Featured Product

    PRA Consults on Eligibility of Guarantee as Unfunded Credit Protection

    February 16, 2018

    PRA published the consultation paper CP6/18, which sets out the proposed changes to the supervisory statement SS17/13 on credit risk mitigation. The consultation closes on May 16, 2018 and aims to clarify expectations about the eligibility of guarantees as unfunded credit protection under Part Three, Title II, Chapter 4 (credit risk mitigation) of the Capital Requirements Regulation or CRR (Regulation 575/2013). CP6/18 is relevant to all firms that come under the CRR.

    CRR Part Three, Title II, Chapter 4 (Credit risk mitigation) sets out the criteria that a guarantee must meet to be eligible for credit risk mitigation. CRR allows firms to recognize some forms of credit risk mitigation in the calculation of their capital requirements. Credit risk mitigation can be funded or unfunded. One of the ways unfunded credit protection can be achieved is through a guarantee. That can be achieved through the obligation of a third party to pay out in the event of non-payment or default of a credit obligor. To be eligible as a guarantee for credit risk mitigation under the CRR, strict eligibility criteria must be met. PRA has identified that some firms are unclear on what contracts or other documented obligations are eligible to be treated as guarantees for credit risk mitigation under the CRR. Thus, PRA believes that additional clarity is needed to ensure that capital relief from guarantees is obtained only where the risk has been effectively transferred to the guarantor. The proposals extend to any contract or other documented obligation that purports to be a guarantee for achieving unfunded credit protection under credit risk mitigation of CRR. Part Three, Title II, Chapter 4 (Credit risk mitigation) of CRR sets out the criteria that a guarantee must meet to be eligible for credit risk mitigation. CP6/18 proposes amendments to SS17/13 to provide guidance on the eligibility criteria for the recognition of guarantees.


    Related Links

    Comment Due Date: May 16, 2018

    Keywords: Europe, United Kingdom, Banking, Credit Risk, Credit Risk Mitigation, CRR, CP6/18, SS17/13, PRA

    Related Articles
    News

    ECB Allows Temporary Relief in Leverage Ratio Amid COVID-19 Pandemic

    ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.

    September 21, 2020 WebPage Regulatory News
    News

    ESAs Launch Survey on Templates for Product Disclosures Under SFDR

    ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).

    September 21, 2020 WebPage Regulatory News
    News

    ECB Proposes Integrated Reporting Framework to Reduce Burden for Banks

    ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.

    September 21, 2020 WebPage Regulatory News
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    APRA Consults on Alignment of Daily Liquidity Report for Banks

    APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.

    September 17, 2020 WebPage Regulatory News
    News

    FED Releases Scenarios for Second Round of Stress Tests on Banks

    FED released hypothetical scenarios for a second round of stress tests for banks.

    September 17, 2020 WebPage Regulatory News
    News

    FED to Temporarily Revise FR Y-14 Reports to Conduct Stressed Analysis

    FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.

    September 17, 2020 WebPage Regulatory News
    News

    FED Revises Information Collection Under Market Risk Capital Rule

    FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).

    September 17, 2020 WebPage Regulatory News
    News

    EBA Seeks Input on ESG Disclosure Practices of Banks

    EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.

    September 17, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5809