Risk weighting in relation to the Basel Accord applied in the UK

We publish details of a selection of requests made under the Freedom of Information Act 2000, and the information we disclose in response.

Date released: 15 December 2015


EU regulation 575/2013, the Capital Requirements Regulation (‘CRR’), sets out how banks are required to risk weight their assets (such as loans to businesses and mortgage loans) in the EU.  The relevant risk weight depends on whether the bank uses the standardised approach or internal model based approaches.  CRR Title II Chapter 2 (Articles 111 to 141) sets out the risk weight treatment for banks using internal model based approaches.  Banks must have permission from their regulator (in the UK, the PRA) to use internal model based approaches.

On some issues the CRR gives discretion to the UK to determine the appropriate risk weight treatment.  Where the UK has exercised these discretions, these are set out in Policy Statements and PRA Rules.  PRA Supervisory Statements further clarify the PRA’s expectations of banks.  The PRA and Financial Conduct Authority regulate banks in the UK to ensure compliance with EU and UK law.

For further information please see the links below:

EU regulation 575/2013 Capital Requirements Regulation PDFDownload PDF 
PRA publications on implementation of capital standards  Supervisory statement
Policy statement on strengthening capital standards (PS7/13) PDFDownload PDF
Supervisory statement on the standardised approach (SS10/13) Supervisory statement
Supervisory statement on internal model based approaches (SS11/13) Supervisory statement