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Banking publications and updates
CP16/22 – Implementation of the Basel 3.1 standards
30 November 2022
This CP sets out the PRA’s proposed rules and expectations with respect to the implementation of the Basel 3.1 standards, and consists of the following:
- a revised standard approach for credit risk;
- revisions to the internal ratings based (IRB) approach for credit risk;
- revisions to the use of credit risk mitigation (CRM) techniques;
- removal of the use of internal models for calculating operational risk capital requirements, and a new SA to replace existing approaches;
- a revised approach to market risk;
- the removal of the use of IMs for credit valuation adjustment (CVA) risk, replaced by new standardised and basic approaches; and
- the introduction of an aggregate ‘output floor’ to ensure total risk-weighted assets for firms using IMs and subject to the floor cannot fall below 72.5% of RWAs derived under SAs, to be phased in over five years.
The proposals also revise certain areas of the Basel III standards already implemented in the UK, and would have consequential impacts on the UK implementation of the leverage ratio, and elements of the liquidity and large exposures frameworks.
CP16/122 – Implementation of the Basel 3.1 Standards
PS9/22 – Amendments to the PRA's approach to identifying other systemically important institutions (O-SIIs)
29 November 2022
This PS provides feedback to responses CP 13/22 ‘Amendments to the PRA's approach to identifying other systemically important institutions (O-SIIs)’. It also contains the PRA’s final policy, as follows:
- updated Statement of Policy (SoP) ‘The PRA’s approach to identifying other systemically important institutions (O-SIIs)’ (Appendix 1); and
- updated list of EU Guidelines in the Annex of the SoP ‘Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU’ (Appendix 2).
PS 9/22 – Amendments to the PRA’s approach to identifying other systemically important institutions (O-SII)
PRA statement on freezing O-SII buffer rates
29 November 2022
The PRA has decided, in line with its intention announced last year, to continue to freeze firms’ O-SII buffer rates in 2022. O-SII buffer rates will thus be maintained at 2019 levels. The PRA will assess rates in 2023 based on the Financial Policy Committee’s (FPC) updated framework, published in May 2022.
PRA statement on freezing O-SII buffer rate
PS 10/22 – Depositor Protection
28 November 2022
This PS provides feedback to the responses to CP 9/22 – ‘Depositor Protection’. It also contains the final rules as follows:
- amendments to the Depositor Protection Part of the PRA Rulebook (Appendix 1: Annex A);
- the deletion of the Dormant Account Scheme Part of the PRA Rulebook (Appendix 1: Annex B); and
- the deletion of the Dormant Account Scheme Statement of Policy.
PS10/22 – Depositor Protection
Letter from David Bailey and Melanie Beaman ‘Asset finance sector – key themes and control weaknesses identified post-administration, in relation to the Arena Holdings Group of companies’
7 November 2022
Letter to Chief Risk Officers (CROs) of PRA-regulated firms in the asset finance sector, which provides a summary of the key themes and control weaknesses identified post-administration in relation to the Arena Holdings Group of companies, and which PRA-regulated firms are expected to consider in order to strengthen their credit risk management frameworks.
Insurance publications and updates
FS1/22 – Potential Reforms to Risk Margin and Matching Adjustment within Solvency II
17 November 2022
This Feedback Statement provides a summary of the responses received to the Prudential Regulation Authority’s (PRA) Discussion Paper (DP) 2/22 ‘Potential Reforms to Risk Margin and Matching Adjustment within Solvency II’.
FS1/22 – Potential Reforms to Risk Margin and Matching Adjustment within Solvency II
CP14/22 - Review of Solvency II: Reporting phase 2
7 November 2022
This CP sets out the PRA’s proposals to streamline significantly a number of current Solvency II reporting and disclosure requirements for insurers, and to improve the collection of data in a small number of areas where reporting is currently not tailored appropriately to the features of the UK insurance sector, or to the PRA’s supervisory needs. The PRA considers that the proposals would allow it to continue to meet its statutory objectives while reducing ongoing reporting costs for firms, thereby improving competitiveness and proportionality. To achieve these aims, the PRA proposes to revoke retained EU Technical Standards for firms’ supervisory reporting and public disclosure under Solvency II, and to make new rules to amend and replace the retained EU Technical Standards. It also proposes amendments to the PRA’s expectations set out in Supervisory Statements (SS) relating to external audit of the public disclosure requirement, life insurance product reporting codes, and the National Specific Template LOG files.
More information
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