On 23 July 2019, the PRA published Consultation Paper 17/19: Counterparty credit risk: treatment of model limitations in banks’ internal models (CP17/19).
CP17/19 is relevant to all firms to which the Capital Requirements Directive IV applies. It sets out the PRA’s proposed changes to Supervisory Statement 12/13: Counterparty Credit Risk (SS12/13) to clarify expectations regarding the treatment of model limitations and assumptions under Part Three, Title II, Chapter 6 (counterparty credit risk) of the Capital Requirements Regulation. Draft amendments to SS12/13, which add a new chapter (4A) are set out in the Appendix to CP17/19.
The deadline for comments on CP17/19 is 25 October 2019.
The PRA proposes that the draft changes to SS12/13 would take effect from the publication of the final policy.
The proposals set out in CP17/19 have been designed in the context of the current UK and EU regulatory framework. The PRA has assessed that the proposals will not be affected in the event that the UK leaves the EU with no implementation period in place.