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

1: Overview

1.1 This Prudential Regulation Authority (PRA) near-final policy statement (PS) provides feedback to responses the PRA received to the following chapters of consultation paper (CP) 9/24 – Streamlining the Pillar 2A capital framework and the capital communications process:^{footnote [1]}

• Chapter 2 – Retiring the refined methodology to Pillar 2A.
• Chapter 4 – Interest rate risk in the banking book (IRRBB) and pension obligation risk Pillar 2A approaches – minor clarifications.

1.2 In conjunction with CP9/24, the PRA issued a separate consultation, CP7/24 – The Strong and Simple Framework: The simplified capital regime for Small Domestic Deposit Takers (SDDTs) covering proposals on capital-related measures under the Strong and Simple framework. The proposal to retire the refined methodology for SDDTs is predicated on the PRA implementing its proposals in relation to applying the Basel 3.1 standardised approach to credit risk (CR SA)^{footnote [2]} to SDDTs (as consulted on in CP7/24).

1.3 As a result, the PRA also received responses to CP7/24 concerning the retirement of the refined methodology. The responses to both CP9/24 and CP7/24 regarding this proposal have been consolidated in this near-final PS and will be addressed together in Chapter 2.

1.4 The appendices to this near-final PS contains the PRA’s near-final policy materials with respect to retiring the refined methodology, and final policy materials related to IRRBB and pension obligation risk Pillar 2A approaches, as follows:^{footnote [3]}

• final amendments to statement of policy (SoP) 5/15 – The PRA’s methodologies for setting Pillar 2 capital (see Appendix 1);
• final amendments to supervisory statement (SS) 31/15 – The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) (see Appendix 2); and
• near-final amendments to (SS) 31/15 (see Appendix 3).

1.5 The PRA has not made final policies with respect to retiring the refined methodology at this stage. This is because it will be based on the final rules for the Basel 3.1 CR SA. The PRA intends to make the final rules and policy covering the entire Basel 3.1 package once HM Treasury (HMT) has made the commencement regulations to revoke the relevant provisions of the Capital Requirements Regulation (CRR).^{footnote [4]} The PRA intends to publish the final policy materials with respect to retiring the refined methodology in 2026 Q1, alongside, or shortly after, it publishes its final PS covering the entire Basel 3.1 package. The PRA does not intend to change the policy or make substantive alterations to the policy material before the making of the final policy material.

1.6 The policy materials set out in this PS related to IRRBB and pension obligation risk Pillar 2A approaches, reflecting minor clarification changes, are published as final.

1.7 This near-final PS is relevant to all PRA-regulated banks, building societies, designated investment firms, and all PRA-approved or PRA-designated holding companies. Therefore, this near-final PS is also relevant to SDDTs, as well as firms who meet the SDDT criteria and are considering becoming an SDDT.

1.8 This near-final PS has been published on Tuesday 28 October 2025 alongside two related publications:

• PS19/25 – Restatement of CRR and Solvency II requirements – 2027 implementation – near-final policy statement.
• PS20/25 – The Strong and Simple Framework: The simplified capital regime for Small Domestic Deposit Takers (SDDTs) – near-final policy statement.

1.9 PS20/25 sets out, alongside other simplifications, the PRA’s near-final policy on the Pillar 2A framework for SDDTs. For SDDTs, this PS is complementary to PS20/25.

Background

1.10 In Chapter 2 of CP9/24, the PRA proposed to retire the ‘refined methodology’ to Pillar 2A when firms implement the Basel 3.1 standards – more specifically, when firms implement the Basel 3.1 CR SA. The PRA implemented the refined methodology in 2018 (as set out in PS22/17 – Refining the PRA’s Pillar 2A capital framework) to address known concerns about the potentially conservative nature of the current CR SA compared to the internal ratings-based (IRB) approach, especially for certain assets that are considered lower risk. An example of this was residential real estate exposures with a low loan-to-value (LTV) ratio.

1.11 Under the refined methodology, the PRA allows for some firms that are considered relatively low risk and well managed to compare their CR SA risk weights with those derived from ‘IRB benchmarks’. These benchmarks are drawn from data the PRA has on the risk weights generated by firms’ IRB models. When making an overall assessment of the adequacy of their total capital requirements, the firm and the PRA can consider that comparison and assess whether there is any excess conservatism inherent in some aspects of the CR SA risk weights. The PRA may then exercise supervisory judgement to adjust some firms’ variable Pillar 2A add-ons to ensure that the total amount of capital required does not exceed the amount necessary to adequately capitalise its risks.

1.12 CP9/24 proposed to retire the refined methodology because the reason for its adoption is no longer valid. CP9/24 explained how the implementation of the Basel 3.1 standards, together with other changes to IRB modelling of residential real estate exposures, was expected to significantly reduce the gap between the IRB approach and CR SA risk weights, particularly for lower-LTV residential real estate exposures. These changes would address the safety, soundness and competition concerns that the refined methodology sought to mitigate in a more straightforward, transparent, and consistent way.

1.13 In Chapter 4 of CP9/24, the PRA proposed to clarify its existing Pillar 2A approaches for IRRBB and pension obligation risk. The proposed changes were intended only to clarify the existing policy and did not change the PRA’s approaches to these risks.

1.14 In determining its near-final and final policy, the PRA considers representations received in response to consultation, publishing an account of them and the PRA’s response (‘feedback’). Details of any significant changes are also published. In this PS, the ‘Summary of responses’ contains a general account of the representations made in response to the CP and the ‘Feedback to responses’ chapter contains the PRA’s feedback.

1.15 In carrying out its policy making functions, the PRA is required to have regard to various matters. In CP9/24, the PRA explained how it had regard to the most relevant of these matters in relation to the proposed policy. The ‘Changes to draft policy’ section of this chapter refers to that explanation, taking into account consultation responses where relevant.

Summary of responses

1.16 The consultation period for CP9/24 closed on 12 December 2024. The PRA received twelve responses related to CP9/24 proposals. The names of respondents who consented are published in Appendix 4.

1.17 Out of the eleven responses related to the proposal in Chapter 2, most were not supportive of the proposal and requested changes and clarifications. For example, respondents sought greater clarity on the implementation details, raised concerns about how the proposal might impact firms’ capital requirements and questioned the proposal's effect on the PRA’s secondary competition objective. One respondent welcomed the proposal due to the improved risk sensitivity introduced by the Basel 3.1 CR SA for residential mortgages. They also highlighted that the size of the Pillar 2A adjustment that could be delivered by the refined methodology would be limited if it were retained. The PRA’s feedback to these responses is set out in Chapter 2 of this PS: Feedback to responses on retiring the refined methodology.

1.18 Two responses were related to the minor clarifications of the IRRBB and pension obligation risk Pillar 2A approaches under Chapter 4 of the CP. Respondents asked for clarifications on the approaches. The PRA’s feedback to these responses is set out in Chapter 3 of this PS: Feedback to responses on minor clarifications to the IRRBB and pension obligation risk Pillar 2A approaches.

Changes to draft policy

1.19 While the PRA acknowledges that ten respondents did not support the proposal, the PRA has decided to maintain the approach consulted on, to retire the refined methodology to Pillar 2A. The PRA maintains its view that the calibration of the Basel 3.1 CR SA better reflects the risk of exposures and increases risk sensitivity, which would promote safety and soundness while facilitating effective competition. The Basel 3.1 CR SA will address the safety and soundness and competition concerns that the refined methodology sought to mitigate, in a more straightforward, transparent and consistent way across firms.

1.20 Whilst the PRA acknowledges there will continue to be differences between CR SA risk weights and risk weights calculated under the IRB approach, the PRA did not receive persuasive new evidence that the implementation of the Basel 3.1 CR SA is overly conservative. The PRA continues to consider that the Basel 3.1 CR SA is a credible alternative to the IRB approach, particularly given the introduction of the output floor^{footnote [9]} and changes to IRB modelling of real estate exposures^{footnote [10]} (see Chapter 2 below for more information).

1.21 Therefore, retiring the refined methodology removes redundant complexity from the Pillar 2A framework, while continuing to ensure that firms hold capital commensurate with their risk profiles.

1.22 Taking into account the latest developments, the PRA has made a few minor adjustments to the draft policy materials where it considers this to be appropriate. These changes do not have a significant effect on the policy and are explained in greater detail in Chapter 2 and 3 of this near-final PS:

• The PRA has made a minor update to the proposed changes in paragraph 5.12A of the near-final SS31/15 regarding the retirement of the refined methodology, given the Interim Capital Regime (ICR) is no longer needed.^{footnote [11]}
• The PRA has decided not to implement the proposed changes in paragraphs 7.4 and 7.27 of the final SoP5/15 at this time. These changes will be reconsidered as part of the ongoing review of the IRRBB methodology.

Cost Benefit Analysis (CBA)

1.23 CBA were conducted and published in Chapter 2 and 4 of CP9/24, to assess the changes proposed. The PRA considers this analysis to remain relevant and appropriate, as the proposals have not materially changed and no persuasive evidence was received to suggest that the associated costs were underestimated. See paragraphs 2.16 and 2.17 in Chapter 2 for discussion of the feedback received on the CP impact assessment.

PRA objectives and ‘have regards’ analysis

1.24 In carrying out its policy making functions, the PRA is required to have regard to several matters. In Chapter 2 and 4 of CP9/24, the PRA explained how it had regard to the most relevant of these matters in relation to the proposed policy. The near-final and final policies set out in this near-final PS are materially aligned with the proposals in CP9/24. Therefore, the PRA considers its analysis of its objectives and ‘have regards’ in CP9/24 remains appropriate.

1.25 In addition, the PRA would note that none of the aspects of the Government’s economic policy as set out in the HM Treasury (HMT) recommendation letter of 14 November 2024, and to which the PRA has had regard, were considered significant.

Implementation and next steps

Retiring the refined methodology to Pillar 2A

1.26 As mentioned in paragraph 1.5, the policy material related to the retirement of the refined methodology is published as near-final because the PRA is yet to make the final rules for the implementation of Basel 3.1 CR SA.

1.27 In CP9/24 the PRA proposed to align the implementation date for retiring the refined methodology to Pillar 2A with the date of the PRA’s implementation of the Basel 3.1 standards. This was previously planned for Thursday 1 January 2026, except for firms that opted into the Interim Capital Regime (ICR). For these firms, the proposed implementation date for retiring the refined methodology aligned with the proposed implementation date for the simplified capital regime for SDDTs, on Friday 1 January 2027.

1.28 The PRA has since decided to delay the implementation of Basel 3.1 in the UK by one year until 1 January 2027. Given the implementation dates for the SDDT capital regime and Basel 3.1 are now the same, the ICR is no longer needed. Accordingly, the policy to retire the refined methodology to Pillar 2A for all firms will take effect from 1 January 2027.

IRRBB and pension obligation risk Pillar 2A approaches – minor clarifications

1.29 The policy materials reflecting these minor clarification changes are published as final.

1.30 In CP9/24, the PRA proposed to implement these minor clarification changes to IRRBB and pension obligation risk Pillar 2A approaches on 1 January 2026. Since then, the implementation date for Basel 3.1 and related publications have been delayed. Given these broader delays, the PRA has decided to move the implementation date to 1 July 2026.

1.31 Unless otherwise stated, any remaining references to EU or assimilated legislation refer to the version of that legislation which forms part of assimilated law.^{footnote [12]}

2: Feedback to responses on retiring the refined methodology

2.1 The PRA has considered the representations received in response to the CP. This chapter sets out the PRA’s feedback to the responses to Chapter 2: Retiring the refined methodology to Pillar 2A, and its decisions.

2.2 This chapter provides the PRA’s response to points raised on the retirement of the refined methodology. The responses have been grouped as follows:

• IRB-SA differential and impact on competition
• Cost and burden in maintaining the methodology
• Impact on firms’ capital requirements
• Implementation approach
• Additional feedback

IRB-SA differential and impact on competition

2.3 In CP9/24, the PRA proposed to retire the refined methodology. This was on the basis that the Basel 3.1 CR SA, together with other changes to IRB modelling of residential real estate exposures, would significantly and sufficiently reduce the gap between the IRB approach and CR SA risk weights, particularly for lower-LTV residential real estate exposures. This would therefore reduce the comparative advantage that firms using the IRB approach have for certain asset classes. Further, the PRA considered that the retirement of the refined methodology would not undermine its competition objective, as any remaining gap is judged to be small enough to not undermine competition.

2.4 The PRA received eight responses related to the point on IRB-SA differential and impact on competition. Several expressed concerns that while Basel 3.1 CR SA exhibits greater risk sensitivity, it still embeds a degree of conservatism. Respondents were also concerned that the Basel 3.1 CR SA and changes to IRB modelling might not be sufficient to address the competitive disadvantages of SA firms.

2.5 The PRA did not receive persuasive evidence to change the proposal to retire the refined methodology. The PRA maintains that the risk-weighted assets (RWAs) of firms using the Basel 3.1 CR SA will better reflect the riskiness of their portfolios compared to the current CR SA, and relative riskiness within portfolios, which will promote safety and soundness and support facilitating effective competition.

2.6 As set out in PS9/24 – Implementation of the Basel 3.1 standards near-final part 2, in developing its near-final policy in relation to the Basel 3.1 CR SA, the PRA made a number of adjustments to its draft policy to reflect the evidence and arguments stakeholders have provided in their consultation responses and in meetings with the PRA. For example, the PRA introduced a more risk-sensitive and operationally simpler approach to the valuation of real estate. The PRA did not receive compelling new evidence in response to CP9/24 that its implementation of the Basel 3.1 CR SA is overly conservative.

2.7 The PRA acknowledges that there may be a residual gap between the Basel 3.1 CR SA and IRB approach. The PRA considers that there are genuine reasons for this difference between the approaches. First, the IRB approach uses more granular data and risk drivers about individual exposures than the CR SA, which enables a greater degree of risk differentiation and more accurate estimates. Further, Basel 3.1 CR SA risk weights cannot be tailored to the risk of every exposure in the same way as modelled risk weights that are based on a firm’s own data and lending experience can, resulting in the Basel 3.1 CR SA grouping certain exposures and assigning risk weights. Depending on the nature of a firm’s lending portfolio for a given asset class, that may also lead to average capital requirements that are higher than under the IRB approach. Therefore, the PRA continues to view that the Basel 3.1 CR SA provides a credible and risk sensitive alternative to the IRB approach.

2.8 The PRA has decided not to amend the proposed policy. The implementation of the Basel 3.1 CR SA and the introduction of the output floor, together with changes to IRB modelling of real estate exposures, is expected to significantly narrow the gap in risk weights between the SA and IRB approach. With the implementation of Basel 3.1 CR SA and removal of the refined methodology, the impact on firms’ total capital requirements and buffers is expected to be broadly neutral on average, as would be expected as the presence of the refined methodology was intended to proxy for the greater risk sensitivity that Basel 3.1 now provides. Around half of firms that currently have the refined methodology are expected to see a reduction in total capital requirements and buffers. In balancing its statutory objectives, the PRA has judged that retiring the refined methodology better advances safety and soundness, while remaining proportionate from a competition perspective.

Costs and burden in maintaining the methodology

2.9 In CP9/24, the PRA noted that retiring the refined methodology would alleviate operational and resourcing burdens for firms and the PRA. The implementation of Basel 3.1 CR SA achieves most of the original policy objectives of the refined methodology. Therefore, the PRA considers that continuing with the complicated refined methodology is no longer justified given its complexity relative to the benefits it would offer.

2.10 Three respondents challenged this view, arguing that it is not as burdensome as suggested, especially as the Pillar 2 processes are already established in firms’ existing frameworks, and as a result there would be limited savings from its removal.

2.11 Six respondents proposed alternatives to full retirement. These suggestions included simplifying the methodology or providing a tool or calculator to support implementation. Five respondents advocated for updating the IRB benchmarks, as they help firms calculate their Pillar 2A and are used for general risk management purposes.

2.12 After considering these responses, the PRA has decided not to change the proposal to retire the refined methodology. The PRA continues to hold the view that the refined methodology assessment would place a disproportionate burden on firms and the PRA in comparison to the now greatly diminished benefits it would bring. Retiring the refined methodology would help reduce complexity and ease the workload involved in the ICAAP and SREP processes, as well as simplify the Pillar 2A setting process. Given that Basel 3.1 CR SA will introduce clarity, consistency, and better reflect the relative riskiness of exposures, maintaining a complex capital adjustment under Pillar 2A to address shortcomings under Pillar 1, would be inefficient and inconsistent with the PRA’s efforts to simplify the capital framework.

2.13 The PRA also maintains that if the refined methodology were to be retained, it would require a comprehensive revision of the IRB benchmarks, which would not be feasible until post-Basel 3.1 returns data from firms using the IRB approach becomes available. Changes under the Basel 3.1 standards would also mean that there would be insufficient data to update some of the IRB benchmarks for certain asset classes (eg sovereigns), due to the removal of modelling for these exposures.

2.14 Further, the PRA considers that, after the implementation of Basel 3.1 CR SA, the IRB benchmarking approach will no longer be the best approach to assessing Pillar 2A credit risk requirements and therefore proposed under CP12/25 – Pillar 2A review – Phase 1, to remove the IRB benchmarking methodology (including the IRB benchmarks) currently set out in SoP5/15. Alongside this, the PRA proposed to reduce reporting requirements for firms by streamlining FSA076 and decommissioning FSA077, which would further reduce administrative complexity for firms.

Impact on firms’ capital requirements

2.15 In CP9/24, the PRA estimated the net impact on firms’ capital requirements and buffers of (1) the implementation of the Basel 3.1 standard and (2) removal of the refined methodology. The analysis showed that the impact on total capital requirements and buffers to be broadly neutral on average.

2.16 Eight respondents suggested that retiring the refined methodology could significantly increase their Pillar 2A capital requirements. In particular, respondents questioned the PRA’s quantitative analysis, published in CP9/24, of the aggregate impact of the retirement of the refined methodology upon Basel 3.1 end-state implementation, and, in one case, the breadth of cohort data utilised to formulate this analysis.

2.17 Having considered these responses, the PRA decided not to change the proposal to retire the refined methodology. The PRA has refreshed the analysis based on more recent regulatory returns and finds that the impact analysis provided in CP9/24 remains valid. Consistent with the analysis conducted in the CP, this covers all the firms that are currently subject to the refined methodology. The PRA’s analysis estimated the impact on firms’ total capital requirements and buffers due to both the implementation of Basel 3.1 and the removal of refined methodology. Several respondents focused only on partial impacts (e.g. changes in nominal Pillar 2A or total capital requirements without buffers) and a number of these arguments did not take into account that the Basel 3.1 CR SA would result in a reduction in Pillar 1 requirements for most firms.

2.18 As explained in paragraph 2.8, the impact on firms’ total capital requirements and buffers is expected to be broadly neutral on average. In instances where capital requirements and buffers may increase, the PRA considers this to be prudentially justified. This is because capital requirements will more accurately reflect the risk profile of a firms’ portfolio.

Implementation approach

2.19 In CP9/24 the PRA proposed to align the implementation date for retiring the refined methodology to Pillar 2A with the date of the PRA’s implementation of the Basel 3.1 standards, particularly the Basel 3.1 CR SA. This is because the PRA considers that the Basel 3.1 CR SA would address the safety and soundness, and competition concerns that the refined methodology sought to mitigate in a more straightforward and transparent way.

2.20 Five respondents suggested that the refined methodology, if retired, should be done in a transitional manner. This would help mitigate the risk of a cliff-edge impact on capital requirements, as its immediate removal on ‘Day 1’ (the implementation date of the Basel 3.1 standards on 1 January 2027), could exacerbate disparities between SA and IRB approach. Respondents proposed aligning the implementation with that of the output floor, which is being phased in over several years for firms using internal models.

2.21 Having considered these responses, the PRA has decided not to implement a transitional for the removal of the refined methodology and maintains the proposal for full removal on ‘Day 1’. The PRA considers that the resource and complexity costs required to implement a transitional approach alongside resetting Pillar 2 capital requirements would not be proportionate to the benefits it would deliver post Basel 3.1 implementation.

2.22 The PRA considers that given the implementation date has been delayed by one year, firms have been given additional time to adjust to the removal of the refined methodology. Further, firms did not provide substantive evidence of the benefits of a transitional arrangement. As described above, the PRA’s analysis suggested that the overall impact on firms’ total capital requirements and buffers is expected to be broadly neutral on average, and half of these firms are expected to see a reduction in capital requirements and buffers. For firms which may see increases, the PRA’s analysis suggested that the change should be manageable without requiring a transitional path.

2.23 The PRA acknowledges, however, that firms’ actual impacts may differ from its analysis due to firm-specific circumstances. In particular, some firms may have more material impacts on capital requirements due to the retirement of the refined methodology. The PRA will continue to exercise supervisory judgement when setting a firm’s Pillar 2A capital requirements and engage with those firms on the transition.

Additional feedback

Interaction with the SDDT capital regime

2.24 The PRA received several responses regarding the proposal to retire the refined methodology and the interaction with the SDDT regime. One respondent supported the PRA’s proposal in CP7/24 to discontinue the use of the IRB benchmarking methodology as the Pillar 2A approach to credit risk under the SDDT regime, noting that this would be consistent with the retirement of the refined methodology.

2.25 One respondent commented on the level of Pillar 2A requirements under the SDDT regime and is concerned that their Pillar 2A requirements would increase due to the removal of the countercyclical capital buffer (CCyB) adjustment^{footnote [13]} and the retirement of the refined methodology. Having considered this response, the PRA has decided not to make changes to its proposed policy. The PRA observes that, in line with the approach to maintain the overall resilience of SDDTs, the SDDT capital framework is calibrated such that the overall level of capital requirements and buffers for an SDDT would be broadly similar, to outside of the SDDT regime. Further, as discussed above, with the implementation of Basel 3.1 CR SA and removal of the refined methodology, the impact on firms’ total capital requirements and buffers is expected to be broadly neutral on average. Retiring the refined methodology would also contribute to making the capital stack simpler and more transparent for SDDTs.

Interaction with the SME and infrastructure lending adjustments to Pillar 2A (Pillar 2A lending adjustments)

2.26 As set out in PS9/24 – Implementation of the Basel 3.1 standards near-final part 2, the PRA removed the SME support factor^{footnote [14]} and the infrastructure support factor^{footnote [15]} under Pillar 1. The PRA decided to introduce the Pillar 2A lending adjustments to minimise any potential disruption to SME and infrastructure lending, and therefore growth, resulting from the removal of the support factors, as set out in PS7/25 – Update to PS9/24 on the SME and infrastructure lending adjustments.

2.27 Four respondents provided comments and observations on the interaction between the retirement of the refined methodology and the introduction of the Pillar 2A lending adjustments.

2.28 Having considered the responses, the PRA has decided to clarify that there is no link between the retirement of the refined methodology and the introduction of the Pillar 2A adjustments, and the policy intentions of these two policies are different. The PRA considers that the Pillar 2A lending adjustments will minimise any potential disruption to SME and infrastructure lending from the removal of the support factors. The PRA’s decision will ensure that Pillar 1 capital requirements are prudent, risk-sensitive, and align with international standards while supporting UK growth and maintaining an appropriate overall level of capitalisation.

Transitioning to the IRB approach

2.29 Two respondents noted that while the gap between the SA and IRB approach is expected to narrow, firms using the SA may still have an unjustified disadvantage given the transition to IRB approach remains challenging.

2.30 As mentioned above, the PRA considers that there are inherent reasons for the differences between the two approaches, and the PRA continues to view that the Basel 3.1 CR SA provides a credible and risk sensitive alternative to the IRB approach. Despite this, the PRA published discussion paper (DP) 1/25 – Residential mortgages: Loss given default (LGD) and probability of default (PD) estimation on 31 July 2025, which explores ways of addressing barriers to entry to the IRB approach. DP1/25 sets out ideas on potential changes to probability of default modelling for residential mortgages under the IRB approach and the potential introduction of a foundation IRB approach for residential mortgages. DP1/25 closes on 31 October 2025. The PRA invites views and supporting quantitative and qualitative evidence on the topics discussed in this DP. 

3: Feedback to responses on minor clarifications to the IRRBB and pension obligation risk Pillar 2A approaches

3.1 The PRA has considered the representations received in response to the CP. This chapter sets out the PRA’s feedback to the responses to Chapter 4: IRRBB and pension obligation risk Pillar 2A approaches – minor clarifications.

3.2 In CP9/24, the PRA proposed to clarify its existing Pillar 2A approaches for IRRBB and pension obligation risk and proposed several clarification and editorial changes (such as updating obsolete references) in SoP5/15 and SS31/15. The proposed changes are intended only to clarify the existing policy and do not reflect a proposal to change the PRA’s approaches to these risks.

3.3 The PRA did not receive any responses on its proposed changes to the pension obligation risk Pillar 2A approach. The PRA received two responses which asked for further clarifications of the IRRBB approach, such as the type of policy limits used and definition of economic value of equity (EVE) sensitivity.

3.4 The PRA has considered these responses and the latest developments. The PRA is currently undertaking a review of its Pillar 2A methodology on IRRBB, which will be subject to a separate consultation. Therefore, the PRA has decided not to implement the proposed changes in paragraphs 7.4 and 7.27 of the final SoP5/15 at this time. These changes will be reconsidered as part of the ongoing review of the IRRBB methodology. The PRA will take into account the suggestions received from respondents as part of this ongoing review. The PRA did not receive feedback on other changes proposed under Chapter 4 of CP9/24 and will continue to implement these changes.to implement these changes.