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PS17/23 - Implementation of the Basel 3.1 standards near-final part 11: Overview (paras. 1.1-1.31)Background (paras. 1.7-1.9)Summary of responses (paras. 1.10-1.11)Changes to draft policy (paras. 1.12-1.17)Structure of the PS (para. 1.18)Accountability framework (paras. 1.19-1.26)Implementation and next steps (paras. 1.27-1.31)2: Scope and levels of application (paras. 2.1-2.5)3: Market risk (paras. 3.1-3.65)Introduction (paras. 3.1-3.7)Scope of application (paras. 3.8-3.16)Advanced standardised approach (paras. 3.17-3.30)Internal model approach (paras. 3.31-3.65)4: Credit valuation adjustment and counterparty credit risk (paras. 4.1-4.45)Introduction (paras. 4.1-4.8)Scope of application (paras. 4.9-4.26)The alternative approach (paras. 4.27-4.30)The basic approach (paras. 4.31-4.35)The standardised approach (paras. 4.36-4.41)Calibration of capital requirements for derivative exposures (CCR and CVA risk) (paras. 4.42-4.45)5: Operational risk (paras. 5.1-5.21)Introduction (paras. 5.1-5.7)Implementation of the standardised approach in PRA rules (paras. 5.8-5.17)Exercising the national discretion to set the ILM equal to 1 (paras. 5.18-5.21)6: Pillar 2 (paras. 6.1-6.35)Introduction (paras. 6.1-6.8)Review of the Pillar 2 framework (paras. 6.9-6.15)Off-cycle review of firm-specific capital requirements (paras. 6.16-6.29)Other comments (paras. 6.30-6.35)7: Currency redenomination (paras. 7.1-7.8)Introduction (paras. 7.1-7.4)Flexibility to apply thresholds denominated in EUR (paras. 7.5-7.6)Use of rounded thresholds (paras. 7.7-7.8)8: Interim Capital Regime (paras. 8.1-8.44)Introduction (paras. 8.1-8.16)Eligibility for the ICR (paras. 8.17-8.22)Uncertainty regarding the SDDT capital framework (paras. 8.23-8.27)The process for entering and leaving the ICR (paras. 8.28-8.33)An alternative implementation approach to the ICR (paras. 8.34-8.38)Scope of application (paras. 8.39-8.44)AppendicesAppendix 1: AbbreviationsAppendix 2: Near-final PRA Rulebook: CRR Firms: (CRR) Instrument [2024]Appendix 3: Near-final statement of policy - Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK's withdrawal from the EUAppendix 4: Near-final supervisory statement 13/13 - Market riskAppendix 5: Near-final supervisory statement 12/13 - Counterparty credit riskAppendix 6: Near-final PRA Rulebook: CRR Firms: SDDT Regime (Interim Capital Regime) Instrument [2024]Appendix 7: Near-final amendments to statement of policy - Operating the Interim Capital Regime
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Published date: 12 December 2023

PS17/23 - Implementation of the Basel 3.1 standards near-final part 1

1: Overview (paras. 1.1-1.31)
Background (paras. 1.7-1.9)
Summary of responses (paras. 1.10-1.11)
Changes to draft policy (paras. 1.12-1.17)
Structure of the PS (para. 1.18)
Accountability framework (paras. 1.19-1.26)
Implementation and next steps (paras. 1.27-1.31)
2: Scope and levels of application (paras. 2.1-2.5)
3: Market risk (paras. 3.1-3.65)
Introduction (paras. 3.1-3.7)
Scope of application (paras. 3.8-3.16)
Advanced standardised approach (paras. 3.17-3.30)
Internal model approach (paras. 3.31-3.65)
4: Credit valuation adjustment and counterparty credit risk (paras. 4.1-4.45)
Introduction (paras. 4.1-4.8)
Scope of application (paras. 4.9-4.26)
The alternative approach (paras. 4.27-4.30)
The basic approach (paras. 4.31-4.35)
The standardised approach (paras. 4.36-4.41)
Calibration of capital requirements for derivative exposures (CCR and CVA risk) (paras. 4.42-4.45)
5: Operational risk (paras. 5.1-5.21)
Introduction (paras. 5.1-5.7)
Implementation of the standardised approach in PRA rules (paras. 5.8-5.17)
Exercising the national discretion to set the ILM equal to 1 (paras. 5.18-5.21)
6: Pillar 2 (paras. 6.1-6.35)
Introduction (paras. 6.1-6.8)
Review of the Pillar 2 framework (paras. 6.9-6.15)
Off-cycle review of firm-specific capital requirements (paras. 6.16-6.29)
Other comments (paras. 6.30-6.35)
7: Currency redenomination (paras. 7.1-7.8)
Introduction (paras. 7.1-7.4)
Flexibility to apply thresholds denominated in EUR (paras. 7.5-7.6)
Use of rounded thresholds (paras. 7.7-7.8)
8: Interim Capital Regime (paras. 8.1-8.44)
Introduction (paras. 8.1-8.16)
Eligibility for the ICR (paras. 8.17-8.22)
Uncertainty regarding the SDDT capital framework (paras. 8.23-8.27)
The process for entering and leaving the ICR (paras. 8.28-8.33)
An alternative implementation approach to the ICR (paras. 8.34-8.38)
Scope of application (paras. 8.39-8.44)
Appendices
Appendix 1: Abbreviations
Appendix 2: Near-final PRA Rulebook: CRR Firms: (CRR) Instrument [2024]
Appendix 3: Near-final statement of policy - Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK's withdrawal from the EU
Appendix 4: Near-final supervisory statement 13/13 - Market risk
Appendix 5: Near-final supervisory statement 12/13 - Counterparty credit risk
Appendix 6: Near-final PRA Rulebook: CRR Firms: SDDT Regime (Interim Capital Regime) Instrument [2024]
Appendix 7: Near-final amendments to statement of policy - Operating the Interim Capital Regime
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