![]() Based on the average daily spot exchange rates over the 12-month period prior to the end of the most recent calendar quarter before publication of final rules, if either of the resulting exchange rates differ from those set out above by 20% or more, the PRA proposes instead to use the relevant updated exchange rate.ġ3.10 For ease of reference, Tables 1, 2, 3, and 4 list the PRA rules for which the PRA proposes to set thresholds and monetary values in GBP, together with the proposed GBP value, assuming the rates set out in this chapter are applied. The PRA intends to keep the proposed GBP/EUR and GBP/USD exchange rates applied under review. Other thresholds in the Basel standards in USD would also be converted using the same methodology.ġ3.9 The PRA considers that using the same exchange rate as that used in the implementation of other regulatory changes would mean that thresholds and monetary values are treated in a consistent manner to other PRA rules. Instead of converting from those EUR thresholds in the CRR, the PRA proposes to convert the thresholds direct from the USD value in the Basel standards and apply the average daily GBP/USD spot exchange rate covering the 12-month period prior to Friday 10 July 2020, rounded to two decimal places: £1 = $1.26. The PRA also proposes to round the redenominated GBP values to two significant figures.ġ3.8 In a small number of instances, the existing CRR provisions include EUR thresholds and monetary values that have been converted from USD-denominated thresholds in the Basel standards. For consistency with the exchange rate used in other regulatory changes, the PRA proposes to use the average daily rate over the 12-month period prior to Friday 10 July 2020, rounded to two decimal places: £1 = €1.14. footnote Methodology and proposalsġ3.7 When redenominating thresholds and monetary values expressed in EUR in the Basel standards, the PRA proposes to use the same methodology to calculate the GBP/EUR exchange rate as that used in the implementation of other regulatory changes ie based on the average daily GBP/EUR spot exchange rate over a representative historical 12-month period. The proposals would not apply to UK banks and building societies that meet the Simpler-regime criteria and choose to be subject to the Transitional Capital Regime proposals. Market Risk: Internal Model Approach (CRR) ġ3.6 The proposals in this chapter are relevant to PRA-authorised banks, building societies, PRA-designated investment firms, and PRA-approved or PRA-designated financial holding companies or mixed financial holding companies (‘firms’).Market Risk: Advanced Standardised Approach (CRR).Credit Risk: Internal Ratings Based Approach (CRR).Credit Risk: Standardised Approach (CRR). ![]() footnote ġ3.3 The PRA proposes to continue applying this methodology to the proposals covered in this CP, specifying EUR thresholds and monetary values in GBP when implementing the Basel 3.1 standards, and in making PRA rules that cover material that is currently covered in the CRR.ġ3.4 Additionally, the PRA proposes a separate but similar, methodology to redenominate in GBP certain thresholds and monetary values in USD including those within CRR articles that are stated in EUR but based on a USD threshold in Basel standards.ġ3.5 The proposals in this chapter affect rules in the following proposed new or amended parts of the PRA Rulebook: footnote Subsequently, the PRA applied a consistent methodology when redenominating thresholds in respect of other regulatory changes. In transposing Capital Requirements Directive V (CRD V), the PRA redenominated EUR thresholds relating to the identification of material risk takers (MRTs) in the Remuneration Part of the PRA Rulebook. News and publications Open News and publications sub menuġ3.1 This chapter sets out the Prudential Regulation Authority’s (PRA) proposals to redenominate certain references to Euros (EUR) and US Dollars (USD) into Pound Sterling (GBP) in the PRA rules proposed in this Consultation Paper (CP).ġ3.2 The Capital Requirements Regulation (CRR) and the Basel 3.1 standards contain a number of thresholds and monetary values set in EUR.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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