6.1This section describes the PRA’s approach for post-approval changes to Counterparty Credit Risk Internal Model Method (IMM) models as defined in Section 6 of Title II, Chapter 6 of the CRR, including extensions of the scope of approval, and roll out of portfolios according to the roll-out plan; it suggests the documentation the PRA would seek to support the proposed change and provides an overview of the PRA’s response to these advised changes.

6.2 The framework for post-approval model changes outlined here forms one integral element of the wider regime for calculating counterparty credit risk using advanced methods but does not encompass the entirety of the regime. To run this regime effectively, the PRA will deal with firm-driven actions (such as model changes) and also undertake other work (such as reviews and thematic work).

6.3 The PRA regards the post-approval regime as critical to maintaining confidence in the high standards which firms have been set during their initial CRR permission applications. An effective post-approval framework, which is the objective of the proposals in this paper, will provide this assurance while firms’ models are adjusted over time, without imposing a disproportionate burden on firms and on the PRA.