This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 17/19 ‘Counterparty credit risk: Treatment of model limitations in banks’ internal models’.1 It also contains final policy in the form of the updated Supervisory Statement (SS) 12/13 ‘Counterparty credit risk’ (Appendix).
This PS is relevant to UK banks, building societies and PRA-designated UK investment firms that are subject to the Capital Requirements Regulation (575/2013) (CRR). It is not relevant to UK branches of firms in other European Economic Area (EEA) countries and non-EEA countries, nor to insurance firms.
The full statement is available at https://www.bankofengland.co.uk/-/media/boe/files/prudential-regulation/policy-statement/2020/ps2220.pdf