United Kingdom (and EU regulation)

PRA updates counterparty credit risk and market risk supervisory statements: July 2016

The PRA has issued updated versions of the following supervisory statements:

supervisory statement on counterparty credit risk (SS12/13). SS12/13 was updated to provide clarifications to the reporting requirements for model changes. Additionally, amendments were made for qualifying central counterparties (CCPs). The amendments also clarify that further information on CCPs can be found on the website of the European Securities and Markets Authority, and adjusts the notification arrangements when a CCP no longer reports its hypothetical capital; and
supervisory statement on market risk (SS13/13). SS13/13 was updated to amend the expectations on the validation of firms’ risks not In VaR (RNIV) frameworks and reporting of extensions and changes to firms’ RNIV frameworks, and also provides clarification on the PRA’s reporting requirements around Internal Model Approach model changes and extensions. In addition, the process for informing the PRA with regard to non-compliance has been clarified.

Both supervisory statements are aimed at firms to which the CRD IV applies.