SS12/13 - Counterparty Credit Risk (near-final version) (effective from 1 January 2026)

Version date: 12 September 2024 - onwards

	1 Introduction
	2 Factors which the PRA expects firms to take into account when applying for certain permissions related to the counterparty credit risk regulatory framework
	3 Inclusion of securities financing transactions in the scope of the CVA own funds requirement
	4 Calculating own fund requirements for exposures to Central counterparties: Identifying qualifying central counterparties
	4A Monitoring of model lilitations
	4B Treatment of unsettled margin
	5 Annual SMF attestation for Internal Model Method models
	5A Annual SMF attestation for standardised approach to CVA risk
	5B Annual SMF attestation for SFT VaR Method models
	6 Internal Model Method: process for model changes
	7 SFT VaR Method: process for model changes
	8 Standardised approach to CVA: general expectations
	9 CVA Transitional Provisions
	9A Amendments to transactions subject to transitional provisions
	9B Recalculation of the legacy exempt ratio in the transitional provisions
	Appendices
	Appendix A: IMM Post-Approval Model Changes Process
	Appendix B: Documentation required for material changes
	Annex: Changes to SS12/13

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