Update 23 July 2019
This supervisory statement was updated following publication of PS14/19 ‘Credit risk mitigation: Eligibility of financial collateral’. This version comes into effect from 23 July 2019, and is available under ‘Current version’ in the table below. A version of SS17/13 has also been updated that incorporates the updates following PS8/19 ‘Credit risk mitigation: Eligibility of guarantees as unfunded credit protection’, and comes into effect from 13 September 2019, available under ‘Future version’ in the table 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.