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.

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