SS11/13 - Internal Ratings Based (IRB) approaches

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 20 October 2021. Effective from 1 January 2022. (This SS was updated on 14 May 2020, 7 June 2021, 6 July 2021, and 20 October 2021 to incorporate those changes).

• Supervisory Statement 11/13 - January 2022 (pdf)

 - 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’, PS16/21 ‘Internal Rating Based UK mortgage risk weights: Managing deficiencies in model risk capture’, and PS23/21 ‘Credit risk: The identification of the nature, severity, and duration of an economic downturn for the purposes of Internal Ratings Based (IRB) models’.

Past versions