Skip to content

Regulatory References

This page provides links to key regulatory documents and resources.

UK Regulations

PRA Rulebook

Document Description Link
CRR Firms PRA rules for CRR-regulated firms prarulebook.co.uk

UK CRR

Document Description Link
EU 575/2013 (Onshored) Capital Requirements Regulation legislation.gov.uk

Basel 3.1 Implementation

Document Description Link
PRA PS1/26 Basel 3.1 Final Rules bankofengland.co.uk
PRA CP16/22 (superseded) Basel 3.1 Consultation Paper bankofengland.co.uk

Basel Committee Standards

Basel Framework

Standard Description Link
CRE Credit Risk Standards bis.org/CRE
CRE20 Standardised Approach bis.org/CRE20
CRE21 Standardised - Risk Weights bis.org/CRE21
CRE22 Credit Risk Mitigation bis.org/CRE22
CRE30 IRB Overview bis.org/CRE30
CRE31 IRB Risk Weights bis.org/CRE31
CRE32 IRB Risk Components bis.org/CRE32
CRE33 Specialised Lending bis.org/CRE33
CRE99 Output Floor bis.org/CRE99

Key CRR Articles

Exposure Classes

Article Topic
Art. 112 Exposure class definitions
Art. 114 Sovereign exposures
Art. 115 Regional governments
Art. 117 MDB exposures
Art. 119-121 Institution exposures
Art. 122 Corporate exposures
Art. 123 Retail exposures
Art. 124-125 Real estate exposures
Art. 127 Defaulted exposures
Art. 128 High risk items
Art. 129 Covered bonds
Art. 133 Equity exposures

Risk Weights and CCF

Article Topic
Art. 111 Credit conversion factors
Art. 113-134 Risk weight assignment

IRB Approach

Article Topic
Art. 142-150 IRB overview
Art. 153 K formula and risk weights
Art. 154 Retail IRB
Art. 161 Supervisory LGD
Art. 162 Maturity
Art. 178-180 PD estimation
Art. 181 LGD estimation

Credit Risk Mitigation

Article Topic
Art. 192-194 CRM overview
Art. 197-200 Financial collateral
Art. 213-216 Guarantees
Art. 224-227 Haircuts
Art. 238-239 Maturity mismatch

Supporting Factors

Article Topic
Art. 501 SME supporting factor
Art. 501a Infrastructure factor

Reference Documents (Project)

The ref_docs/ directory contains PDF copies of key regulatory documents:

File Document
ps126app1.pdf PRA PS1/26 Appendix 1 (Regulations)
ps126app17.pdf PRA PS1/26 Appendix 17 (Template Guidance)
bcbs_cre.pdf BCBS CRE Standards
uk_crr.pdf UK CRR Extract

Rating Agency Mappings

CQS to External Ratings

CQS S&P Moody's Fitch
1 AAA to AA- Aaa to Aa3 AAA to AA-
2 A+ to A- A1 to A3 A+ to A-
3 BBB+ to BBB- Baa1 to Baa3 BBB+ to BBB-
4 BB+ to BB- Ba1 to Ba3 BB+ to BB-
5 B+ to B- B1 to B3 B+ to B-
6 CCC+ and below Caa1 and below CCC+ and below

Additional Resources

Industry Guidance

Source Description
UK Finance Industry body guidance
ISDA Derivatives documentation
LMA Loan market standards

Academic References

Topic Key Papers
IRB Formula Vasicek (1987), Gordy (2003)
Correlation Lopez (2004)
LGD Estimation Schuermann (2004)