This chapter describes how to calculate risk-weighted assets for counterparty credit risk exposures in the trading book, which is treated separately from the capital requirements for market risk.

Version effective as of 01 Jan 2023

Cross references updated and references to own estimates of haircuts deleted to take account of the revised credit risk standards that come into effect due to the December 2017 Basel III publication and the revised implementation date announced on 27 March 2020.

55.1 Banks must calculate the counterparty credit risk charge for over-the-counter (OTC) derivatives, repo-style and other transactions booked in the trading book, separate from the capital requirement for market risk. [The treatment for unsettled foreign exchange and securities trades is set forth in CRE70.] The risk weights to be used in this calculation must be consistent with those used for calculating the capital requirements in the banking book. Thus, banks using the standardised approach in the banking book will use the standardised approach risk weights in the trading book and banks using the internal ratings-based (IRB) approach in the banking book will use the IRB risk weights in the trading book in a manner consistent with the IRB roll-out situation in the banking book as described in CRE30.45 to CRE30.52. For counterparties included in portfolios where the IRB approach is being used the IRB risk weights will have to be applied.