1 January 2018
In Supervisory Statement (SS) 8/13 ‘The Basel I floor’, the PRA set out its expectations relevant to firms using the Internal Ratings Based (IRB) approach or Advanced Measurement Approach (AMA) on the application of the Basel I floor requirement under Capital Requirements Regulation (CRR) Article 500. Article 500 is a transitional provision that was in effect until 31 December 2017, and has now lapsed. Therefore the PRA’s expectations, as set out in SS8/13, are no longer applicable. However, firms that wish to continue using this approach are still able to so, and should continue to enter the amount in Row 890 in the CA4 section (own funds requirements for Basel I floor).
Any questions on this should be directed to a firm’s usual supervisory contact. For information only, the original publication is available below.
19 December 2013
This supervisory statement sets out the Prudential Regulation Authority’s (PRA) previous expectations regarding the application of the Basel I capital requirements floor.
The supervisory statement covers the following topics:
- Calculation of capital requirements
- Permission to apply floor based on non-modelled CRR approaches
- Permission to disapply the floor