Found this on the ISO website at:
http://www.iso.org/iso/en/prods-services/iso3166ma/01whats-new/2003-02-06_statement_yu.html
----
The ISO 3166 Maintenance agency is aware of the recent name change of 
"Yugoslavia" to "Serbia and Montenegro". The United Nations have informed 
ISO that the change of country name took effect on 2003-02-04.
The ISO 3166 Maintenance agency has started the process of determining a 
suitable alpha-2 and alpha-3 code element for the new country name. The 
process, which involves the authorities in Serbia and Montenegro, will take 
several weeks before it can be completed.
The new code elements will be announced on this Website as soon as they are 
available. The ISO 3166-1 Newsletter will be made available from the 
updates section of this website.
We recommend that the code elements presently representing the country name 
Yugoslavia in ISO 3166-1 should be used until the new code elements are 
announced.
---
Regards,
Kevin Meynell