The PRA has issued a clarification on its website setting out information on how firms should incorporate IFRS 9 into stress testing and capital planning carried out as part of their ICAAP obligations from 2018.
This is only applicable to firms:
- to which the CRD IV applies; and
- that apply any of:
- International Financial Reporting Standards (IFRS);
- FRS 101; or
- FRS 102 and have opted to use IFRS 9 for their financial instruments
in relation to ICAAPs based on accounts as at 31 December 2017 or a later date.
However, the clarification does not change the way the PRA sets the PRA buffers in 2018. These will remain subject to supervisory decision on a case-by-case basis and will reflect a range of firm specific considerations, including the quality of the data used in the ICAAP.
View Clarification on IFRS 9 for 2018 ICAAP stress testing and capital planning, 25 October 2017
