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1.       be realistic;

2.       include analysis of how the firm understands it would be resolved, any risks to its resolution and steps the firm is taking or plans to take to remove or reduce those risks; and

3.       be reviewed by the firm if there is reason to suspect it is no longer accurate and updated if there has been a change in any of the matters to which it relates that impacts its assessment.

1.       the first Friday in October 2020; and

2.       biennially thereafter, by the first Friday in October of the relevant calendar year. PRA2019/14 Page 4 of 4 3.2 A firm must submit to the PRA an updated version of the report within 20 working days.

1. Pillar 2 capital
(Feedback on CP closes on Thursday 13 June 2019; To be implemented  from  Tuesday 1 October 2019)

Update to the framework – Calculation of PRA buffer to reflect continued refinements and developments in setting the PRA buffer (also referred to as Pillar 2B).

The purpose of these proposals is to:

a.       bring greater clarity, consistency and transparency to the PRA’s capital setting approach;

b.      to promote financial stability, the safety and soundness of PRA-authorised firms; and

c.       facilitate more informed and effective capital planning for banks.

2. ICAAP and SREP

(applicable from Friday 13 September 2019)

The updates on the Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP).

Following consideration of responses, the PRA has made three significant changes to the proposals consulted on in the CP. These changes are as follows:

a.       the removal of the proposal relating to the meaning of pay out in a timely manner;

b.      a new expectation around risks arising from eligible guarantee arrangements; and

c.       a new expectation around recognising any residual risks.

3. Credit risk mitigation
(comes into effect from Friday 13 September 2019)

a.       It is used in  the calculation of certain risk-weighted exposure amounts.

b.      This supervisory statement covers elements of the following topics:

                                                               i.      eligibility of financial institutions as protection providers;

                                                             ii.      recognised exchanges;

                                                            iii.      conditions for applying a 0% volatility adjustment under the Financial Collateral Comprehensive Method (FCCM);

                                                           iv.      permission to use 'own estimates of volatility adjustments' under the FCCM; and

                                                             v.      netting of liabilities that may be subject to bail-in.