This chapter sets out the various transitional arrangements that apply to the credit risk standard.

This is a future version
Effective as of: 01 Jan 2022 | Last update: 15 Dec 2019
Status: Forthcoming (View changes)

Phase-in for standardised approach treatment of equity exposures

90.1

The risk weight treatment described in CRE20.57, excluding equity holdings referred to in CRE20.59, will be subject to a five-year linear phase-in arrangement from 1 January 2022. For speculative unlisted equity exposures, the applicable risk weight will start at 100% and increase by 60 percentage points at the end of each year until the end of Year 5. For all other equity holdings, the applicable risk weight will start at 100% and increase by 30 percentage points at the end of each year until the end of Year 5.

Phase-in for the removal of the internal ratings-based approach for equity exposures

90.2

The requirement to use the standardised approach for equity exposures CRE30.43 will be subject to a five-year linear phase-in arrangement from 1 January 2022. During the phase-in period, the risk weight for equity exposures will be the greater of:

(1)

the risk weight as calculated using the internal ratings-based approach that applied to equity exposures prior to 1 January 2022; and

(2)

the risk weight set for the linear phase-in arrangement under the standardised approach for credit risk (see CRE90.1 above).

90.3

Alternatively, supervisory authorities may require banks to apply the fully phased-in standardised approach treatment from 1 January 2022.