The landscape of regulatory credit risk capital has evolved considerably since our 2022 Internal Ratings Based (IRB) benchmarking survey. Firms are moving ever-closer to having their new retail mortgage IRB models approved by the PRA, following an iterative review and feedback process, which has been subject to a number of challenges. Consensus appears to have emerged on many of the key decision points, including areas covered in detail in our previous survey, including economic cycle definition, number of risk grades etc.
We have used this inflection point as an opportunity to refresh our IRB survey and take stock of the current retail mortgage risk weight position from these latest IRB models.
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