Submission of changes to SFT VaR Method models

7.1 In accordance with Articles 221(10) and 221(11) of the Credit Risk Mitigation (CRR) Part, a firm must:

(a) obtain prior approval for material changes to SFT VaR Method models if it has a permission under Article 221(1) of the Credit Risk Mitigation (CRR) Part;

(b) pre-notify material changes to SFT VaR Method models if it uses the SFT VaR Method in accordance with Article 221(3) (but does not have a permission under Article 221(1) of the Credit Risk Mitigation (CRR) Part); and

(c) post-notify all other changes to SFT VaR Method models on at least a quarterly basis.

7.2 The PRA considers that an extension to the scope of an SFT VaR Method model, or the transfer of additional portfolios to the SFT VaR Method, would fall within the scope of changes referred to in Articles 221(10) and 221(11).

7.3 The PRA considers that the notification of changes referred to in Article 221(11) of the Credit Risk Mitigation (CRR) Part may be made in summary form.

7.4 The PRA expects that a firm wishing to make a change to its SFT VaR Method models should self-assess the proposed change against all relevant PRA rules and SS expectations. The PRA considers that this self-assessment should be sufficiently rigorous to identify areas of noncompliance and that a high-level gap analysis or assessment that places reliance on the firm’s governance process for model development is unlikely to form an adequate self-assessment.