Counterparty credit risk: Treatment of model limitations in banks’ internal models

Consultation Paper 17/19
Published on 23 July 2019

Overview

This consultation paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposed changes to Supervisory Statement (SS) 12/13 ‘Counterparty Credit Risk’ to clarify expectations regarding the treatment of model limitations and assumptions under Part Three, Title II, Chapter 6 (counterparty credit risk) of the Capital Requirements Regulation (575/2013) (CRR).

The CP is relevant to all firms to which CRD IV applies.

Draft amendments to the SS, which add a new chapter (4A) are set out in the Appendix.

Responses and next steps

This consultation closed on Friday 25 October 2019. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP17_19@bankofengland.co.uk.

Implementation

The PRA proposes that the draft changes to SS12/13 would take effect from the publication of the final policy.

PDFConsultation Paper 17/19

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