Calculation of RWA for counterparty credit risk

PRA Rules and Waivers

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

• Counterparty Credit Risk (CRR)
• Benchmarking of Internal Approaches 
• Waivers Transitional Provisions
• Disclosure (CRR) 
• Reporting (CRR)

UK legislation

• Counterparty Credit Risk - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title II, Chapter 6, Sections 1, 6, 7 and 8)
• Approaches to credit risk - Capital Requirements Regulation (EU) No 575/2013 (Article 107(2))
• Settlement risk - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title V)
• Securities Financing Transactions as Credit risk Mitigants - Capital Requirements Regulation (EU) 575/2013 (Part Three, Title II, Chapter 4)
• Types of derivatives – Capital Requirements Regulation (EU) No 575/2013 (Annex II) 

Supervisory Statements

• Counterparty Credit Risk (SS12/13)

Other relevant material

• The PRA’s methodologies for setting Pillar 2 capital; (Statement of Policy, Chapter 5)