9.1 The PRA proposed to implement new and updated methodologies for counterparty credit risk. These included the new Basel standardised approach for measuring counterparty credit risk exposures (SA-CCR), and a revised framework for capital requirements for firms' exposures to central counterparties (CCPs). They also included two simplified approaches (the simplified SA-CCR (sSA-CCR) and the original exposures method (OEM)) for smaller firms with limited derivatives exposures, to enhance the proportionality of the proposed framework.

SA-CCR

9.2 The CP proposed to replace the current Counterparty Credit Risk Part of the PRA Rulebook with the PRA's implementation of SA-CCR for firms that do not have permission to use the internal models method (IMM). SA-CCR improves upon the risk sensitivity of the existing non-modelled approaches by differentiating between margined and unmargined trades, as well as bilateral and cleared trades. It addresses known deficiencies [Deficiencies identified in the current approaches include that it did not sufficiently capture stress periods, and the recognition of netting benefits was too simplistic and not reflective of economically meaningful relationships.] of the existing non-modelled approaches, and minimises discretion used by national authorities and firms. The PRA's main proposals on the technical aspects of the SA-CCR framework were as follows:

• On mapping transactions to risk categories and asset classes, the PRA proposed not to prescribe a specific methodology at this stage. The PRA proposed to consider whether further prescription may be necessary and appropriate in light of the experience of firms' implementation of the SA-CCR framework.