icon-grid
Better Regulation logo
Table of Contents

Table of Contents

Expand all headings Collapse all headings Expand side bar Collapse side bar
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
Document Overview
Tools
Set a date to view the document
Text comparison options
Full text - Date 1 vs Date 2
Amendments requiring commencement - Current text vs Text requiring commencement
Draft proposed changes - Current text vs Text proposed by drafting documents
Coming soon: Any documents - Any document vs Another document at any date
Print / Export options
Current page
Whole document
Selected pages
Consolidated PDF of the entire document as of 9th January 2025
Export
Export line by line
Export provision to provision
Report template
Create report template
Alert me to changes
Manage alerts
Bookmarks
This page
This document
Manage bookmarks
Search within this document
View previous searches
Share
Get page link
Share via email application
PreviousNext
Version date: 12 September 2024 - onwards
Version 2 of 2

9 CVA Transitional Provisions

9.1 This section sets out the PRA’s expectations with regard to the transitional provisions described in Chapter 7 of the Credit Valuation Adjustment Risk Part of the PRA Rulebook.

PreviousNext