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SS11/13 - Internal Ratings Based (IRB) approaches1 Introduction2 Application of requirements to UK groups applying the IRB approach on a unified basis3 Third country equivalence - DELETED November 20154 Materiality of non-compliance5 Corporate governance6 Permanent partial use7 Sequential implementation following significant acquisition8 Classification of retail exposures9 Documentation10 Overall requirements for estimation11 Definition of default12 Probability of default in IRB approaches13 Loss Given Default in IRB approaches14 Own estimates of exposure at default (EAD) in IRB approaches15 Maturity for exposures to corporates, institutions or central governments and central banks16 Stress tests used in assessment of capital adequacy17 Validation18 Income-producing real estate portfolios19 Notification and approval of changes to approved models20 Retirement interest-only (RIO) mortgages21 Overseas Models ApproachAppenidx A: Slotting criteriaAppendix B: Model change pro-forma required when pre or post-notifying changes to a ratings systemAppendix C: Wholesale LGD and EAD frameworkAppendix D: List of EBA Guidelines referenced in this Supervisory StatementAnnex: Summary of updates to SS11/13
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Version date: 20 October 2021 - onwards
Version 8 of 8

Appenidx A: Slotting criteria

 

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