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SS17/13 - Credit risk mitigation1 Introduction2 Eligibility of protection providers under all approaches3 Recognised exchanges4 Conditions for applying a 0% voluntary adjustment under the Financial Collateral Comprehensive Method (FCCM)5 Permission to use 'own estimates of volatility adjustments' under the FCCM6 Netting of liabilities that may be subject to bail-in7 Eligibility of guarantees and credit derivatives as unfunded credit protection8 Eligibility of financial collateral where there is a correlation between the collateral value and the credit quality of the obligor9 Eligibility of non-financial collateral under the Standardised Approach10 Obligor grade adjustment in IRB models11 Funded credit protection securing unfunded credit protection obligationsAnnex - SS17/13 updates
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Version date: 12 September 2024 - onwards
Version 6 of 6

5 Permission to use 'own estimates of volatility adjustments' under the FCCM

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