SoP5/15 – The PRA's methodologies for setting Pillar 2 capital

First published on 29 July 2015

This statement of policy sets out the methodologies that the Prudential Regulation Authority (PRA) uses to inform the setting of Pillar 2 capital for firms to which CRD IV applies.

There are two sections:

1. Section I: Pillar 2A methodologies. This sets out the methodologies we will use to inform the setting of a firm’s Pillar 2A capital requirement for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, interest rate risk in the non-trading book (hereafter referred to as interest rate risk in the banking book (IRRBB)), pension obligation risk and RFB group risk.
2. Section II: Pillar 2B. This provides information on the purpose of the PRA buffer, how it is determined and how it relates to the CRD IV buffers. Section II also provides details on the PRA’s approach to tackling weak governance and risk management under Pillar 2B and RFB group risk.

Firms are required by the Reporting Pillar 2 Part of the PRA Rulebook, or may be asked, to submit data to inform the PRA’s approach to setting Pillar 2A capital requirements. Data may be requested on an individual, consolidated and/or sub-consolidated basis as applicable.

Current version

Confirmed as final in October 2021, following near-final future version published July 2021. Effective from 1 January 2022.

• SoP5/15 – The PRA's methodologies for setting Pillar 2 capital – January 2022 (PDF)

Confirmed final by PS22/21 – Implementation of Basel standards. First published as near-final as part of PS17/21 – Implementation of Basel standards.

Future version

Published on 28 October 2025.  Effective from 1 July 2026.

SoP5/15 – The PRA's methodologies for setting Pillar 2 capital – October 2025 (PDF)

Confirmed final by PS18/25 – Retiring the refined methodology to Pillar 2A – near–final 

Published on 28 May 2026. Effective from 1 January 2027. 

SoP5/15 – The PRA’s methodologies for setting Pillar 2 capital – May 2026 (PDF)

This update to SoP5/15 includes amendments confirmed in PS15/26 (published on 28 May 2026) and PS1/26, PS2/26 and PS4/26 (published on 20 January 2026). First published as near-final as part of PS20/25 (published on 28 October 2025).

Past versions