PRA consults on Basel implementation

PRA is proposing a new CRR rule instrument to implement part of the Basel standards that still need to be implemented in the UK.  The consultation forms part of a wider exercise to transfer the text of existing rules into the PRA Rulebook without changing them.

The consultation includes:

  • specifying how the rules will apply to different firms
  • revisions to the definition of capital for certain purposes
  • new standards for prudent valuation for market risk and amendments to market risk management requirements
  • new standards for calculating risk-weighted exposures to collective investment undertakings
  • a new standardised approach to counterparty credit risk
  • clarification of the treatment of operating leases
  • implementation of the revised large exposures framework and liquidity coverage ratio, and Basel standards for the NSFR
  • update to supervisory reporting and disclosure standards
  • the interaction between the TTP and CRR rules and
  • guidance and rules on proportionality.

PRA welcomes feedback, on the proposed changes only, by 3 May.

Emma Radmore