PRA policy statement on IRB approach to UK mortgage risk weights

Following its consultation in October last year, the PRA has published a policy statement on its proposed rules changes to address the prudential risks that stem from inappropriately low IRB mortgage risk weights.

The PS summarises the responses received in respect of the consultation – respondents were generally not in favour of the proposed minimum expectations, with particular concerns raised against the proposed 7% risk weight minimum expectation for individual UK mortgage exposures.

The PS also contains the PRA’s amendments to its Supervisory Statement 11/13 which will take effect from 1 January 2022.

Lucy Hadrill