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)

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)