Featured Product

    PRA Consults on Materiality Thresholds for Credit Obligations Past Due

    July 27, 2018

    PRA published a consultation paper (CP17/18) that sets out its proposed approach to implementing EBA’s recent regulatory products relating to the definition of default in the Capital Requirements Regulation or CRR (575/2013). This consultation closes on October 29, 2018.

    EBA has developed a roadmap of regulatory products to reduce unwarranted variability in the risk-weighted assets (RWAs) calculated using banks’ internal ratings-based (IRB) models. Two of the products from the EBA roadmap relate to the definition of default: the regulatory technical standards for the materiality threshold for credit obligations past due and the guidelines on the application of the definition of default. This consultation paper sets out the proposed approach to implementing these products. Through this consultation PRA proposes to update the expectations in the Supervisory Statement SS11/13 titled “Internal Ratings Based (IRB) approaches” to implement the EBA’s regulatory products that relate to the definition of default (Appendix 1). PRA also proposes to amend the Credit Risk Part of the PRA Rulebook to set thresholds for determining whether a credit obligation is material for the purpose of the CRR’s definition of default (Appendix 2). The proposals are relevant to UK banks, building societies, and PRA-designated UK investment firms.

    In accordance with the EBA Opinion on the implementation of the regulatory review of the IRB Approach, EBA roadmap should be implemented by December 31, 2020. The proposed implementation date for all of the proposals in this consultation is also December 31, 2020. PRA also intends to publish a second consultation on its proposed implementation of the remaining aspects of the EBA roadmap: the Guidelines on probability of default (PD) estimation, loss given default (LGD) estimation, and the treatment of defaulted exposures; along with the regulatory technical standards on specification of the nature, severity, and duration of an economic downturn. The second consultation paper will be published after the EBA has finalized the relevant regulatory products.

     

    Related Links

    Comment Due Date: October 29, 2018

    Keywords: Europe, UK, Banking, Credit Risk, Credit Obligations, Materiality Threshold, Definition of Default, CP17/18, CRR, PRA

    Related Articles
    News

    APRA Publishes Proposal to Increase Transparency of Banking Data

    APRA proposed to substantially increase the volume and breadth of data it makes publicly available on authorized deposit-taking institutions, including banks, credit unions, and building societies.

    December 05, 2019 WebPage Regulatory News
    News

    ESMA Consults on Guide to Internal Controls for Credit Rating Agencies

    ESMA launched a consultation on the guidelines on internal controls for credit rating agencies (CRAs).

    December 05, 2019 WebPage Regulatory News
    News

    EU Finalizes Directive and Prudential Rules for Investment Firms

    EU published, in the Official Journal of the European Union, the Directive (2019/2034) and Regulation (2019/2033) on the prudential requirements and supervision of investment firms.

    December 05, 2019 WebPage Regulatory News
    News

    OSFI Revises Guideline on Principles for Management of Liquidity Risk

    OSFI finalized Guideline B-6 on the principles for the management of liquidity risk.

    December 05, 2019 WebPage Regulatory News
    News

    PRA Consults on Framework to Manage Outsourcing and Third-Party Risk

    PRA published a consultation paper CP30/19 that sets out proposals to modernize the regulatory framework on outsourcing and third-party risk management.

    December 05, 2019 WebPage Regulatory News
    News

    BoE, PRA, and FCA Consult to Strengthen Operational Resilience

    BoE, PRA, and FCA published a shared policy summary and coordinated consultation papers on new requirements to strengthen operational resilience in the financial services sector.

    December 05, 2019 WebPage Regulatory News
    News

    EC Amends Rule on Mapping of External Credit Assessment Institutions

    EC published the implementing regulation (EU) 2019/2028, which amends Regulation 2016/1799, regarding the mapping tables specifying correspondence between the credit risk assessments of external credit assessment institutions (ECAIs) and the credit quality steps set out in the Capital Requirements Regulation.

    December 04, 2019 WebPage Regulatory News
    News

    EBA Issues Second Part of Advice on Implementation of Basel III in EU

    EBA published the second part of its advice on the implementation of Basel III in EU, which complements the report published on August 05, 2019.

    December 04, 2019 WebPage Regulatory News
    News

    EU Approves European Council Proposal on CCP Recovery and Resolution

    EU ambassadors approved the position of European Council on a proposed framework for clearing houses and their authorities to prepare for and deal with financial difficulties.

    December 04, 2019 WebPage Regulatory News
    News

    OSFI Releases Guideline on Foreign Bank Branch Deposit Requirements

    OSFI released the final version of Guideline A-10 on foreign bank branch deposit requirements, along with guideline impact analysis statement.

    December 04, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 4268