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SoP5/15 – The PRA's methodologies for setting Pillar 2 capital

Statement of Policy 5/15

First published on 29 July 2015

This Statement of Policy sets out the methodologies that the Prudential Regulation Authority (PRA) uses to inform the setting of Pillar 2 capital for firms to which CRD IV applies.

There are two sections:

Section I: Pillar 2A methodologies. This sets out the methodologies we will use to inform the setting of a firm’s Pillar 2A capital requirement for credit risk, market risk, operational risk, counterparty credit risk, credit concentration risk, interest rate risk in the non-trading book (hereafter referred to as interest rate risk in the banking book (IRRBB)), pension obligation risk and RFB group risk.
Section II: Pillar 2B. This provides information on the purpose of the PRA buffer, how it is determined and how it relates to the CRD IV buffers. Section II also provides details on the PRA’s approach to tackling weak governance and risk management under Pillar 2B and RFB group risk.

Firms are required by the Reporting Pillar 2 part of the PRA Rulebook, or may be asked, to submit data to inform the PRA’s approach to setting Pillar 2A capital requirements. Data may be requested on an individual, consolidated and/or sub-consolidated basis as applicable.

Current version

Published 28 October 2025. Effective from 1 July 2026.

SoP5/15 – The PRA's methodologies for setting Pillar 2 capital – October 2025 (pdf)

Confirmed final by PS18/25 – Retiring the refined methodology to Pillar 2A – near–final

Past versions

Confirmed as final in October 2021, following near-final future version published July 2021. Effective from 1 January 2022.
- SoP5/15 'The PRA's methodologies for setting Pillar 2 capital' - January 2022 (pdf)
Confirmed final by PS22/21 ‘Implementation of Basel standards’. First published as near-final as part of PS17/21 ‘Implementation of Basel standards’.

Published 15 April 2021. Effective from 15 April 2021 (superseded on 1 January 2022 by January 2022 version).
- Statement of Policy ‘The PRA’s methodologies for setting Pillar 2 capital’ – April 2021 (1.7MB) (pdf)
- Following PS8/21 ‘Non-systemic UK banks: The Prudential Regulation Authority’s approach to new and growing banks’

Published 28 December 2020. Effective from 29 December 2020 (superseded on 15 April 2021 by April 2021 version).
- Statement of Policy - December 2020 (pdf 1.6MB)
- following PS29/20 ‘Capital Requirements Directive V (CRD V)’.

Published on 24 February 2020. Effective from 24 February 2020 (superseded on 29 December 2020 by December 2020 version).
- Statement of Policy - February 2020 (pdf 1.6MB)
- following PS3/20 ‘Responses to Occasional Consultation Paper 25/19 – Chapters 2 and 3’.

Published on 23 January 2020. Effective from 23 January 2020 (superseded on 24 February 2020 by February 2020 version).
- Statement of Policy - January 2020 (PDF 2.2MB)
- following PS2/20 ‘Pillar 2 capital: Updates to the framework’.

Published on 30 April 2018. Effective from 1 January 2019 (superseded on 23 January 2020 by January 2020 version).
- Statement of Policy - April 2018 (PDF 1.6MB)
- following PS9/18 ‘Groups policy and double leverage’.

Published on 30 April 2018. Effective from 1 October 2018 (superseded on 1 January 2019 by April 2018 version).
- Statement of Policy - April 2018 (PDF 1.6MB)
- following PS8/18 ‘Pillar 2: Update to reporting requirements’.

Published on 12 December 2017. Effective from 1 January 2018 (superseded on 1 October 2018 by April 2018 version).
- Statement of Policy - December 2017 (PDF 1.4MB)
- following PS30/17 ‘Pillar 2A capital requirements and disclosure’.

Published on 3 October 2017. Effective from 1 January 2018 (superseded on 12 December 2017 by December 2017 version).
- Statement of Policy - October 2017 (PDF 1.4MB)
- following PS22/17 ‘Refining the PRA’s Pillar 2A capital framework’.

Published on 1 February 2017. Effective from 1 January 2019 (superseded on 1 January 2019 by April 2018 version).
- Statement of Policy - February 2017 (PDF 1.4MB)
- following PS3/17 ‘The implementation of ring-fencing: reporting and residual matters – response to CP25/16 and Chapter 5 of CP36/16’.

Published on 7 July 2016. Effective from 1 January 2019 (superseded on 1 February 2017 by February 2017 version).
- Statement of Policy - July 2016 (PDF 1.5MB)
- following PS20/16 ‘The implementation of ring-fencing: prudential requirements, intragroup arrangements and use of financial market infrastructures' and Supervisory Statement 8/16 ‘Ring-fenced bodies (RFBs)’.

Published on 29 July 2015 Effective from 1 January 2016 (superseded on 3 October by October 2017 version).
- Statement of Policy - July 2015 (PDF 0.9MB)
- following PS17/15 'Assessing capital adequacy under Pillar 2'.

First publication of SoP.

Prudential Regulation // Policy statement

28 October 2025

Prudential Regulation // Policy statement

28 October 2025

Prudential Regulation // Statement of policy

28 October 2025

Prudential Regulation // Supervisory statement

28 October 2025