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SS12/13 - Counterparty credit risk1 Introduction2 Factors which the PRA expects firms to take into account when applying for certain permissions related to the counterparty credit risk regulatory framework3 Inclusion of securities financing transactions in the scope of the CVA own funds requirement4 Calculating own fund requirements for exposures to Central counterparties: Identifying qualifying central counterparties4A Monitoring of model lilitations4B Treatment of unsettled margin5 Annual SMF attestation for Internal Model Method models5A Annual SMF attestation for standardised approach to CVA risk5B Annual SMF attestation for SFT VaR Method models6 Internal Model Method: process for model changes7 SFT VaR Method: process for model changes8 Standardised approach to CVA: general expectations9 CVA Transitional Provisions9A Amendments to transactions subject to transitional provisions9B Recalculation of the legacy exempt ratio in the transitional provisionsAppendicesAppendix A: IMM Post-Approval Model Changes ProcessAppendix B: Documentation required for material changesAnnex: Changes to SS12/13
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Version date: 12 September 2024 - onwards
Version 6 of 6

Appendix A: IMM Post-Approval Model Changes Process

For all model changes, firms are expected to complete the pro-forma, which can be found on the Bank of England's website.

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