This annex details the changes that have been made to this statement of policy following its initial publication on 29 July 2015 following Policy Statement 17/15 ‘Assessing capital adequacy under Pillar 2’.

2021

July 2021

This Statement of Policy was updated following publication of the Policy Statement (PS) 17/21 ‘Implementation of Basel standards’. Chapter 5 was updated to remove references to the previous standardised approaches to calculate counterparty credit risk exposures. These amendments are effective from Saturday 1 January 2022.

2021

April 2021

This Statement of Policy was updated following publication of the Policy Statement (PS) 8/21‘Non-systemic UK banks: The PRA’s approach to new and growing banks’, providing the link to the final SS 3/21.The changes removed the previous approach to setting the PRA buffer for new entrants and expanding smaller banks, including the references to the July 2014 FCA and PRA joint publication ‘A review of requirements for firms entering into or firms expanding in the banking sector: one year on’.

This policy is effective from Thursday 15April 2021.

The PRA has also taken this opportunity to correct the accidental omission of a cell in Table A1-Credit risk IRB benchmark has been updated to include the 9% upper range risk weight for Buy to let mortgages in the 0%-50% LTV. This upper range of 9% was omitted due an error first published in on Monday 30 April 2018 (effective from Tuesday 1 January 2019).

2020

December 2020