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

Counterparty credit risk - SS12/13 UPDATE

07 July 2016

Update 7 July 2016: This statement was updated to provide clarifications to the reporting requirements for model changes. In addition, the process for informing the PRA of non-compliance has been clarified: specifically paragraphs 5.1, 5.2, 6.5, 6.7, 6.15, 6.16, 6.25, 6.27 and Appendices A and B. Additionally, amendments were made for qualifying central counterparties (QCCPs). The amendments also clarify that further information on central counterparties (CCPs) can be found on the European Securities and Markets Authority (ESMA) website, and adjusts the notification arrangements when a CCP no longer reports its hypothetical capital (Kccp). These revisions are found in Chapter 4.

The policy contained in this supervisory statement has been designed in the context of the current UK and EU regulatory framework. The PRA will keep the policy under review to assess what changes would be required due to intervening changes in the UK regulatory framework, including as a result of the referendum on 23 June 2016.

This supervisory statement is aimed at firms to which CRD IV applies.

Supervisory statement

Counterparty credit risk – SS12/13 UPDATE