On 25 February 2021, the PRA issued a statement designed to clarify its approach to the published European Banking Authority (EBA) guidelines and EU regulatory technical standards (RTS) relating to the standardised and internal ratings based approaches to credit risk following the end of the transition period.
The statement covers the PRA’s approach to the following:
- The final draft RTS on the specification of the nature, severity and duration of an economic downturn (EBA/RTS/2018/04).
- EBA guidelines on credit risk mitigation for institutions applying the IRB approach with own estimates of loss given default (LGD) (EBA/GL/2020/05).
- The final draft RTS on assigning risk weights to specialised lending exposures (EBA/RTS/2016/02).
- The final draft RTS on the specification of the assessment methodology for competent authorities regarding compliance of an institution with the requirements to use the internal ratings based (IRB) approach (EBA/RTS/2016/03).
- EBA guidelines for the estimation of LGD appropriate for an economic downturn (EBA/GL/2019/03).
- EBA guidelines on the application of the definition of default (EBA/GL/2016/07).
- EBA guidelines on probability of default (PD) estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16).
- The RTS for the materiality threshold for credit obligations past due (Commission Delegated Regulation (EU) 2018/171).