Credit Risk - Standardised Approach

Policies relating to the standardised approach to the calculation of risk-weighted assets for credit risk for banks, building societies and investment firms

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.

UK legislation

  • Credit Risk General principles - Capital Requirements Regulation (EU) 575/2013 (Part Three, Title II, Chapter 1)
  • Standardised approach - Capital Requirements Regulation (EU) 575/2013 (Part Three, Title II, Chapter 2)
  • Risk Weight Adjustments - Capital Requirements Regulation (EU) 575/2013 (Article 501 and Article 501a)
  • Classification of off-balance sheet items - Capital Requirements Regulation (EU) 575/2013 (Annex I)
  • Types of derivatives - Capital Requirements Regulation (EU) No 575/2013 (Annex II

UK technical standards

  • Specifying the calculation of specific and general credit risk adjustments - Commission Delegated Regulation (EU) No 183/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019
  • Mapping of credit assessments of external credit assessment institutions for credit risk - Commission Implementing Regulation (EU) 2016/1799, as amended, including by the amendments in the Technical Standards (Capital Requirements) (EU Exit) (No.4) Instrument 2020, Annex V
  • Materiality threshold for credit obligations past due - Commission Delegated Regulation (EU) 2018/171, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex V
 

Supervisory Statements

  • Credit risk: standardised approach (SS10/13)
  • Underwriting standards for buy-to-let mortgage contracts (SS13/16, Chapter 5)
  • Large Exposures (SS16/13, Chapter 2)
This page was last updated 31 January 2023