postponed the entry into force of the requirement to 1 January 2024, with a first reporting reference date of 30 June 2024, to give more time for firms to build and test their reports.Changes to draft policyġ.7 The PRA has added a clarification on the business lines and trade structures in scope of the ICAAP expectations, and how to assess the materiality of contingent leverage risks to a firm’s business.ġ.8 The PRA has also made the following minor changes to the reporting requirement (via changes to the proposed reporting rule, templates, and instructions in Appendices 2-4): The points raised are set out in Chapter 2. This response broadly welcomed the measures proposed, while seeking clarification on aspects of the proposed ICAAP expectations and reporting requirement, and suggesting targeted changes to the reporting requirement. Summary of responsesġ.6 The PRA received one response to the CP. ġ.5 The PRA considered that those proposals would help the PRA and firms better understand the significance of these risks, and better manage them should they materialise. introduce a new data reporting requirement (the reporting requirement) for LREQ firms, collecting data on trading exposures where these risks may most likely arise.update the PRA’s supervisory expectations for firms undertaking an ICAAP in relation to the risks from contingent leverage (the ICAAP expectations) and.Contingent leverage risk arises when those conditions no longer hold, for example in a stress, and so a firm can no longer rely on the associated capital efficiencies. The capital-efficient nature of these forms of financing depends however, on a set of conditions persisting, as set out in CP12/22. Backgroundġ.3 Certain types of financing have a lower exposure measure value than other economically similar transactions in the calculation of the leverage ratio (and are therefore more capital-efficient). updated SS45/15 – ‘The UK leverage ratio framework’ (Appendix 5), to add LV49-52 to the list of leverage reporting templates.ġ.2 This PS is relevant to banks, building societies, and PRA-designated investment firms, and their qualifying parent undertakings (referred to as ‘firms’) that perform the Internal Capital Adequacy Assessment Process (ICAAP) footnote as far as the updates to SS31/15 are concerned, and to firms subject to a leverage ratio minimum requirement footnote (LREQ firms) as regards to the reporting rules, template, instructions, and SS45/15.updated ‘Instructions for reporting on leverage’ (Appendix 4) and.introduction of reporting templates LV49-52 (Appendix 3).amendments to the Reporting (CRR) Part of the PRA Rulebook (Appendix 2).updated supervisory statement (SS) 31/15 – ‘The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)’ (Appendix 1).It also contains the PRA’s final policy, as follows: News and publications Open News and publications sub menuġ.1 This Prudential Regulation Authority (PRA) policy statement (PS) provides feedback to responses to consultation paper (CP) 12/22 – Risks from contingent leverage.Option-implied probability density functions Gross Domestic Product Real-Time Database The PRA’s statutory powers and enforcement Money Markets Committee and UK Money Markets Code Greening our Corporate Bond Purchase Scheme (CBPS) Operational resilience of the financial sector Wholesale cash distribution in the futureįinancial market infrastructure supervision
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