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Home > Prudential Regulation Authority > Internal Ratings Based (IRB) approaches – SS11/13 UPDATED
 

Internal Ratings Based (IRB) approaches – SS11/13 UPDATED

11 November 2015

​19 June 2017 - Content on this page has been updated see

 
For information only, the updated publication issued on 11 November 2015 is available below.


Update
: On 11 November 2015 the PRA updated this statement to remove expectations that have been superseded by decisions or technical standards adopted by the European Commission. Specifically, those expectations relating to third country equivalence have been deleted and expectations for the notification of changes to IRB rating systems have been amended. Readers should refer to the equivalence decisions taken by the European Commission and Delegated Regulation (EU) No 529/2014 as amended by Delegated Regulation (EU) No 2015/942 instead – see Related Links. A reference to form FSA004 has been deleted. The model change notification pro-forma, which has also been updated to align with relevant regulation, has been removed from the statement and can now be accessed via the PRA’s webpages using the link provided – see Related Links. Finally, various typographical errors have been corrected throughout the statement. No other expectations have been reviewed or amended and they remain as they were in the original statement published on 19 December 2013.

Background

This supervisory statement sets out the Prudential Regulation Authority’s (PRA’s) expectations regarding firms’ use of internal ratings based approaches.

The supervisory statement covers the following principal topics:

  • corporate governance;
  • permanent partial use and sequential implementation;
  • overall requirements for estimation;
  • definition of default;
  • probability of default (PD);
  • loss given default (LGD);
  • exposure at default (EAD);
  • validation;
  • income-producing real estate portfolios; and
  • temporary adjustments to approved models.

 

Internal Ratings Based (IRB) approaches - SS11/13 UPDATED

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