appendix 3); and statement of policy titled "The PRA’s methodologies for setting Pillar 2 capital" (Appendix 4).
In CP3/17, the PRA had made proposals related to adjustments to the PRA’s Pillar 2A approach for firms using the standardized approach for credit risk; revisions to the PRA’s internal ratings-based benchmark used for assessing credit risk; and additional considerations the PRA will make, as part of the SREP, for standardized approach firms using International Financial Reporting Standard (IFRS) as their accounting framework. The SS31/15 replaces SS5/13 and SS6/13 and is aimed at firms to which the Capital Requirements Directive (CRD) IV applies. It provides further detail in relation to the high-level expectations outlined in "The PRA's approach to banking supervision." The SS32/15 is of interest to banks, building societies, and PRA-designated investment firms. It sets out the PRA’s expectations of firms and provides further clarity on Pillar 2 reporting. It was updated to reflect amendments to the reporting requirements for data items FSA076 and FSA077 to remove reference to reporting on an ad-hoc or case-by-case basis. The statement of policy sets out methodologies that the PRA uses to inform the setting of Pillar 2 capital for firms to which CRD IV applies.
Keywords: Europe, UK, Banking, Pillar 2A, ICAAP, Reporting, SREP, CRD IV, PS22/17, SS31/15, CP3/17, PRA
Previous ArticlePRA Consults on Methodologies for Assessing Pillar 2 Liquidity Risk
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.
BCBS and FSB published a report on supervisory issues associated with benchmark transition.
IAIS published a report on supervisory issues associated with benchmark transition from an insurance perspective.
ESMA updated the reporting manual on the European Single Electronic Format (ESEF).
EBA published a statement on resolution planning in light of the COVID-19 pandemic.
BCBS Finalizes Revisions to Credit Valuation Adjustment Risk Framework
ECB published a guideline (2020/97), in the Official Journal of European Union, on the definition of materiality threshold for credit obligations past due for less significant institutions.
FED temporarily revised the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes in response to the COVID-19 pandemic.