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PRA CRD IV Updates
29th October 2018
PRA CP17/18: Closing Date
As a reminder, today is the closing date for comments upon the PRA’s Consultation Paper 17/18 on Credit Risk: the definition of default. This consultation paper sets out the PRA’s proposed approach to implementing the European Banking Authority’s recent regulatory products relating to the definition of default in the Capital Requirements Regulation (CRR).
In July, the European Banking Authority (EBA) published its final report on Guidelines on the management of interest rate risk arising from non-trading (‘banking’) book activities (IRRBB) – one of the Pillar 2 risks specified in CRD IV. These Guidelines will apply from 30 June 2019. It should be noted that these Guidelines do not affect PRA published policy and reporting requirements on IRRBB, which are set out in PRA Rules, Supervisory Statements, Statements of Policy, which will continue to apply.
The Guidelines do however form a part of a wider set of updated guidance by the European Banking Authority on the Pillar 2 framework, as published in the EBA’s Final Guidance to strengthen Pillar 2 framework, as published on 19th July 2018.
The EBA’s Guidelines on Strengthening Pillar 2 Guidelines aims at further enhancing institutions’ risk management and supervisory convergence in the supervisory review and examination process (SREP), The three Guidelines that were reviewed focus on stress testing – particularly its use in setting Pillar 2 capital Guidance as well as interest rate risk in the banking book (IRRBB).
More about the EBA’s published guidelines can be read here.
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