This chapter describes disclosure requirements for credit risk.

Version effective as of 01 Jan 2023

Updated to include additional disclosure requirements related to the prudential treatment of problem assets (Table CRB-A), updated cross references and other changes to take account of changes in the credit risk standard in the December 2017 Basel III publication. Reflects revised implementation date announced on 27 March 2020.

Introduction

40.1 The scope of DIS40 includes items subject to risk-weighted assets (RWA) for credit risk as defined in RBC20.6(1), ie excluding:

(1) all positions subject to the securitisation regulatory framework, including those that are included in the banking book for regulatory purposes, which are reported in DIS43.

(2) capital requirements relating to counterparty credit risk, which are reported in DIS42.

40.2 The disclosure requirements under this section are:

General information about credit risk:

(1) Table CRA General qualitative information about credit risk

(2) Template CR1 Credit quality of assets

(3) Template CR2 Changes in stock of defaulted loans and debt securities

(4) Table CRB Additional disclosure related to the credit quality of assets