Internal Ratings Based UK mortgage risk weights: Managing deficiencies in model risk capture

Consultation Paper 14/20
Published on 30 September 2020


This Consultation Paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposals to introduce new expectations on Internal Ratings Based (IRB) approach UK mortgage risk weights. 

The proposals in this CP would result in changes to Supervisory Statement (SS) 11/13 ‘Internal Ratings Based (IRB) approaches’.

This CP is relevant to PRA-authorised UK banks, building societies, and ring-fenced banks (RFBs) holding IRB model permissions. It may be of interest to other firms, including those considering applying for IRB model permission, and other market participants. 

The purpose of these proposals is to address the prudential risks stemming from inappropriately low IRB UK mortgage risk weights. An additional benefit from these proposals would be a narrowing of differentials between IRB and standardised approach UK mortgage risk weights, and a limit on future divergence. The PRA considers that this would support competition between firms on the different approaches. 

The PRA does not expect these proposals to result in significant implementation costs. For those firms whose risk weights may increase as a result of these proposals, and where capital requirements are not already determined by other capital measures (eg leverage), there would be costs for the firm associated with the additional capital required.

Responses and next steps

This consultation closes on Saturday 30 January 2021. The PRA invites feedback on the proposals set out in this CP. Please address any comments or enquiries to

The PRA also encourages IRB firms to complete Appendix 2 as part of their feedback. Any data that the PRA receives as part of this consultation will help inform the PRA’s final proposals. 


The PRA proposes that the final policy resulting from this CP would take effect from Saturday 1 January 2022.

PDFConsultation Paper 14/20

Consultation ends: 30 January 2021

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