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

    PRA to Elaborate on Approach to Transposition of CRD5 by Mid-December

    PRA published a statement that explains when to expect further information on the PRA approach to transposing the Capital Requirements Directive (CRD5), including its approach to revisions to the definition of capital for Pillar 2A.

    November 30, 2020 WebPage Regulatory News
    News

    SRB Sets Out Work Program for 2021-2023

    SRB published the work program for 2021-2023, setting out a roadmap to further operationalize the Single Resolution Fund and to achieve robust resolvability of banks under its remit over the next three years.

    November 30, 2020 WebPage Regulatory News
    News

    EIOPA Consults on KPIs on Sustainability for Non-Financial Reporting

    EIOPA is consulting on the relevant ratios to be mandatorily disclosed by insurers and reinsurers falling within the scope of the Non-Financial Reporting Directive as well as on the methodologies to build these ratios.

    November 30, 2020 WebPage Regulatory News
    News

    ECB Publishes Guide on Management of Climate and Environmental Risks

    ECB finalized guidance on the way it expects banks to prudently manage and transparently disclose climate and other environmental risks under the current prudential rules.

    November 27, 2020 WebPage Regulatory News
    News

    BCBS Amends Capital Treatment of Non-Performing Loan Securitizations

    BCBS published a technical amendment to the capital treatment of securitizations of non-performing loans by banks.

    November 26, 2020 WebPage Regulatory News
    News

    BoE to Move Statistical Data Collection to BEEDs Portal

    BoE announced that the Data and Statistics Division is planning to move collection of statistical data to the BoE Electronic Data Submission (BEEDS) portal.

    November 25, 2020 WebPage Regulatory News
    News

    APRA Updates Reporting Standards and Guidance for EFS Data Collection

    APRA published the updated reporting standards and guidance for the collection of Economic and Financial Statistics (EFS), following a consultation process. Also published was a response letter to the feedback received on the proposal for amending the EFS reporting standards and guidance.

    November 24, 2020 WebPage Regulatory News
    News

    EC Consults on Criteria for Environmentally Sustainable Activities

    EC is consulting on a draft delegated regulation to supplement the Taxonomy Regulation (2020/852) by establishing the technical screening criteria for determining the conditions under which an economic activity qualifies as environmentally sustainable.

    November 20, 2020 WebPage Regulatory News
    News

    IFRS Examines Incorporation of Climate Risk Issues into IFRS Standards

    The IFRS Foundation published material highlighting the ways in which existing requirements in IFRS standards require companies to consider climate-related matters when their effect is material to the financial statements.

    November 20, 2020 WebPage Regulatory News
    News

    FSB Report Outlines Progress on Interest Rate Benchmark Reform

    FSB published a progress report on the implementation of reforms to major interest rate benchmarks, including the London Inter-bank Offered Rate (LIBOR) benchmark.

    November 20, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 6167