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

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

03 October 2017

​Update 3 October 2017: SS11/13 was updated alongside the publication of PS23/17 ‘Internal Ratings Based (IRB) approach: clarifying PRA expectations’. This version of SS11/13 updates the version issued on 19 June 2017.


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

Supervisory statement

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