Credit Risk Standardised Approach Article 111 to 141 of the Capital Requirements Regulation

Under the Credit Risk Standardised Approach (CRSA) regulated by Part 2 Chapter 3 of the Solvency Regulation, the risk positions are assigned to supervisory asset classes (eg corporates, retail business) and (as a general rule) the appropriate risk weights are calculated based on external ratings. In addition, for credit assessments of central governments, institutions may also use the country classifications of export credit insurance agencies instead of external ratings.

External ratings may be used only if they are provided by prudentially recognised external credit assessment institutions (ECAIs). Depending on their external credit assessment, risk exposures that have to be assigned to certain asset classes are given one of the following risk weights: 0%, 10%, 20%, 50%, 100%, 150%, 350% and 1,250%. Notwithstanding the general coupling of risk weights to issue or issuer credit ratings, the risk weight for claims on banks depends on the external rating of the country of domicile. Because relatively few small and medium-sized institutions in Germany have an external rating, a corresponding option in the Banking Directive is exercised in national implementation. By contrast, unrated exposures or certain loans, such as retail or mortgage loans, will continue to be assigned a fixed weight.