This consultation paper (CP) sets out the Prudential Regulation Authority’s (PRA’s) proposed changes to Supervisory Statement (SS) 17/13 ’Credit risk mitigation’ to clarify expectations regarding the eligibility of guarantees as unfunded credit protection under Part Three, Title II, Chapter 4 (Credit risk mitigation) of the Capital Requirements Regulation (575/2013) (CRR).
The proposals extend to any contract or other documented obligation that purports to be a guarantee for the purpose of achieving unfunded credit protection under CRR Part Three, Title II, Chapter 4.
The CP is relevant to all firms bound by the CRR.
Summary of proposals
CRR Part Three, Title II, Chapter 4 (Credit risk mitigation) sets out the criteria that a guarantee must meet to be eligible for credit risk mitigation. The CP proposes amendments to SS17/13 to provide guidance on the eligibility criteria for the recognition of guarantees.
Responses and next steps
This consultation closes on Wednesday 16 May 2018. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP6_18@bankofengland.co.uk.