Regulatory Alerts2026-07-27
Added · Updated
BPR131 Standardised Credit Risk RWAs - 1 October 2026
This document establishes the standardised approach for calculating risk-weighted assets (RWAs) for credit risk, requiring banks to apply specific methodologies for on- and off-balance sheet exposures, counterparty credit risk, and credit valuation adjustment charges. It mandates the use of solicited credit ratings from approved agencies to determine standardised rating grades and assigns corresponding risk weights to various exposure classes, including sovereigns, banks, corporates, and residential mortgage loans. The rules apply to all registered banks, including those using the internal-ratings based approach for specific exposures, to ensure accurate determination of regulatory capital ratios and compliance with minimum capital requirements.