The PRA has published Consultation Paper 5/17: Internal Ratings Based (IRB) approach: clarifying PRA expectations (CP5/17).
In CP5/17 the FCA sets out the PRA’s proposed changes to Supervisory Statement 11/13: Internal Ratings Based approach to clarify the PRA’s expectations for firms applying for IRB model approval as to:
- how they can demonstrate that they meet the requirements of the Capital Requirements Regulation on ‘prior experience’ of using IRB approaches; and
- on the use of external data to supplement internal data for estimating Probability of Default and Loss Given Default for residential mortgages.
The PRA is also proposing to set two reference points for estimating Probability of Possession Given Default for residential mortgages for firms that lack significant possession data.
The deadline for comments on CP5/17 is 28 June 2017.
View Internal Ratings Based (IRB) approach: clarifying PRA expectations – CP5/17, 28 March 2017