ARTICLE
27 November 2015

UK Regulator Publishes Updated Supervisory Statement On Internal Ratings Based Approach To Credit Risk

SS
Shearman & Sterling LLP

Contributor

Our success is built on our clients’ success. We have a long and distinguished history of supporting our clients wherever they do business, from major financial centers to emerging and growth markets. We represent many of the world’s leading corporations and major financial institutions, as well as emerging growth companies, governments and state-owned enterprises, often working on ground-breaking, precedent-setting matters. With a deep understanding of our clients' businesses and the industries they operate in, our work is driven by their need for outstanding legal and commercial advice.
On November 11, 2015, the Prudential Regulation Authority published an updated Supervisory Statement on the Internal Ratings Based approaches to credit risk under the CRR.
United Kingdom Finance and Banking

On November 11, 2015, the Prudential Regulation Authority published an updated Supervisory Statement on the Internal Ratings Based approaches to credit risk under the CRR. This is the approach under which certain banks and investment firms with sophisticated risk management systems are allowed to calculate capital requirements based on internally produced parameters. Amongst other things, expectations that have been superseded by decisions or technical standards adopted by the European Commission have been deleted, including on third country equivalence, and expectations for the notification of changes to IRB rating systems have been amended.

The updated Supervisory Statement is available at: http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1113update.pdf.

The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.

Mondaq uses cookies on this website. By using our website you agree to our use of cookies as set out in our Privacy Policy.

Learn More