Bank of England: Responses to CP12/14 - PS10/14

27 October 2014

This policy statement includes feedback, final rules and supervisory statements to implement proposals in the PRA’s consultation paper for CRDIV updates for credit risk mitigation, credit risk, governance and market risk.

This policy statement covers the proposals in CP12/14 subject to a one-month consultation period, which closed on 8 August 2014.

The following changes are made to Prudential Regulation Authority (PRA) policy:

• Updates to the supervisory statement on credit risk mitigation (SS17/13): a firm wishing to use its own estimates of volatility adjustments shall provide the PRA with confirmation that it meets the requirements set out in CRR Articles 225(2) and 225(3), together with the information set out in SS17/13


• Updates to supervisory statement on market risk (SS13/13): includes guidance for firms on how to report Risks not in VaR requirements in FSA005, and the European Banking Authority's common regulatory reporting framework (COREP)


• New rule in Credit Risk 4 of the PRA Rulebook: introduces stricter criteria for the application of a 50% risk weight to certain commercial real estate exposures located in non-EEA countries


• Guidance added to SYSC 4 of the PRA Handbook: clarifies 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

CP12/14 also contained a proposal to no longer approve advanced internal ratings-based approach permissions. The consultation period for this proposal closed on 30 September 2014. The PRA will provide feedback and a final supervisory statement for this proposal in due course.

Responses to CP12/14 - PS10/14

Supervisory statements Market risk - SS13/13

Supervisory statements Credit risk mitigation - SS17/13

Consultation paper

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