This annex details the changes that have been made to this SS following its initial publication in December 2013:

2024

September 2024:

This SS was updated following publication of PS9/24 – Implementation of the Basel 3.1 standards near final part 2, to finalise text that was previously included as draft text in the December 2023 update of this SS, with minor changes to reflect the relabelling of paragraphs in the Credit Risk: Internal Ratings Based Approach (CRR) Part Article 162 and other minor amendments.

These amendments are effective from 1 January 2026

2023

December 2023:

Following the publication of PS17/23 ‘Implementation of Basel standards’, this SS was updated to reflect clarifications on the annual SMF attestations for IMM models and the standardised approach to CVA risk. These revisions are detailed in sections 5 and 5A, paragraphs 5.1 to 5.2; and 5A.1 to 5A.2. The statement was also updated to remove the subsection on the permission to set the maturity factor ‘M’ to 1 for the Counterparty Credit Risk default charge. This was previously detailed in paragraphs 2.7 to 2.11, which has now been deleted.