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    PRA Published Consultation Paper on Counterparty Credit Risk

    June 21, 2017

    PRA published the consultation paper CP10/17, which sets out a proposal for the threshold and objective criteria to waive the requirements to disclose the template "EU CCR5-B – Composition of Collateral for Exposures to Counterparty Credit Risk." This template is part of the EBA Guidelines on disclosure requirements under Part Eight of Capital Requirements Regulation or CRR (Regulation (EU) No 575/2013). CP10/17 also proposes to remove the supervisory statement SS11/14 titled "CRD IV: compliance with the EBA’s Guidelines on disclosure of encumbered and unencumbered assets," to align with the new EBA regulatory technical standards.

    By waiving this disclosure requirement, PRA seeks to reduce the risk that firms’ compliance with the EBA Guidelines could enable the use or non-use of liquidity assistance to be deduced. The consultation paper is relevant to PRA-authorized institutions to which Part Eight of the CRR applies. It is directly relevant to firms in the scope of the EBA Guidelines, which cover global systemically important institutions, other systemically important institutions, and any other institution that has been opted into the scope of the EBA Guidelines on the basis of a supervisory decision. The implementation date of the EBA Guidelines is December 31, 2017. PRA presents four proposals:

    The establishment of a quantitative threshold waiving disclosure of CCR5-B for firms when either collateral received or collateral posted is below the threshold

    PRA expectation on the measure to be used to monitor compliance with the threshold

    The establishment of principles for firms to consider when determining whether to exercise discretions on disclosure, including the effectiveness of covert liquidity assistance and the benefits of the lag in disclosure of liquidity assistance

    The removal of SS11/14 when the regulatory technical standards come into force following the EC endorsement process

     

    Related Links

    CP10/17 (PDF)

    CRR

    Comment Due Date: August 21, 2017

    Keywords: Europe, PRA, Banking, UK, CRR, CCR, Disclosures

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