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Version date: 27 March 2020 - onwards
Version 2 of 2

CRE99 Application guidance (paras. 99.1-99.133) (effective as of 1 January 2023)

Version effective as of 01 Jan 2023

Updated cross references and illustrative examples 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.

Introduction

99.1 The guidance set out in this chapter relates to the chapters of the credit risk standard (CRE). This chapter includes the following:

(1) Illustrative risk weights calculated under the internal ratings-based (IRB) approach to credit risk (CRE99.2 to CRE99.3).

(2) Illustrative examples for recognition of dilution risk when applying the Securitisation Internal Ratings-Based Approach (SEC-IRBA) to securitisation exposures (CRE99.4 to CRE99.19).

(3) Illustrative examples of the application of the standardised approach to counterparty credit risk (SA-CCR) to sample portfolios (CRE99.20 to CRE99.97).

(4) Illustrative examples on the effect of margin agreements on the SA-CCR formulation (CRE99.98 to CRE99.115)

(5) Equity investments in funds: illustrative example of the calculation of riskweighted assets (RWA) under the look-through approach (LTA) CRE99.116 to CRE99.120).