SS11/13 - Internal Ratings Based (IRB) approaches

Supervisory Statement 11/13

First published on 19 December 2013

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
  • notification and approval of changes to approved models

Past versions

Future versions

Published on 6 July 2021. Effective from 1 January 2022. (This SS was originally published on 14 May 2020, and updated on 7 June 2021, and on 6 July 2021 to incorporate those changes).

 - following PS12/20 ‘Responses to Occasional Consultation Paper 25/19 – Chapter 5: Retirement interest-only mortgages’, PS11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’, and PS16/21 ‘Internal Rating Based UK mortgage risk weights: Managing deficiencies in model risk capture’.

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