| RWA |
Risk-Weighted Assets — credit exposures multiplied by risk weights to determine capital requirements |
| CRR |
Capital Requirements Regulation (EU 575/2013 as onshored into UK law) — current Basel 3.0 implementation |
| Basel 3.1 |
BCBS finalisation of Basel III reforms, implemented in UK via PRA PS1/26, effective 1 Jan 2027 |
| SA |
Standardised Approach — risk weights assigned by exposure class and external rating |
| F-IRB |
Foundation Internal Ratings-Based — firm provides PD, regulator sets LGD/CCF |
| A-IRB |
Advanced Internal Ratings-Based — firm provides PD, LGD, EAD, CCF |
| Slotting |
Specialised lending approach — risk weights by supervisory category (Strong/Good/Satisfactory/Weak/Default) |
| CRM |
Credit Risk Mitigation — collateral, guarantees, and provisions that reduce capital requirements |
| EAD |
Exposure at Default — estimated exposure amount at the time of default |
| PD |
Probability of Default — estimated likelihood of obligor default within one year |
| LGD |
Loss Given Default — estimated loss as percentage of EAD if default occurs |
| CCF |
Credit Conversion Factor — converts off-balance sheet amounts to on-balance sheet equivalents |
| CQS |
Credit Quality Step — standardised rating scale (1=AAA/AA, 2=A, 3=BBB, etc.) |
| Output Floor |
Basel 3.1 minimum: IRB RWA must be at least X% of SA-equivalent RWA |
| PRA |
Prudential Regulation Authority — UK banking regulator |
| BCBS |
Basel Committee on Banking Supervision — global standard setter |
| SME |
Small and Medium Enterprise — turnover < EUR 50m, eligible for supporting factor |