Regulatory Alerts2026-07-27
Added · Updated
BPR130 Credit Risk RWAs - 1 October 2026
This document establishes the framework for calculating total risk-weighted assets (RWAs) for credit risk, applying to both standardised and Internal Ratings-Based (IRB) registered banks. It mandates that IRB banks use the standardised approach for non-modelled exposure classes and calculate standardised equivalent RWAs for modelled exposures. The text specifies distinct calculation methodologies, scalars, and floors effective from 1 January 2022 and 1 October 2022 to ensure compliance with minimum regulatory capital requirements.