PRA feeds back on CRD 4 risk changes: PRA has published its feedback, final rules and supervisory statements relating to some of its proposals for CRD 4 updates for credit risk mitigation, credit risk, governance and market risk. The papers cover the proposals that had a one-month consultation period and PRA has confirmed the following changes to its rules and supervisory statements:

  • an update to the supervisory statement on credit risk mitigation to require a firm wishing to use its own estimates of volatility adjustments to provide PRA with certain information and to confirm it meets the requirements in Articles 225(2) and 225(3) of the Capital Requirements Regulation (CRR);
  • an update to the supervisory statement on market risk to include guidance on reporting certain risks and on EBA's common regulatory reporting framework (COREP);
  • a new rule in Credit Risk 4 of the PRA Rulebook to introduce stricter criteria for using a 50% risk weight to certain commercial real estate exposures in non-EEA countries; and
  • new guidance in chapter 4 of the Senior Management Systems and Controls rules in the PRA Handbook to clarify PRA’s interpretation of how the CRD 4 limits on individual directorships apply to the individuals who manage the consolidated group.

PRA has not yet finalised changes stemming from its proposal relating to approval for advanced internal ratings-based approach permissions. (Source: PRA Feeds Back on CRD 4 Risk Changes)

PRA publishes H2 stress scenario: PRA has published the H2 2014 stress scenario test, which firms should consider, and use to build their own scenarios for Pillar 2 purposes. It has produced a detailed spreadsheet for firms to use. (Source: PRA Publishes H2 Stress Scenario)