Prudential Regulation Authority Rulebook

1.1

This Statement of Policy sets out the methodologies that the Prudential Regulation Authority (PRA) uses to inform the setting of Pillar 2 capital for all PRA-regulated banks, building societies, designated investment firms and all PRA-approved or PRA-designated holding companies.^[1]

1.2

Section I: Pillar 2A methodologies sets out the methodologies the PRA will use to inform the setting of a firm’s Pillar 2A capital requirement for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, interest rate risk in the non-trading book (hereafter referred to as interest rate risk in the banking book (IRRBB)), pension obligation risk and group risk, including RFB group risk.

1.3

Section II: Pillar 2B provides information on the purpose of the PRA buffer, how it is determined and how it relates to the CRD buffers. Section II also provides details on the PRA’s approach to tackling weak governance and risk management under Pillar 2B and group risk, including RFB group risk.

1.4

Firms are required by the Reporting Pillar 2 part of the PRA Rulebook, or may be asked, to submit data to inform the PRA’s approach to setting Pillar 2A capital requirements. Data may be requested on an individual, consolidated and/or sub-consolidated basis as applicable.