October 03, 2017

The PRA published the policy statement PS23/17, which provides feedback to responses to the consultation paper CP5/17 titled “Internal Ratings Based (IRB) approach: clarifying PRA expectations.” PS23/17 contains final amendments to the supervisory statement SS11/13 on internal ratings-based (IRB) approaches and is relevant to UK banks, building societies, and PRA-designated investment firms.

The proposals in CP5/17 sought to clarify the PRA expectations for firms applying for IRB model approval. CP5/17 also proposed to set two reference points for estimating Probability of Possession Given Default (PPGD) for residential mortgages for firms that lack significant possession data. The PS23/17 contains the PRA’s feedback to the responses received during the consultation. SS11/13 sets out the PRA expectations on firms’ use of IRB approaches. SS11/13 is aimed at firms to which the CRD IV applies and it covers topics such as corporate governance, permanent partial use and sequential implementation, overall requirements for estimation, definition of default, probability of default, loss given default, exposure at default, validation, income-producing real estate portfolios, and temporary adjustments to approved models.

 

Related Links

Keywords: Europe, UK, Banking, IRB Approach, PS23/17, SS11/13, CP5/17, PPGD, PRA

Related Articles
News

FSB Chair Reports to G20 on Implementation of Financial Reforms

FSB published the letter to G20 Leaders and the opening statement from an FSB briefing by the FSB Chair Randal K. Quarles.

June 25, 2019 WebPage Regulatory News
News

FSB Summarizes Progress in Implementation of G20 Regulatory Reforms

FSB published a summary progress report on implementation of the G20 financial regulatory reforms.

June 25, 2019 WebPage Regulatory News
News

EBA Issues 2020 Stress Test Methodology and Templates for Discussion

EBA published the 2020 EU-wide stress test draft methodology, templates, and template guidance, for discussion with the industry.

June 25, 2019 WebPage Regulatory News
News

SRB Updates MREL Policy to Reflect Changes in CRR 2

SRB updated its policy on minimum requirement for own funds and eligible liabilities (MREL) as a result of the revisions in the recent Banking Package.

June 25, 2019 WebPage Regulatory News
News

OSFI Updates Manual of Reporting Forms and Instructions for Insurers

OSFI issued its annual update for 2019 to the manual of financial reporting forms and instructions for property and casualty (P&C) insurance companies.

June 25, 2019 WebPage Regulatory News
News

PRA Consults on PRA110 Reporting Frequency Threshold

PRA proposed (CP14/19) to amend the reporting frequency of PRA110 reporting template (PRA110) when a firm is in stress.

June 25, 2019 WebPage Regulatory News
News

APRA Updates Guidance on Managing Information Security Risks

APRA released an updated Prudential Practice Guide CPG 234 on managing information security risks, including cyber-crime.

June 25, 2019 WebPage Regulatory News
News

IMF Releases Report on 2019 Article IV Consultation with United States

IMF published its staff report in the context of the 2019 Article IV consultation with the United States.

June 24, 2019 WebPage Regulatory News
News

FCA and US Agencies on Addressing Issues in Credit Derivatives Market

U.S. SEC Chairman Jay Clayton, U.S. CFTC Chairman J. Christopher Giancarlo, and UK FCA Chief Executive Andrew Bailey issued a joint statement announcing plans to address concerns regarding opportunistic strategies in the credit derivatives markets.

June 24, 2019 WebPage Regulatory News
News

BIS Report Discusses Regulatory Issues Related to Big Techs in Finance

BIS has pre-released a chapter of the BIS Annual Economic Report; this chapter focuses on the risks and opportunities presented by large technology firms in the financial services sector.

June 23, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3315