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.