The PRA hosted a virtual roundtable meeting on internal ratings based (IRB) mortgages, for PRA-regulated firms with an IRB permission for mortgage exposures, on Monday 5 October 2020.

Following the publication of Policy Statement 11/20 ‘Credit risk: Probability of Default and Loss Given Default estimation’, the PRA hosted a virtual meeting for firms that are using an internal ratings based model to calculate capital requirements for residential mortgage exposures. The PRA presented on the most relevant cross-firm modelling issues, and further discussed their expectations for developing Hybrid Probability of Default and Loss Given Default models. The presentation slides used at the event are available below.