PRA | EU | Pillar 2 Capital Buffer | Credit amigration

Tuesday, March 19, 2019

ChartAcc.com - The below are the recent updates from PRA on regulatory reporting:


1. Pillar 2 capital
(Feedback on CP closes on Thursday 13 June 2019; To be implemented  from  Tuesday 1 October 2019)
Update to the framework – Calculation of PRA buffer to reflect continued refinements and developments in setting the PRA buffer (also referred to as Pillar 2B).
The purpose of these proposals is to:
a.       bring greater clarity, consistency and transparency to the PRA’s capital setting approach;
b.      to promote financial stability, the safety and soundness of PRA-authorised firms; and
c.       facilitate more informed and effective capital planning for banks.

2. ICAAP and SREP
(applicable from Friday 13 September 2019)
The updates on the Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP).
Following consideration of responses, the PRA has made three significant changes to the proposals consulted on in the CP. These changes are as follows:
a.       the removal of the proposal relating to the meaning of pay out in a timely manner;
b.      a new expectation around risks arising from eligible guarantee arrangements; and
c.       a new expectation around recognising any residual risks.

3. Credit risk mitigation
(comes into effect from Friday 13 September 2019)
a.       It is used in  the calculation of certain risk-weighted exposure amounts.
b.      This supervisory statement covers elements of the following topics:
                                                               i.      eligibility of financial institutions as protection providers;
                                                             ii.      recognised exchanges;
                                                            iii.      conditions for applying a 0% volatility adjustment under the Financial Collateral Comprehensive Method (FCCM);
                                                           iv.      permission to use 'own estimates of volatility adjustments' under the FCCM; and
                                                             v.      netting of liabilities that may be subject to bail-in.

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