VTB Bank (PJSC) authorised to assess credit risk using internal ratings-based approach

The Bank of Russia has authorised VTB Bank (PJSC) to use bank credit risk management methodologies and credit risk quantification models to measure credit risk using the internal ratings-based (IRB) approach to calculate capital adequacy ratios.

The authorisation will come into force on 30 November 2022 after the Supervisory Board of VTB Bank (PJSC) adopts the decision to apply these methodologies and models.

Initially, the bank will have the right to use the models to apply the IRB approach to individual segments of retail and corporate credit claims indicated in the bank's application. In line with the Coherent Transition Plan, VTB Bank (PJSC) will transfer the remaining credit claim segments to the IRB approach within three years. These will not include assets, whose credit exposure VTB Bank (PJSC) will continue to calculate using the standardised (finalised) approach.

As a result, there are four systemically important credit institutions (SICIs) that have been authorised by the regulator to use the IRB approach. This evidences that SICIs are well prepared to apply advanced and innovative risk assessment models.

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