On 12 October 2022, the PRA published Consultation Paper 12/22 ‘Risks from contingent leverage’ (CP12/22).
In CP12/22 the PRA proposes to update its supervisory expectations for firms undertaking an Internal Capital Adequacy Assessment process (ICAAP) in relation to the risks from contingent leverage, and to introduce a new data reporting requirement for collecting data on trading exposures where these risks may most likely arise. The proposals would result in changes to the PRA’s Supervisory Statement (SS) 31/15 ‘The Internal Capital Adequacy Assessment Process (ICAAP)’, the Reporting (CRR) Part of the Rulebook, and the ‘Instructions for reporting on leverage’. The PRA considers these proposals will help firms identify, monitor and manage contingent leverage risk and would improve its ability to monitor the evolution of these risks with more granular data.
The deadline for comments on CP12/22 is 3 February 2023. The PRA proposes that the expected implementation date for the changes resulting from CP12/22 is 1 July 2023.