Nationwide’s IRB charges up 89% on PRA’s parameter curbs

The building society’s strict focus on mortgages meant impact was all-sweeping

A regulatory clampdown on UK banks’ internal risk parameters inflated credit risk charges by 89% at Nationwide Building Society, by far the heftiest toll among the country’s top lenders.

On January 1, the Prudential Regulation Authority mandated the recalibration of several elements underpinning banks’ internal ratings-based (IRB) approaches to credit risk, including loss given default and probability of default.

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