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

    IAIS and SIF Publish Paper on Implementation of TCFD Recommendations

    IAIS and Sustainable Insurance Forum (SIF) published an issues paper on implementation of the recommendations of the Task Force on Climate-related Financial Disclosures (TCFD).

    February 27, 2020 WebPage Regulatory News
    News

    BCBS Meets to Advance Supervisory Initiatives and Basel Implementation

    BCBS met in Basel on February 26-27, 2020 to review risks impacting the banking system, advance a range of supervisory initiatives, and promote the implementation of Basel III.

    February 27, 2020 WebPage Regulatory News
    News

    EBA Publishes List of Institutions for Benchmarking Exercise in 2020

    EBA updated the list of institutions that have a reporting obligation for the EU supervisory benchmarking exercise in 2020.

    February 27, 2020 WebPage Regulatory News
    News

    BoE Launches Private Finance Agenda for Transition to Net Zero Economy

    The Governor of BoE, Mark Carney, launched the "COP26 Private Finance Agenda" to help private finance support the whole economy transition to net zero.

    February 27, 2020 WebPage Regulatory News
    News

    OSFI Consults on the 2020 LICAT Guideline for Life Insurers

    OSFI is consulting on the 2020 Life Insurance Capital Adequacy Test (LICAT) guideline for federally regulated life insurance companies and fraternal benefit societies.

    February 26, 2020 WebPage Regulatory News
    News

    BoE Publishes Notice on Collateral Referencing LIBOR for Use in SMF

    BoE published a market notice that forms part of the Documentation for the operations of BoE under the Sterling Monetary Framework (SMF).

    February 26, 2020 WebPage Regulatory News
    News

    US Agencies Correct Error in Capital Simplification Rule for Banks

    US Agencies (FDIC, FED, and OCC) published a notice in the Federal Register to correct an erroneous amendatory instruction in the final regulatory capital rule that was published in November 2019.

    February 26, 2020 WebPage Regulatory News
    News

    BaFin Publishes Submission Deadlines Under Solvency II

    BaFin published quarterly and annual submission deadlines on the Solvency II reporting page on its website.

    February 25, 2020 WebPage Regulatory News
    News

    RBNZ to Address Cyber Risk Through Risk Management Guidance

    RBNZ announced that it is strengthening its efforts to enhance resilience of the financial system from cyber threats, including developing risk management guidance and promoting information-sharing in collaboration with industry and other public organizations.

    February 25, 2020 WebPage Regulatory News
    News

    ISDA Consults Again on Implementing Pre-Cessation Derivative Fallbacks

    ISDA launched a new consultation on the implementation of pre-cessation fallbacks for derivatives.

    February 25, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 4745