The PRA has published the H2 2015 stress scenario which is a macroeconomic scenario for the UK that firms can use as a guide to calibrate their own scenarios for Pillar 2 capital planning stress tests.
The PRA states that the scenario is for stress testing purposes only, and the scenario paths should not be interpreted as a forecast of the macroeconomic outlook for the UK or elsewhere.
The scenario is separate from the concurrent stress testing that is being undertaken by the Bank of England in response to recommendation six of the Financial Policy Committee’s meeting on 19 March 2013.
The PRA believes that supervisory scenarios will help firms to undertake stress tests using more appropriate scenarios, and will give firms a clearer indication of its expectations of appropriate severity.
The PRA states that firms should consider both the H2 2015 stress scenario and concurrent scenario in the context of their business and specific risk drivers. These scenarios should be used as a starting point with which to build and calibrate their own scenario under Pillar 2. These scenarios reflect minimum adverse conditions, through which firms should assess their ability to maintain minimum specified capital levels.
View H2 2015 stress scenario, 2 November 2015