On July 6, 2020, the PRA published an update to Supervisory Statement 31/15 covering expectations for the ICAAP and SREP for financial institutions. This update comes at a time of unprecedented macroeconomic uncertainty and stress, stemming from the Covid-19 pandemic. 

Regulators will expect financial institutions to submit a robust ICAAP that is underpinned by strong risk management processes and sufficient financial resources to cover stressed periods that are at least as bad as the current pandemic.

In this paper, we provide an overview of the key takeaways from SS 31/15, focusing on the steps banks need to take on business continuity plans, model governance, data governance, IRRBB measurement and scenario analysis and stress testing for climate risk.