This chapter sets out the standardised approach for credit risk as it applies to individual claims.

Version effective as of 01 Jan 2028

Changes due to the December 2017 Basel III publication and the revised implementation date announced on 27 March 2020. Cross references to the securitisation chapters updated to include a reference to the chapter on NPL securitisations (CRE45) published on 26 November 2020. Updated to incorporate the FAQs on climate related financial risks published on 8 December 2022 and the technical amendment published on 27 November 2024.

This chapter sets out the standardised approach for credit risk as it applies to individual claims.

This document has been generated on 13/12/2024 based on the Basel Framework data available on the BIS website (www.bis.org).

Introduction

20.1 Banks can choose between two broad methodologies for calculating their risk- based capital requirements for credit risk. The first is the standardised approach, which is set out in chapters CRE20 to CRE22:

(1) The standardised approach assigns standardised risk weights to exposures as described in this chapter, CRE20. Risk weighted assets are calculated as the product of the standardised risk weights and the exposure amount. Exposures should be risk-weighted net of specific provisions (including partial write-offs).