The PRA has published Policy Statement 10/14: Responses to CP12/14 (PS10/14).

In PS10/14 the PRA provides feedback and final PRA rules and supervisory statements in the following areas:

  • credit risk mitigation. Article 225 of the Capital Requirements Regulation (CRR) requires firms wishing to use own estimates of volatility adjustments under the Financial Collateral Comprehensive Method to seek permission to do so from their competent authority.  In its earlier consultation the PRA proposed changes to the supervisory statement on credit risk mitigation setting out its expectations for granting this permission. The PRA has now updated the supervisory statement in line with its earlier consultation and a copy can be found in Appendix 1 of PS10/14;
  • credit risk (commercial real estate (CRE) exposures in non-EEA countries). The final rules for CRE exposures located in non-EEA countries are located in Appendix 2 of PS10/14. In accordance with article 124(3) of the CRR, as the new rules introduce additional criteria to those set out in article 126(2) CRR, institutions have a six month transitional period from the date of PS10/14 to apply any new resultant risk-weight;
  • governance. The PRA sets out final rules following its earlier consultation setting out proposed changes to SYSC 4 regarding how it expects the article 91(3) CRD IV limits on directorships to apply to directors in holding companies; and
  • market risk. In its earlier consultation the PRA proposed changes to the supervisory statement on market risk to clarify the reporting of risks not in value-at-risk (RNIV) within FSA005. The PRA has now updated the supervisory statement to set out where each component of RNIV  should be reported in the European Banking Authority’s common regulatory reporting framework and FSA005.

The PRA also previously consulted on proposals relating to internal ratings-based approaches. However, these proposals are subject to a three month consultation period. The PRA will provide feedback and a final supervisory statement in due course.

View Responses to CP12/14 – PS10/14, 27 October 2014