PRA Policy Statement on credit risk mitigation

On 13 March 2019, the PRA published Policy Statement 8/19: Credit risk mitigation: Eligibility of guarantees as unfunded credit protection (PS8/19). PS8/19 is relevant to all firms bound by the Capital Requirements Regulation (CRR). In PS8/19 the PRA provides feedback on its earlier consultation (Consultation Paper 6/18: Credit risk mitigation: Eligibility of guarantees as unfunded credit protection (CP6/18)). It also contains the PRA’s final policy in updated: Supervisory Statement 17/13: Credit risk mitigation (SS17/13) (Appendix 1); and Supervisory Statement 31/15: The Internal Capital Adequacy Assessment Process and the Supervisory Review and Evaluation Process (SS31/15) (Appendix 2). In CP6/18 the PRA proposed changes to SS17/13 to clarify expectations regarding the eligibility of guarantees as unfunded credit protection under CRR Part Three, Title II, Chapter 4 (credit risk mitigation). Following a number of responses to CP6/18, the PRA has made changes to the…

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