On 16 January 2019, the PRA published a Dear CFO letter concerning disclosures about International Financial Reporting Standard (IFRS) 9 expected credit losses.

The Dear CFO letter refers to the November 2018 report prepared by the Taskforce on Disclosures about Expected Credit Losses which contained certain recommendations that the PRA expects firms to implement in full. The Dear CFO letter also provides some additional comments that the report mentions as areas on which the Taskforce might develop more detailed recommendations in due course: disclosures around measurement uncertainty and sensitivity, and disclosures around the use of Monte Carol approaches.

In relation to the latter the Dear CFO letter states that the PRA presumes that those firms that have decided to use Monte Carlo approaches have done so having concluded that they would be able to provide, from their 2018 (or 2018/2019) annual reports, disclosures explaining that use and its implications in a comprehensive and appropriately focused way and at an appropriate level of granularity.