SS11/13 was first published in December 2013 following CP4/13 ‘Credit risk: internal ratings based approaches [March 2013.]’ and SS1/13 ‘Credit risk: internal ratings based approaches’ [August 2013.]. SS11/13 supersedes SS1/13.

This annex details changes made to this SS following its initial publication in December 2013.

2021

18 October 2021

Following 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’, the PRA made the following amendments to its expectations:

(i) updating paragraph 13.7A to reference the requirements in the new UK Technical Standards on the specification of the nature, severity and duration of an economic downturn;

(ii) removing the following references to EBA processes that no longer apply in the UK:

a. the references in paragraphs 1.6 and 12.36 to ongoing and planned EBA Binding Technical Standards;

b. the reference in paragraph 1.4 to the joint decision process between the PRA and other EEA regulators; and

c. the reference in footnote 6 (to paragraph 11.6A) to passporting;