SS11/13 - Internal Ratings Based (IRB) approaches (effective from 1 January 2022)

Version date: 20 October 2021 - onwards

SS11/13 - Internal Ratings Based (IRB) approaches (effective from 1 January 2022)

Update 20 October 2021

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).

This Supervisory Statement (SS) was updated 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’.

	1 Introduction
	2 Application of requirements to UK groups applying the IRB approach on a unified basis
	3 Third country equivalence - DELETED November 2015
	4 Materiality of non-compliance
	5 Corporate governance
	6 Permanent partial use
	7 Sequential implementation following significant acquisition
	8 Classification of retail exposures
	9 Documentation
	10 Overall requirements for estimation
	11 Definition of default
	12 Probability of default in IRB approaches
	13 Loss Given Default in IRB approaches
	14 Own estimates of exposure at default (EAD) in IRB approaches
	15 Maturity for exposures to corporates, institutions or central governments and central banks
	16 Stress tests used in assessment of capital adequacy
	17 Validation
	18 Income-producing real estate portfolios
	19 Notification and approval of changes to approved models
	20 Retirement interest-only (RIO) mortgages
	21 Overseas Models Approach
	Appenidx A: Slotting criteria
	Appendix B: Model change pro-forma required when pre or post-notifying changes to a ratings system
	Appendix C: Wholesale LGD and EAD framework
	Appendix D: List of EBA Guidelines referenced in this Supervisory Statement
	Annex: Summary of updates to SS11/13

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Document Overview

SS11/13 - Internal Ratings Based (IRB) approaches (effective from 1 January 2022)

Table of Contents

Related

Document Overview

SS11/13 - Internal Ratings Based (IRB) approaches (effective from 1 January 2022)

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