Capital Requirements Directive

11 January 2021: We published CP2/21 ‘International banks: The PRA’s approach to branch and subsidiary supervision’. This CP is relevant to existing or prospective PRA-authorised banks and designated investment firms that are headquartered outside of the UK or are part of a group based outside of the UK. This consultation closes on Sunday 11 April 2021.

December

30 December 2020: We published a statement on the EU requirement on prudential treatment of software assets, which relates to the recent publication of the European Banking Authority Final Regulatory Technical Standards.

28 December 2020: We published PS29/20 ‘Capital Requirements Directive V (CRD V)’. It provides the final policy to Consultation Paper (CP) 22/20 ‘Designation of firms within certain consolidation groups’. It also contains final PRA Rulebook instruments, Statements of Policy, Supervisory Statements, and templates as published in near-final form in PS26/20 ‘Capital Requirements Directive V (CRD V)’.

This PS is relevant to UK banks, building societies, and PRA-designated investment firms, as well as UK financial holding companies, and UK mixed financial holding companies.

November

30 November 2020: We published ‘PRA statement on forthcoming CRD V Policy Statement’. This statement explains when to expect further information on the PRA’s approach to transposing CRD V, including its approach to revisions to the definition of capital for Pillar 2A.

26 November 2020: We published our 2020 list of UK firms designated as other systemically important institutions (O-SIIs), as required under the Capital Requirements Directive (2013/36/EU) (CRD) as implemented in the Capital Requirements (Capital Buffers and Macro-prudential measures) Regulations 2014. We are required to identify O-SIIs on an annual basis.

• 2020 list of UK firms designated as O-SIIs (pdf) Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window Opens in a new window

In accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), we disclosed the 2020 list of UK headquartered Global Systemically Important Institutions (G-SIIs). We also disclosed their respective sub-categories, applicable scores and G-SII buffers.

The 2020 UK G-SIIs and their sub-category allocations are as follows:

G-SII	Sub-category	Score	G-SII buffer rate
HSBC Holdings Plc	3	393	2%
Barclays Plc	2	275	1.5%
Standard Chartered Plc	1	140	1%

These buffers will apply from 1 January 2022. The list of G-SIIs and their sub-category allocations will be updated annually.

26 November 2020: We published Policy Statement (PS) 23/20 ‘Market risk: Calculation of risks not in value at risk, and stressed value at risk’ relevant to all firms to which Capital Requirements Directive IV applies. This includes an update to Supervisory Statement (SS) 13/13 ‘Market Risk’.

16 November 2020: We published a letter from Sarah Breeden on ‘Remediation of prudential treatment of legacy instruments’ to chief financial officers of UK Deposit Takers.

October

20 October 2020: We published CP17/20 ‘Capital Requirements Directive V (CRD V): Further implementation’. This CP is relevant to banks, building societies, PRA-designated investment firms, UK financial holding companies, and UK mixed financial holding companies of certain PRA-authorised firms. Responses are requested by Tuesday 17 November 2020. Please note that this is a shortened consultation period, which is necessary to meet the transposition date for CRD V (Monday 28 December 2020).

14 October 2020: The PRA published presentation slides from the virtual ‘internal ratings based (IRB) mortgage roundtable’, which was hosted on Monday 5 October 2020, following the publication of PS11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’. 

14 October 2020: We published Policy Statement (PS) 22/20 ‘Counterparty credit risk: Treatment of model limitations in banks’ internal models’. This PS updates Supervisory Statement (SS) 12/13 ‘Counterparty credit risk’. This PS is relevant to UK banks, building societies and PRA-designated UK investment firms that are subject to the Capital Requirements Regulation (575/2013) (CRR). These updates will take effect from Wednesday 14 October 2020.

12 October 2020: We published Consultation Paper (CP) 16/20 ‘Credit risk: The approach to overseas Internal Ratings Based (IRB) models’. The proposals are relevant to UK banks, building societies and PRA-designated UK investment firms. This consultation closes on Tuesday 12 January 2021.

2 October 2020: We published a letter from Victoria Saporta on ‘Thematic feedback from the 2019/2020 round of written auditor reporting’.

September

30 September 2020: We published CP14/20 ‘Internal Ratings Based UK mortgage risk weights: Managing deficiencies in model risk capture’. This CP is relevant to PRA-authorised UK banks, building societies, and ring-fenced banks holding IRB model permissions. It may be of interest to other firms, including those considering applying for IRB model permission, and other market participants. Responses are requested by Saturday 30 January 2021.

28 September 2020: The PRA will publish a Consultation Paper on draft rules to implement the remaining elements of the Capital Requirements Directive V (CRD V) in early October. If you would like to be notified when it is published, please subscribe to PRA email alerts.

July

31 July 2020: We published CP12/20 ‘Capital Requirements Directive V (CRD V)’. This CP is relevant to banks, building societies, and PRA-designated investment firms. Responses are requested by Wednesday 30 September 2020.

27 July 2020: We published Policy Statement (PS) 18/20 ‘Asset encumbrance’. This PS is relevant to all PRA-regulated firms, except credit unions and insurance firms. 

The PS updates the following Supervisory Statements (SS):

• SS24/15 ‘The PRA’s approach to supervising liquidity and funding risks’; 
• Recovery planning SS; and 
• SS20/15 ‘Supervising building societies’ treasury and lending activities’.

These updates will take effect from Monday 27 July 2020.

22 July 2020: We published CP9/20 ‘Non-systemic UK Banks: The Prudential Regulation Authority’s approach to new and growing banks’. This CP is relevant to new and growing non-systemic UK banks. Responses are required by Wednesday 14 October 2020.

22 July 2020: We published Policy Statement (PS) 17/20 ‘Responses to Occasional Consultation Paper 3/20 – Chapter 8: Securitisation: Updates to Significant Risk Transfer’, alongside an update to Supervisory Statement (SS) 9/13 ‘Securitisation: Significant Risk Transfer’. These updates are relevant to Capital Requirements Regulation (CRR) firms. These updates take effect today.

June

4 June 2020: We published a letter from Sam Woods to UK deposit-takers on the IFRS 9 and capital requirements aspects of initial and further payment deferrals.

May

29 May 2020: We published a set of Q&As answering some commonly asked questions regarding residential and commercial property valuations for CRR purposes during the period of disruption caused by Covid-19. The document is aimed at all firms to which the CRR applies.

22 May 2020: We published a statement on the application of regulatory capital and IFRS 9 requirements to payment holidays granted or extended to address the challenges of Covid-19.

14 May 2020: We published Policy Statement (PS) 11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’ and PS12/20 ‘Responses to Occasional Consultation Paper 25/19 – Chapter 5: Retirement interest-only mortgages’, alongside updates to Supervisory Statement (SS) 10/13 ‘Credit risk-standardised approach’ Opens in a new window Opens in a new window Opens in a new window Opens in a new window and SS11/13 ‘Internal Ratings Based (IRB) approaches’ Opens in a new window Opens in a new window Opens in a new window Opens in a new window. These updates are relevant to UK banks, building societies and PRA-designated UK investment firms. These updates will take effect from 1 January 2022.

4 May 2020: We published a statement on credit risk mitigation eligibility and leverage ratio treatment of loans under the Bounce Back Loan Scheme (BBLS). We also published a ‘Modification by consent of the exclusion of loans under the BBLS from the calculation from the total exposure measure of the Leverage Ratio’, available on the Waivers and modification of rules page.

April

20 April 2020: The PRA published a set of Q&A's to answer some commonly asked questions on the usability of liquidity and capital buffers and their operation as set out in PRA rules and guidelines and in response to the Covid-19 outbreak. The document is relevant to all banks to which CRD IV applies. 

2 April 2020: We published a joint PRA and HMT statement on the delay to implementation of the Basel 3.1 standards.

March

10 March 2020: We published PS5/20 ‘Regulatory capital instruments: update to Pre-Issuance Notification (PIN) requirements’, relevant to PRA-authorised Capital Requirements Regulation (CRR) firms. These updates will take effect from 1 April 2020.

February

28 February 2020: We published CP2/20 ‘Pillar 2A: Reconciling capital requirements and macroprudential buffers’. This CP is relevant to PRA-authorised UK banks, building societies and PRA-designated investment firms. Responses are requested by Thursday 30 April 2020.

January

23 January 2020: We published PS2/20 ‘Pillar 2 capital: Updates to the framework’. This PS is relevant to PRA-authorised banks, building societies and PRA-designated investment firms.

The PS contains the final amendments to the Pillar 2 framework and the updates to the following Statement of Policy (SoP) and supervisory statements (SS): 

• SoP ‘The PRA's methodologies for setting Pillar 2 capital’
• SS31/15 ‘The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)’  
• SS6/14 ‘Implementing CRD IV: capital buffers’ 

These updates will take effect from Thursday 23 January 2020.

December

17 December 2019: We reviewed firms’ Systemic Risk Buffer rates and have decided to keep them unchanged. An update is available on the ‘Systemic Risk Buffer rates for ring-fenced banks and large building societies’ page, originally published on 1 May 2019.

November

29 November 2019: We published our 2019 list of UK firms designated as other systemically important institutions (O-SIIs), as required under the Capital Requirements Directive (2013/36/EU) (CRD) as implemented in the Capital Requirements (Capital Buffers and Macro-prudential measures) Regulations 2014. We are required to identify O-SIIs on an annual basis.

2019 list of UK firms designated as O-SIIs

In accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), we disclosed the 2019 list of UK headquartered Global Systemically Important Institutions (G-SIIs). We also disclosed their respective sub-categories, applicable scores and G-SII buffers.

The 2019 UK G-SIIs and their sub-category allocations are as follows:

G-SII	Sub-category	Score	G-SII buffer rate
HSBC Holdings Plc	3	425	2%
Barclays Plc	2	276	1.5%
Standard Chartered Plc	1	140	1%

These buffers will apply from 1 January 2021. The list of G-SIIs and their sub-category allocations will be updated annually.

September 2019

9 September 2019: We published CP20/19 ‘Regulatory capital instruments: update to Pre-Issuance Notification (PIN) requirements’ which sets out proposals for amendments to the Pre-Issuance Notification (PIN) regime applicable to PRA-authorised Capital Requirements Regulation (575/2013) (CRR) firms. This consultation closes on Monday 9 December 2019.

August 2019

20 August 2019: Following comments from firms and other industry participants on Consultation Paper 5/19 ‘Pillar 2 capital: Updates to the framework’ the final policy has been delayed. It will be published by the end of October 2019, rather than on Tuesday 1 October 2019 as originally specified.

July 2019

23 July: We published CP17/19 ‘Counterparty credit risk: Treatment of model limitations in banks’ internal models’, relevant to all firms to which CRD IV applies. Responses are requested by Friday 25 October 2019.

June 2019

17 June: We published

• Policy Statement 13/19 ‘Pillar 2 liquidity: Updates to the framework’ which includes final policy. Annex A of the final rules instrument, the updated Statement of Policy, the updated Supervisory Statement (SS) 24/15, and updated SS34/15 will take effect from 1 July 2019. Annex B of the rules instrument, and the updated PRA110 template and instructions will take effect from 1 January 2020. See PS13/19 for more information and links.
• Version 5 of the PRA110 Q&A – see the Regulatory reporting – Banks, building societies and investment firms page.

10 June: Publication of EU’s revised rules on capital requirements 

The European Union published a package of legislative amendments in the Official Journal of the European Union on 7 June 2019 - see Official Journal of the European Union, L 150, 7 June 2019.

The package included a new Regulation (EU/2019/876) amending Regulation (EU/575/2013) as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, report and disclosure requirements, and Regulation (EU/648/2012) (CRR II).

CRR II includes requirements which enter into force from 27 June 2019 (see Article 3 (3)). In light of the change to CRR Article 26(3), we recognise that Rules 7.1 and 7.5 of the Definition of Capital Part of the PRA Rulebook no longer achieve the purpose for which they were made. Therefore, it has been decided to offer a modification by consent, please see our Waivers and modifications of rules page. We intend to consult in due course on amending Chapter 7 of the Definition of Capital Part of the PRA Rulebook, and any expectations we have of firms on the application of CRR Article 26(3).

CRR II resolution specific requirements will apply to UK global systemically important banks (G-SIBs) and UK material subsidiaries of non-EU G-SIBs from 27 June 2019. These firms should refer to the notice found on the Resolution page.

May 2019

31 May: On 1 June 2019 there will be one month to go until the implementation of PRA110 on 1 July 2019 and the dual reporting period with FSA047 and FSA048. Firms are advised to continue to familiarise themselves with the policy, template and instructions. For the full update see the ‘Reporting of PRA110’ section.

As part of our work on the Pillar 2 liquidity framework, including the introduction of PRA110 reporting by firms from 1 July 2019, we published Version 1 of the PRA110 liquidity metric monitor tool (PRA110 LMM tool). It is published to assist firms in the same way as the LMM for FSA047 and FSA048. It is for information only and must not be used to submit regulatory returns required by our rules. The PRA110 LMM tool may be updated after the publication of the final policy following Consultation Paper 6/19 ‘Pillar 2 liquidity: Updates to the framework’ if required, to align with an updated PRA110 reporting template.

1 May: We published the ‘Systemic Risk Buffer rates for ring-fenced banks and large building societies – applicable from 1 August 2019’.

April 2019

8 April: We published Consultation Paper 8/19 ‘Supervising international banks: Revision of the Branch Return’.

March 2019

13 March: We published Consultation Paper 5/19 ‘Pillar 2 capital: Updates to the framework'. Responses are requested by Thursday 13 June 2019 and Policy Statement 8/19 ‘ Credit risk mitigation: Eligibility of guarantees as unfunded credit protection’, which included updates to supervisory statements (SSs) effective from Friday 13 September 2019.

6 March: We published Policy Statement 7/19 ‘Credit risk: the definition of default’, final rules, and an updated Supervisory Statement 11/13 ‘Internal Ratings Based (IRB) approaches’.

February 2019

13 February: We published PS3/19 ‘PRA fees and levies: Changes to periodic and transaction fees’, including amendments to the PRA Fees part of the Rulebook and an update to SS3/16 ‘Fees: PRA approach and application’. These updates come into effect on Friday 1 March 2019.

January 2019

31 January: We published the final direction and notification template for ‘Securitisation Regulation: PRA and FCA joint statement on reporting of private securitisations’. This is applicable to all UK established originators, sponsors and securitisation special purpose entities (SSPEs). This comes into effect from Thursday 31 January 2019.

31 January: In December 2018 the European Banking Authority (EBA) published its final report on the EBA Guidelines on institutions' stress testing. The Guidelines will apply to all firms in 2019 and will assist firms to identify, assess, measure, and manage tail risks. We will refer to the Guidelines when assessing the quality of firms’ stress-testing programmes. We expect firms to reflect on how they will incorporate the new Guidelines into their stress testing practices, noting that the approach will depend on the individual firm’s business, size or complexity. Firms will also need to continue to comply with our published policy and reporting requirements on stress testing, as set out in PRA Rules, Supervisory Statements, and Statements of Policy.  The Guidelines form part of a wider set of updated guidance by the EBA on the Pillar 2 framework, as published in the EBA’s final guidance to strengthen the Pillar 2 framework.

15 January: Following comments from firms and other industry participants on ‘Securitisation Regulation: PRA and FCA joint statement on reporting of private securitisations’, the final direction applicable to all UK established originators, sponsors and securitisation special purpose entities (SSPEs) has been delayed and will be published by the end of January 2019, rather than on Tuesday 15 January 2019 as originally specified.

December 2018

20 December: Further to Policy Statement 29/18 ‘Securitisation: The new EU framework and Significant Risk Transfer’, we published a joint statement with the Financial Conduct Authority (FCA), ‘Securitisation Regulation: PRA and FCA joint statement on reporting of private securitisations’. This direction is intended to apply to all UK established originators, sponsors and securitisation special purpose entities (SSPEs) from Tuesday 15 January 2019.

November 2018

29 November: We published our 2018 list of UK firms designated as other systemically important institutions (O-SIIs), as required under the Capital Requirements Directive (2013/36/EU) (CRD) as implemented in the Capital Requirements (Capital Buffers and Macro-prudential measures) Regulations 2014. We are required to identify O-SIIs on an annual basis.

2018 list of UK firms designated as O-SIIs

In accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), we also disclosed the 2018 list of UK headquartered global systemically important institutions (G-SIIs). We also disclosed their respective sub-categories, applicable scores and G-SII buffers.

The 2018 UK G-SIIs and their sub-category allocations are as follows:

G-SII	Sub-category	Score	G-SII buffer rate
HSBC Holdings Plc	3	410	2%
Barclays Plc	2	284	1.5%
Standard Chartered Plc	1	131	1%

These buffers will apply from 1 January 2020. The list of G-SIIs and their sub-category allocations will be updated annually.

15 November: We published Policy Statement 29/18 ‘Securitisation: The new EU framework and Significant Risk Transfer’, SS10/18 ‘Securitisation: General requirements and capital framework’, and updates to SS9/13 ‘Securitisation: Significant Risk Transfer’ and ‘SS31/15 ‘The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)’.

September 2018

19 September: On 19 July 2018 the European Banking Authority (EBA) published its final report on Guidelines on the management of interest rate risk arising from non-trading ('banking') book activities (IRRBB) - one of the Pillar 2 risks specified in CRD IV. The Guidelines will apply to firms from 30 June 2019. If firms have concerns about their ability to comply by the 2019 deadline, they should get in touch with their usual supervisory contacts. The Guidelines do not affect PRA published policy and reporting requirements on IRRBB, as set out in PRA Rules, Supervisory Statements, and Statements of Policy, which continue to apply.  The Guidelines form part of a wider set of updated guidance by the EBA on the Pillar 2 framework, as published in the EBA’s final guidance to strengthen the Pillar 2 framework.

July 2018

31 July: Following the publication of Policy Statement 14/18 'Changes to the PRA's large exposures framework' and an update to Supervisory Statement (SS) 16/13 'Large Exposures', we published updated versions of the CRR Core UK Group template and CRR Non-core criteria template. The templates are available in 'Intragroup exposures applications: CRR Articles 113(6), 400(2)(c), 400(2)(g)-(h) and the leverage ratio Delegated Act Article 429(7)', on the Capital Requirements Regulation permissions webpage.

27 July: We published Consultation Paper 17/18 ‘Credit risk: the definition of default’ that sets out our proposed approach to implementing the European Banking Authority’s (EBA’s) recent regulatory products relating to the definition of default in the Capital Requirements Regulation (575/2013) (CRR).The consultation is relevant to UK banks, building societies and PRA-designated UK investment firms, and closes on Monday 29 October 2018.

June 2018

29 June: We published Policy Statement 14/18 'Changes to the PRA's large exposures framework' and updates to Supervisory Statement (SS) 16/13 'Large Exposures' and SS34/15 'Guidelines for completing regulatory reports'.

May 2018

On Tuesday 22 May we published Consultation Paper 12/18 ‘Securitisation: The new EU framework and Significant Risk Transfer’, relevant to all PRA-authorised Capital Requirements Directive IV (CRD IV) firms and all Solvency II firms. This consultation closes on Wednesday 22 August 2018.

December 2017

On Friday 15 December in accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), we disclosed the 2017 list of UK headquartered Global Systemically Important Institutions (G-SIIs). We also disclosed their respective sub-categories, applicable scores and G-SII buffers.

The 2017 UK G-SIIs and their sub-category allocations are as follows:

G-SII	Sub-category	Score	G-SII buffer rate
HSBC Holdings Plc	3	410	2%
Barclays Plc	2	291	1.5%
Standard Chartered Plc	1	132	1%
The Royal Bank of Scotland Group Plc	1	128	1%

The Royal Bank of Scotland Group Plc was designated as a G-SII in accordance with Article 131(10)(b) of the CRD.

These buffers will apply from 1 January 2019. The list of G-SIIs and their sub-category allocations will be updated annually.

November 2017

On Thursday 30 November we published the 2017 list of UK firms designated as other systemically important institutions (O-SIIs), as required under the Capital Requirements Directive (2013/36/EU) (CRD) as implemented in the Capital Requirements (Capital Buffers and Macro-prudential measures) Regulations 2014. We are required to identify O-SIIs on an annual basis.

2017 list of UK firms designated as O-SIIs

April 2017

On Wednesday 18 January the European Banking Authority (EBA) published an update to the XBRL taxonomy that Competent Authorities should use for the remittance of data under the EBA Implementing Technical Standards (ITS) on supervisory reporting. Reports with reference dates as of 30 June 2017 onwards are to use the new taxonomy set (2.6), which is related to the January 2017 framework release. On 28 April we confirmed that, if daily liquidity reporting, as set out in PRA Supervisory Statement 24/15 'The PRA’s approach to supervising liquidity and funding risks', is expected between 1 June 2017 to 30 June 2017 inclusive, collection will be against Data Point Model (DPM)Taxonomy 2.6. Firms will be notified via the GABRIEL collection system if they are required to submit daily reports, which is effective from the following day. Firms should refer to the EBA’s website for further information on Taxonomy 2.6.

February 2017

On Friday 17 February we published updated notes to help firms complete intraday liquidity returns. The updates address common errors and inconsistencies found in the submissions of intraday liquidity reporting and supersede previous individual guidance. We ask firms to have regard to the updated notes on the template going forward, including as the basis for their upcoming quarterly returns in March.

Intraday liquidity monitoring reporting