1 Overview
1.1 This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 7/21 'Credit risk: The identification of the nature, severity, and duration of an economic downturn for the purposes of Internal Ratings Based (IRB) models'. It also contains the PRA's final policy, as follows:
• a new UK Technical Standards Instrument (Appendix 1);
• an updated Supervisory Statement (SS) 11/13 'Internal Ratings Based (IRB) approaches' (Appendix 2); and
• versions of the relevant European Banking Authority (EBA) Guidelines as they stood at the end of the transition period (Appendices 3-5).
1.2 This PS is relevant to UK banks, building societies, and PRA-designated UK investment firms.
Background
1.3 The PRA proposed in CP7/21 to:
• introduce requirements for identifying an economic downturn as UK Technical Standards;