PRA Consultation paper regarding eligibility of guarantees as credit risk mitigation

by BAFT | May 21, 2018
The Prudential Regulation Authority (PRA) of the Bank of England issued a consultation paper

The Prudential Regulation Authority (PRA) of the Bank of England  issued a consultation paper on the proposed changes to Supervisory Statement 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 (CRR)  (575/2013) . As the consultation sets out the criteria that a guarantee must meet to be eligible as credit risk mitigation, the PRA requested industry comments by May 16, 2018.  BAFT, together with the ICC, ITFA and IIF signed a joint comment letter addressing the eligibility of various  guarantees including  unfunded risk participations  in funded assets,  trade credit insurance policies,  and export credit agency guarantees as unfunded credit protection. 

Read the full document here or in the Library of Documents under Comment Letters.