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.