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

Current version

Published on 3 October 2017. Effective from 3 October 2017.

 - following PS23/17 ‘Internal Ratings Based (IRB) approach: clarifying PRA expectations’.

Future version

Published on 6 March 2019. Effective from 31 December 2020.

 - following PS7/19 ‘Credit risk: definition of default’.

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