Related provisions for IFPRU 4.6.9
1 - 1 of 1 items.
The FCA expects a firm to consider the following issues when seeking to apply a variable scalar approach for UK mortgages:(1) in respect of Principle 2 (IFPRU 4.6.5 G), the commonly used Council for Mortgage Lenders database was based on arrears data and not defaults during a period, and the use of these data without further analysis and adjustment can undermine the accuracy of any calculations; and(2) in respect of Principle 3 (IFPRU 4.6.5 G), the historical data time period
The FCA expects a firm that is including mortgage arrears data as a proxy for default data to:(1) carry out sensitivity analysis identifying the circumstances in which the assumption that arrears may be used as a proxy for default would produce inaccuracy in long-run PD estimates;(2) set a standard for what might constitute a potentially significant level of inaccuracy, and demonstrate why, in practice, the use of this proxy would not result in any significant inaccuracy;(3) establish
When using historical mortgage data as a key input into variable scalar models, the FCA expects a firm to:(1) carry out sensitivity analysis identifying the implications of using different cut-off dates for the start of the reference data set; and(2) justify the appropriateness of its choice of cut-off date.