Credit Risk - Internal Ratings Based Approach

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.

• Standardised Approach and Internal Ratings Based Approach to Credit Risk (CRR)
• Benchmarking of Internal Approaches
• Credit Risk
• Waivers Transitional Provisions
• Disclosure (CRR)
• Reporting (CRR)

UK legislation

• Credit Risk General principles - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title II, Chapter 1)
• Internal Ratings Based Approach - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title II, Chapter 3)
• Permissions under the CRR - Capital Requirements Regulations 2013 (SI 2013/3115)  (Part Eight)
• Risk Weight Adjustments - Capital Requirements Regulation (EU) No 575/2013 (Article 501 and Article 501a)
• Types of derivatives - Capital Requirements Regulation (EU) No 575/2013 (Annex II) 

UK technical standards

• Transitional treatment of equity exposures under the IRB approach - Commission Delegated Regulation (EU) No 2015/1556, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex N)
• Assessing the materiality of extensions and changes of the Internal Ratings Based Approach and the advanced measurement Approach - Commission Delegated Regulation(EU) No 529/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex I).
• Benchmarking portfolio assessment standards and assessment-sharing procedures - Commission Delegated Regulation (EU) 2017/180, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex E).
• Materiality threshold for credit obligations past due - Commission Delegated Regulation (EU) 2018/171, amended by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex O)
• Conditions for data waiver permissions - Commission Delegated Regulation (EU) 2017/72, as amended, including by the Technical Standards  (Capital Requirements) (EU Exit) (No.3) Instrument 2019
• Specification of the nature, severity and duration of an economic downturn - Technical Standards (Economic Downturn) Instrument 2021 
• Calculation of specific and general credit risk adjustments - Commission Delegated Regulation (EU) No 183/2014, as amended, including by the Technical Standards (Capital Requirements) No.3 Instrument 2019

Supervisory Statements

• Credit risk: internal ratings based approaches (SS11/13)
• Underwriting standards for buy-to-let mortgage contracts (SS13/16)