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Home > Prudential Regulation Authority > Counterparty credit risk - SS12/13 UPDATED

Counterparty credit risk - SS12/13 UPDATED

19 December 2013

7 July 2016 - Content on this page has been updated, see:

Counterparty credit risk – SS12/13 UPDATE 

For information only, the original publication issued on 19 December 2013 is available below.

In this supervisory statement the Prudential Regulation Authority (PRA) explains its expectations on the following topics for firms subject to CRD IV:
  • use of ‘Internal CVA model’ for the calculation of the maturity factor;
  • permission to set the maturity factor ‘M’ to 1 for the counterparty credit risk default charge;
  • inclusion of securities financing transactions in the scope of the CVA capital charge;
  • calculating own fund requirements for exposures to central counterparties: identifying qualifying central counterparties; and
  • counterparty credit risk advanced model approaches: process for post approval changes.

Supervisory Statement

Counterparty credit risk - SS12/13 UPDATED