Capital Requirements Directive IV | Updates | 2015 updates | 2014 and 2013 updates
On Wednesday 7 December in accordance with Article 131 of the Capital Requirements Directive (2013/36/EU) (CRD), the PRA disclosed the 2016 list of UK headquartered Global Systemically Important Institutions (G-SIIs). The PRA also disclosed their respective sub-categories, applicable scores and G-SII buffers.
The 2016 UK G-SIIs and their sub-category allocations are as follows:
|HSBC Holdings Plc
|The Royal Bank of Scotland Group Plc
|Standard Chartered Plc
These buffers will apply from 1 January 2018, subject to phase-in arrangements outlined in Article 162(5) of the CRD. The list of G-SIIs and their sub-category allocations will be updated annually.
On Tuesday 6 December, the PRA issued clarification on IFRS 9 for 2017 ICAAP stress testing and capital planning on the 2016 stress test scenario webpage.
This clarification sets out information on how firms should incorporate IFRS 9 into stress testing and capital planning carried out as part of their ICAAP obligations in 2017. This is only applicable:
- to firms that apply International Financial Reporting Standards (IFRS) and so is not applicable to firms that apply UK GAAP; and
- for ICAAPs based on accounts as at 31 December 2016 or a later date before 31 December 2017.
This clarification sets out how firms should incorporate future changes to the accounting standards (IFRS 9) into their stress testing and capital planning as part of their Internal Capital Adequacy Process (ICAAP) for 2017. From 1 January 2018, IFRS 9 will introduce a forward-looking expected credit loss model for loans, replacing the current 'incurred loss' model. The clarification aims to encourage firms applying IFRS to have at a minimum certain forecast numbers for 2018 onwards on an IFRS 9 basis, to reinforce the need to be prepared for the new accounting standard, and to help the firms and PRA size and plan for the impact of IFRS 9.
On Tuesday 29 November the PRA published its 2016 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. The PRA is required to identify O-SIIs on an annual basis.
2016 list of UK firms designated as other systemically important institutions (O-SIIs)
On Thursday 20 October, the PRA published a statement on its interpretation of the concept of ‘durable link’ in the Capital Requirements Regulation (575/2013).
On Tuesday 18 October, the PRA published a PRA statement on feedback received during the consultation period for CP21/16 ‘Pillar 2 liquidity’.
On Monday 17 October, the FCA issued a note on its website that Taxonomy 184.108.40.206 is available on GABRIEL for reporting period end dates on or after 30 September 2016.
On Friday 7 October, the FCA issued a note on its website that it is aiming to have Taxonomy 220.127.116.11 available on GABRIEL on Monday 17 October. If the FCA will not meet this deadline, it will notify firms ahead of time. The FCA encourages firms to continue to use the Pre-Production Test Environment to prepare and test T18.104.22.168 files, please email GABRIEL.TEST@fca.org.uk to request access as needed. Please note: the resubmission of previously submitted items is not impacted.
On Friday 30 September, the FCA issued a note on its website that, due to a recent unexpected IT incident, it is unable to implement Taxonomy 22.214.171.124 which comes into effect on 1 October. Those firms required to comply with CRD IV are therefore currently unable to submit data using T126.96.36.199. At this stage, the FCA is targeting either Monday 17 or Monday 24 October for the Taxonomy to be available on GABRIEL. Firms are encouraged to continue to use the Pre-Production Test Environment to prepare and test their T188.8.131.52 files, please email GABRIEL.TEST@fca.org.uk to gain access if needed. The FCA will provide a further update next week, or will notify firms sooner if the Taxonomy is implemented so that they can submit the new T184.108.40.206 returns. Please note: the resubmission of previously-submitted items is not impacted.
On Friday 12 August, the PRA published a letter reminding all CRR firms that they are required to comply with PRA rules to put in place a policy promoting diversity on the management body. The letter includes links to the General Organisational Requirements chapter of the PRA Rulebook, and the ‘EBA report on the benchmarking of diversity practices’ published in July.
PRA rules on diversity within firms' management body
On Friday 29 July, the PRA published Consultation Paper 29/16 'Residential mortgage risk weights'.
On Thursday 7 July, the PRA published 'Counterparty credit risk' - SS12/13 UPDATE and 'Market risk' - SS13/13 UPDATE.
On Monday 4 July, the PRA published a letter from supervisors to firms with the title 'Additional liquidity monitoring metrics (ALMM) - New data item'.
Additional liquidity monitoring metrics (ALMM) - New data item
On 12 May the PRA published CP21/16 Pillar 2 liquidity. The PRA proposed a statement of policy on its approach to three aspects of Pillar 2 liquidity (‘Pillar 2’): intraday risk, debt buyback and non-margined derivatives. The CP also outlined the PRA’s Pillar 2 objectives and scope. In addition, it provided an early overview of planned future work to develop the Pillar 2 approach where the PRA is not yet setting out proposals. As such, this CP constituted the first of two planned CPs on Pillar 2.
On 10 May 2016, the PRA published a reporting clarification on the procedures for reporting ‘Own funds requirements related to Pillar II adjustments’ in the COREP CA4 template. This clarification updates the CA4 reporting clarification issued in September 2014, to reflect the changes to the Pillar 2 capital adequacy framework contained in PS17/15. These updates include the introduction of the PRA buffer, the phasing in of the CRD IV buffer, and the phasing out of the capital planning buffer.
Clarification of procedures for completion of COREP Section C 04.00 (CA4) Row 820: Own funds requirements related to Pillar II adjustments
On 31 March the PRA published Equity release mortgages – Discussion Paper 1/16. The PRA asks for views on equity release mortgage (ERM) valuation, capital treatment, risk management and associated matters, and seeks a range of views on good practice for managing the risks introduced by investing in this asset class. While the DP is most relevant to life insurance and reinsurance companies with ERM exposure, it will also be of interest to other insurers, industry stakeholders (including, without limitation, banks, building societies, other lenders, trade bodies, brokers, credit rating agencies, consultants, actuaries and auditors) and academics. By opening the discussion to a range of stakeholders, the PRA is aiming to consolidate views from across sectors. The discussion process closes on Friday 27 May 2016.
On 11 March the PRA updated The PRA’s approach to banking supervision. The PRA’s approach to insurance supervision was also updated.
On 19 February the PRA published Policy Statement 6/16 ‘The PRA’s approach to identifying other systemically important institutions (O-SIIs)’ which sets out feedback to responses to CP39/15 and includes the final statement of policy on the PRA’s approach to identifying O-SIIs, as is required under the Capital Requirements Directive (2013/36/EU) (CRD) as implemented in the Capital Requirements (Capital Buffers and Macro-prudential measures) Regulations 2014. The PRA will identify and publish a list of O-SIIs annually. The 2015 list of UK firms designated as O-SIIs is available below.
The PRA’s approach to identifying other systemically important institutions (O-SIIs) - PS6/16