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

Credit risk mitigation - SS17/13 UPDATE

28 April 2017

Update 28 April 2017: This supervisory statement was updated following publication of PS9/17 ‘Implementation of MiFID II: Part 2’, to update references in paragraph 2.26 from Markets in Financial Instruments Directive (MiFID) to MiFID II. The updates referring to MiFID II take effect from Wednesday 3 January 2018. See annex for details.

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