Credit Risk - Standardised 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)
• Credit Risk
• Waivers Transitional Provisions (schedule 2, 16) 
• Disclosure (CRR) 
• Reporting (CRR)
• Credit Risk: Standardised Approach (CRR)

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, and by the amendments in the Technical Standards (Credit Quality Steps mapping) Instrument 2025 
• 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)