5B.1For firms using the SFT VaR Method in accordance with Articles 221(1) or 221(3) of the Credit Risk Mitigation (CRR) Part, the PRA expects an appropriate individual in an SMF role to provide the following written attestations to the PRA:

(i)an annual attestation that the firm is either (i) fully compliant, (ii) materially compliant, or (iii) materially non-compliant with the relevant CRR requirements, PRA rules and SSs; and

(ii)where the individual in the SMF role attests that the firm is materially non-compliant under point (a), the attestation should include confirmation that a credible plan for addressing non-compliance in a timely manner, in accordance with Article 221(12)(b) of the Credit Risk Mitigation (CRR) Part, is in place and is being implemented.

5B.2Firms should agree the appropriate SMF for providing compliance attestations with the PRA. The PRA does not expect to agree to more than two SMFs covering all of the firm’s SFT VaR Method models.