Other systemically important institutions (O-SII) buffer rates for ring-fenced banks and large building societies

The PRA has set the 2024 O-SII buffer rates for ring-fenced banks and large building societies.

Published on 29 November 2024

O-SII buffer rates for ring-fenced banks and large building societies

The Prudential Regulation Authority (PRA) is required^{footnote [1]} to set Other Systemically Important Institutions (O-SII) buffer rates for ring-fenced banks (RFBs) and large building societies by applying the Financial Policy Committee (FPC)’s framework for the O-SII buffer.^{footnote [2]}

In line with the FPC’s framework, the PRA has set O-SII buffer rates based on the average of quarter-end UK leverage exposure measure (LEM) data over 2023, assessed on a sub-consolidated basis for RFBs, and on a consolidated basis for building societies. The O-SII buffer rates set out in this publication will apply from 1 January 2026.

Separately, the FPC noted in its Q4 2024 Record that it would consult in Q1 2025 on a proposal to index the O-SII buffer rate thresholds based on the 20% growth in nominal GDP between 2019 and 2023. Once the FPC confirms its final decision on the O-SII buffer rate thresholds following its consultation, the PRA will re-issue firms’ 2024 O-SII buffer rates (based on 2023 LEM data) to reflect the FPC’s updated framework. It is expected that this will take place in mid-2025 and that the buffer rates will apply from 1 January 2026.

Ring-fenced banks

The PRA has set O-SII buffer rates for the following RFB sub-groups, which apply to all exposures,^{footnote [3]} on a sub-consolidated basis.

	O-SII buffer rate (% of RWAs)
Lloyds Banking Group RFB sub-group	2.0%
NatWest RFB sub-group	1.5%
HSBC RFB sub-group	1.0%
Barclays RFB sub-group	1.0%
Santander UK RFB sub-group	1.0%

See annex for the RFBs in the RFB sub-groups

For RFBs, if the group is not subject to a global systemically important institutions (G-SII) buffer, or if the group has a G-SII buffer rate that is lower than the O-SII buffer rate, there will be an increase in both the group PRA buffer^{footnote [4]} and the Leverage Ratio Group Add-on.^{footnote [5]} This is to ensure that, where systemic buffers apply at different levels of consolidation, there is sufficient capital within the consolidated group, and distributed appropriately across it, to address both global systemic risks and domestic systemic risks.

Building societies

The PRA has set an O-SII buffer rate for the following building society, which applies to all exposures, on a consolidated basis.

	O-SII buffer rate (% of RWAs)
Nationwide Building Society	1.5%

RFG sub-group	RFBs in the RFB sub-group
Lloyds Banking Group RFB sub-group	Lloyds Bank Plc Bank of Scotland Plc
NatWest RFB sub-group	National Westminster Bank Plc The Royal Bank of Scotland Plc Coutts & Company
HSBC RFB sub-group	HSBC UK Bank Plc Marks and Spencer Financial Services Plc HSBC Trust Company (UK) Ltd
Barclays RFB sub-group	Barclays Bank UK Plc
Santander UK RFB sub-group	Santander UK Plc Cater Allen Limited

Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014, as amended.
The Financial Policy Committee’s framework for the O-SII buffer | Bank of England.
The O-SII buffer rate applies to exposures located anywhere in the world.
The amount of group PRA buffer for RFB group risk will be informed by the amount by which the O-SII buffer exceeds the RFB sub-group’s share of any G-SII buffer at the group level. See Section II: Pillar 2B of The PRA's methodologies for setting Pillar 2 capital | Bank of England.
The ‘Leverage Ratio Group Add-on’ will be informed by the amount by which any additional leverage ratio buffer (ALRB) applicable on a sub-consolidated basis for the RFB sub-group is higher than the RFB subgroup’s share of the ALRB on a consolidated basis. See SS45/15 - The UK leverage ratio framework | Bank of England.