Letter from PRA on IFRS 9 ECL to Systemically Important banks

Friday, January 18, 2019

ChartAcc.com - Victoria Saporta, Executive Director, Prudential Policy, Prudential Regulation Authority, recently sent a letter to major banks for disclosures on Expected Credit Loss under IFRS 9.

The letter was addressed on two concerns as follows:
  • Measurement uncertainty and sensitivity:
    • To enable and produce the quantitative information about that sensitivity internally
    • To report quantitative measurement uncertainty and sensitivity information from their 2018 (or 2018/2019) annual reports and accounts
  • The use of Monte Carlo approaches:
    • Firms' concern was the difficult of using above mentioned approach
    • PRA concluded that few other firms are using so all are expected to provide comprehensive and appropriately focused way and at an appropriate level of granularity.
The 7 banks were addressed this letter which are as follows:

  • Barclays plc, 
  • HSBC Holdings plc, 
  • Lloyds Banking Group plc, 
  • Nationwide Building Society,
  • Santander UK plc, 
  • Standard Chartered PLC and 
  • The Royal Bank of Scotland Group plc.

Courtsey: PRA

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