This appendix sets out the documentation that the PRA expects firms to submit for material changes to IMM models (in accordance with paragraph 6.15 (step 4)) and material changes to SFT VaR Method models (in accordance with paragraphs 7.7 and 7.10). The following list represents minimum expectations which should be met when applying for material changes. The PRA may ask for further information and/or documentation on a case-by-case basis. This section is divided in two main categories:

• Changes to models

• Changes to the counterparty risk system

Changes to models (new model being introduced or changes to existing models)

The following is the minimum information that should be provided for changes to models.

• Self-assessment against relevant CRR requirements, PRA rules and SS expectations. This should include an assessment against any requirement relevant to the changes made and sign-off from an appropriate individual in an SMF role attesting that the model is fit for purpose and meets regulatory requirements.

• Distribution of risk for an appropriate parallel run period for the transactions covered by the model changes according to the following categories (each table should include number of trades, Positive MtM, EAD, PFE, regulatory capital requirements using the old model, regulatory capital requirements using the new model):