21.1 The PRA expects that it will permit the use of an overseas model built to non-UK IRB standards in the calculation of UK consolidated capital requirements if all of the following criteria are met:

(a) the aggregate amount of RWAs calculated using overseas models is no more than 7.5% of the group’s total credit risk RWAs and the aggregate overseas models’ exposure value is no more than 7.5% of the group’s total exposure value;

(b) the model scope only encompasses exposures that are located within a subsidiary in an equivalent jurisdiction (as determined under CRR Article 142(2)), the model has been reviewed and approved by the overseas regulator, and the model is used to calculate local capital requirements in that jurisdiction;

(c) the model only encompasses exposures in the retail exposure class and/or SME exposures in the corporate exposure class;

(d) modelled outputs (such as PD, LGD and CF) are derived using both historical experience and empirical evidence (and not based purely on judgemental considerations), and the estimates are plausible, intuitive and based on the material drivers of the respective risk parameters;

(e) the population of exposures represented in the data used for estimation, the lending standards used when the data were generated, and other relevant characteristics, are comparable with those of the firm’s exposures and standards. The number of exposures in the sample and the data period used for quantification shall be sufficient to provide confidence in the accuracy and robustness of estimates;