PRA Paper and policy statement
Summary
The consultation paper "CP17/18: Credit risk: the definition of default" from July 2018, outlines the Prudential Regulation Authority's (PRA) proposed changes to the definition of default in the Capital Requirements Regulation (CRR). The changes aim to align UK practices with the European Banking Authority's (EBA) guidelines and address variability in the risk-weighted assets calculated by banks using their internal ratings-based (IRB) approaches.
Key Points
The consultation seeks to update the PRA’s expectations in Supervisory Statement 11/13 for the IRB approaches and to amend the Credit Risk Part of the PRA Rulebook.
The proposals are relevant to UK banks, building societies, and PRA-designated investment firms.
The changes follow the EBA’s regulatory products, including the Regulatory Technical Standards and Guidelines on the definition of default.
A significant change includes setting new materiality thresholds for past due credit obligatio...
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