This appendix outlines changes made to SS13/13 since its publication in PS10/14 ‘Responses to CP12/14’ in October 2014.

December 2023

This SS was updated following publication of PS17/23 ‘Implementation of the Basel 3.1 standards’ to:

(i) set out the PRA’s expectations on the updated Risk not in models (RNIM) framework, which replaces the RNIV framework in Section 2

(ii) remove the expectations around netting of a convertible with its underlying instrument in Section 4.

(iii) set out directly the PRA’s expectations for making corrections to modified duration for debt instruments in Section 5A.

(iv) replace references to VaR and sVaR with references to ES to reflect the new IMA framework;

(v) clarify the PRA’s expectations on the frequency of application for the modelling tests set out under the IMA framework in paragraph 9.3A;

(vi) remove expectations around VaR model permissions and VaR data standards in para 9.4 - 9.7 and 9.20.

(vii) set out the PRA’s expectations when modelling the risk factors under the IMA framework in paragraphs 9.7A, 9.7B and 9.7C;

(viii) remove the expectations on VaR measures in paragraphs 9.8, 9.17, 9.18, 10.1 – 11.5.

(ix) set out the PRA’s expectations on how should reflect the economic cycle in their internal default risk model under the IMA framework in paragraph 9.19A;