On 7 May 2020, the PRA issued a statement setting out further measures aimed at alleviating operational burdens on PRA-regulated firms.

Key points include:

• recognizing current pressures on firms, and in light of the responses to the December 2019 Discussion Paper on the Climate Biennial Exploratory Scenario, the PRA and Financial Policy Committee have agreed to postpone the launch of the exercise until at least mid-2021;
• in relation to LIBOR reform the PRA and FCA suspended transition data reporting at the end of Q1 and cancelled some Q1 firm meetings due to the COVID-19 pandemic. The PRA and FCA have decided to resume full supervisory engagement on LIBOR from 1 June 2020, including data reporting at the end of Q2; and
• in Supervisory Statement 13/13: Market Risk, the PRA has set expectations on how the 12-month period used for Stressed VAR (SVAR) should be calculated, and how frequently it should be reassessed. The PRA confirms that it does not expect firms to update their SVAR 12-month period during the current period of financial market stress, other than if a firm’s current period no longer represents a significant period of stress for the firm’s portfolio. The PRA also states that whilst the Capital Requirements Regulation requires firms to review the choice of historical data at least annually, and in normal circumstances it has set an expectation of quarterly reviews, in the current circumstances the PRA will permit firms to delay this review until December 2020, in line with guidance provided by the European Banking Authority.