Introduction

4.1 This chapter provides feedback to responses to chapter 5 of consultation paper (CP) 16/22 - Implementation of the Basel 3.1 standards, which set out proposals to implement the Basel 3.1 standards for credit risk mitigation (CRM), and to amend the Prudential Regulatory Authority's (PRA) expectations in respect of CRM. This chapter also sets out the PRA's near-final policy on CRM following the consultation.

4.2 Throughout this chapter, the PRA refers to the following CRM methods outlined in Table 6 and Table 7 below:

[49 Throughout this document, 'SFT' means a 'repurchase transaction, a securities or commodities lending or borrowing transaction, or a margin lending transaction'.]

[50 The Counterparty Credit Risk chapter of the CRR and the Counterparty Credit Risk (CRR) Part of the PRA Rulebook.]

[51 A 'comparable direct exposure to the protection provider' means a direct exposure to the protection provider of the same type and with the same characteristics as the exposure to the obligor in the absence of any UFCP.]