6.9 In CP16/22, the PRA indicated its intention to review its Pillar 2A methodologies more fully by 2024, so that Pillar 2 requirements and any corresponding reporting requirements would be updated as necessary in light of the changes from the Basel 3.1 standards to the Pillar 1 framework. The PRA also set out its principle not to double count capital requirements for the same risks in Pillar 1 and Pillar 2A.

6.10 The PRA highlighted the risk that, in the absence of any action, firms' Pillar 2 requirements would not be calibrated to their revised Pillar 1 risk-weighted assets (RWAs) on day 1. This could persist for a longer period for firms subject to a less frequent Capital Supervisory Review and Evaluation Process (C-SREP) cycle. Therefore, the PRA indicated it would consider how to avoid gaps or duplications in the Pillar 1 and Pillar 2 frameworks on day 1.

6.11 Eighteen respondents asked for more transparency on the timing and details of the Pillar 2 methodologies review for the purposes of capital planning, with some concerned that increases in Pillar 1 requirements would flow through to Pillar 2A requirements and buffers, and suggested the PRA review the Pillar 2 framework and calibration. In addition, some respondents highlighted the tight timelines between the expected publication date of final rules and the implementation date. Those respondents noted this would mean firms may have limited time for capital planning and risk management upgrades to prepare for final rule changes and any changes to Pillar 2 methodologies.