PRA has made a statement on some aspects of the EU’s “quick fix” to the CRR. The statement notes:
- PRA’s support (back in 2017) of IFRS 9 transitional arrangements, which the quick fix now revises, and implements the Basel Committee decision of April. PRA remains of the view that it will supervise using transitional data, and not “fully loaded” figures;
- firms already applying the CRR transitional arrangements will need to implement the revised calculations, while firms considering ceasing to apply them will need PRA’s permission to do so – and PRA encourages any firm in that position to contact it before the end of July; and
- the PRA would like better to understand the impact of the rules that will accelerate the date of application of the SME and infrastructure support factors, and applies a temporary prudential filter on some unrealised gains and losses. PRA intends to request data to help it carry out a quantitative analysis of the impact of these measures.