Credit risk mitigation

First published on 19 December 2013

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.

Current version

Published on July 2019. Effective from 13 September 2019.

• Supervisory Statement UPDATE - July 2019 (PDF)

- following PS14/19 ‘Credit risk mitigation: Eligibility of financial collateral, and incorporates the updates following PS8/19 Credit risk mitigation: Eligibility of guarantees as unfunded credit protection.

Past versions