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Home > Prudential Regulation Authority > Credit risk mitigation - SS17/13 UPDATED

Credit risk mitigation - SS17/13 UPDATED

19 December 2013

28 April 2017 - Content on this page has been updated see:

Credit risk mitigation – SS17/13 UPDATE

For information only, the publication issued on 19 December 2013 is available below.

This supervisory statement sets out the Prudential Regulation Authority’s expectations in respect of the recognition of credit risk mitigation in the calculation of certain risk-weighted exposure amounts.

This supervisory statement covers elements of the following topics:

  • eligibility of financial institutions as protection providers;
  • recognised exchanges;
  • conditions for applying a 0% volatility adjustment under the Financial Collateral Comprehensive Method (FCCM);
  • permission to use 'own estimates of volatility adjustments' under the FCCM; and
  • netting of liabilities that may be subject to bail-in.

Supervisory Statement

Credit risk mitigation - SS17/13 

This supervisory statement was updated on 12 December 2014. Additional information on the December update is available in Key Resources.