This chapter covers disclosures on RWA calculated according to the full standardised approach as compared to the actual RWA at the risk level, and for credit risk at asset class and sub-asset class levels.

Version effective as of 01 Jan 2023

First version in the format of the consolidated framework, updated to take account of new implementation date as announced on 27 March 2020. Also, cross references to the securitisation chapters updated to include a reference to the chapter on NPL securitisations (CRE45) published on 26 November 2020.

Introduction

21.1 The disclosure requirements under this section are:

(1) Template CMS1 - Comparison of modelled and standardised RWA at risk level

(2) Template CMS2 - Comparison of modelled and standardised RWA for credit risk at asset class level

21.2 Template CMS1 provides the disclosure of RWA calculated according to the full standardised approach as compared to actual RWA at risk level. Template CMS2 further elaborates on the comparison between RWA computed under the standardised and the internally modelled approaches by focusing on RWA for credit risk at asset class and sub-asset class levels.

Template CMS1 - Comparison of modelled and standardised RWA at risk level