This annex details the changes that have been made to this supervisory statement (SS) following its initial publication in July 2015 following Policy Statement 17/15 ‘Assessing capital adequacy under Pillar 2’.

2023

11 May 2023

This SS was updated in May 2023 following the publication of policy statement 5/23 - Risks from contingent leverage. Chapter 2 was updated to reflect the PRA’s new supervisory expectations for firms undertaking an ICAAP in relation to the risks from contingent leverage.

2021

31 December 2021

Following publication of Policy Statement 29/20 ’Capital Requirements Directive V (CRD V)’, this SS was updated to implement those elements of the BCBS standards on IRRBB not implemented through the Internal Capital Adequacy Assessment (ICAA) Part of the PRA Rulebook. The changes to the PRA Rulebook and this SS replace the PRA’s previous expectation that firms should make every effort to comply with the EBA guidelines on IRRBB. The changes can be found in the IRRBB section of Chapter 2, and in paragraph 5.16.

2021

April 2021

Following publication of the Policy Statement 8/21 ‘Non-systemic UK banks: The PRA’s approach to new and growing banks, this SS was updated to provide a reference to the new policy (in paragraph 5.25ZA), which is effective from Thursday 15 April 2021.

2020

December 2020