First published on 20 January 2026
This statement of policy (SoP) is relevant to Small Domestic Deposit Takers (SDDTs) and SDDT consolidation entities (hereafter ‘SDDT(s)’ is used to refer to SDDTs and SDDT consolidation entities) and applies to these firms instead of SoP5/15 – The PRA’s methodologies for setting Pillar 2 capital. It sets out the methodologies that the PRA uses to inform the setting of Pillar 2 capital for SDDTs.
There are two sections:
- Section I: Pillar 2A methodologies. This sets out the methodologies the PRA will use to inform the setting of an SDDT’s Pillar 2A capital requirement for credit risk, operational risk, credit concentration risk, interest rate risk in the non-trading book (IRRBB), pension obligation risk, market risk, counterparty credit risk, and group risk.
- Section II: Pillar 2B. This provides information on the purpose of the Single Capital Buffer (SCB) for SDDTs and how it is determined. Section II also provides details on the PRA’s approach to tackling weak governance and risk management for SDDTs under Pillar 2B.
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.
This SoP should be read in conjunction with supervisory statement (SS) 4/25 – The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) for Small Domestic Deposit Takers (SDDTs).