30th June 2014 PRA seeks consultation around credit risk mitigation, credit risk, governance, and market risk.
Bulletin: The Prudential Regulation Authority (PRA) publishes Consultation Paper that sets out the proposed changes to the PRA’s rules and supervisory statements in the areas of credit risk mitigation, credit risk, governance, and market risk.
The paper seeks views on:
- Expectations for firms applying for permission to use own estimates of volatility adjustments under the Financial Collateral Comprehensive Method;
- Expectations that approval will not be granted for permission to use the advanced internal ratings-based approach in relation to exposures to central governments, public sector entities, central banks and financial sector entities;
- A proposed rule to introduce stricter criteria for the application of a 50% risk weight to certain commercial real estate exposures located in non-EEA countries;
- Additional guidance to clarify the PRA’s interpretation of how the CRD IV limits on Directorships held by Directors of significant firms apply to the individuals who manage the consolidated group; and
- Guidance for firms on how to report Risks not in VaR requirements in FSA005.
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