SS12/13 – Counterparty credit risk

Supervisory Statement 12/13

First published on 1 April 2013

From its commencement on 1 April 2013, the Prudential Regulation Authority (PRA) has adopted a number of legacy Financial Services Authority (FSA) policy publications relevant to the advancement of its objectives. This document, initially issued by the FSA as Post approval changes for CCR advanced model approaches, has been adopted by the PRA as a Supervisory Statement as part of this process. The PRA may choose to review this legacy publication at a later stage.

This paper describes the PRA’s approach to post-approval changes to Counterparty Credit Risk Internal Model Method (IMM) and Internal Models Approach for Master netting agreements (Repo VaR) models, extensions of the scope of approval and roll out of portfolios according to the rollout plan; it suggests the documentation we would seek to support the proposed change and provides an overview of our response to these advised changes.

Current version

Confirmed as final in October 2021, following near-final future version published July 2021. Effective from 1 January 2022.

Confirmed final by PS22/21 ‘Implementation of Basel standards’. First published as near-final as part of PS17/21 ‘Implementation of Basel standards’.

Near-final version

Published on 12 December 2023. Effective from 1 July 2025

Following PS17/23 – Implementation of the Basel 3.1 standards near-final part 1

Past versions