8
Classification of retail exposures
8.1
CRR Article 154(4)(d) specifies that for an exposure to be treated as a Qualified Revolving Retail Exposure (QRRE), it needs to exhibit relatively low volatility of loss rates. The PRA expects firms to assess the volatility of loss rates for the qualifying revolving retail exposure portfolio relative to the volatilities of loss rates of other relevant types of retail exposures for these purposes. Low volatility should be demonstrated by reference to data on the mean and standard deviation of loss rates over a time period that can be regarded as representative of the long-run performance of the portfolios concerned.
- 01/01/2022
8.2
CRR Article 154(4)(e) specifies that for an exposure to be treated as a QRRE this treatment should be consistent with the underlying risk characteristics of the subportfolio. The PRA considers that a subportfolio consisting of credit card or overdraft obligations will usually meet this condition and that it is unlikely that any other type of retail exposure would do so. If a firm wishes to apply the treatment in CRR Article 154(4) to product types other than credit card or overdraft obligations the PRA expects it to discuss this with the PRA before doing so.
(CRR Article 154(4))
- 01/01/2022