The PRA has published Policy Statement 23/17: Internal Ratings Based (IRB) approach: clarifying PRA expectations (PS23/17).

In PS23/17 the PRA provides feedback to responses to Consultation Paper 5/17: IRB approach: clarifying PRA expectations (CP5/17). It contains final amendments to Supervisory Statement 11/13: IRB approaches (SS11/13).

Having considered respondents’ comments, the changes to SS11/13 are as proposed in CP5/17 with two additional clarifications that are discussed in paragraphs 2.5 and 2.9 of PS23/17. These clarifications relate to the calibration of margins of conservatism in probability of default and loss given default estimation and to the monitoring of rating systems. The PRA does not consider these clarifications to have any additional material impact on firms, and so has not provided an updated cost-benefit analysis.

View Internal Ratings Based approach: clarifying PRA expectations – PS23/17, 3 October 2017