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Q&As refer to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Treatment of failed SRT under Traditional Securitisation

In case the significant credit risk cannot be considered to have been transferred according to 244 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017/2401, but the exposures had been already derecognised from the bank's balance sheet, shall the bank continue to calculate the RWA for the securitised exposures as if they were never securitised? Does it mean that no RWA will be calculated for the securitisation position?  Additionally, if the exposures have been securitised against cash, and the cash invested in new loan, would RWA be calculated for these new loans

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4207
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/07/2019

Aggregated first loss under credit insurance

Is the requirement in Article 213(1)(b) CRR met in case of a credit insurance whose contractual terms provide that the institution shall bear a first loss, which is calculated at aggregate level with regard to several different exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4184
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/02/2021

PD Calibration Sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a Through-the-Cycle (TTC) model, under which conditions it is mandatory to adopt the current portfolio or a multi-year snapshots as calibration sample? And consequently should the calibration testing in validation phase verify the alignment between the Central Tendency and the PD estimations on recent portfolio snapshot or multiyear sample?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2018_4159
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure treatment for trades with Specific Wrong-Way risk

In the Q&A 2016_2590, EBA indicates that "Article 291 CRR only applies to the internal model method (IMM) for CCR. It has to be noted that for these kind of trades, special exposure treatment is required according to Article 291(5)(b)-(f) CRR". However, last paragraph of article 273 of CRR indicate that "For the methods set out in Sections 3 to 6, institutions shall treat transactions where specific wrong way risk has been identified in accordance with Article 291(2), (4), (5) and (6) as appropriate". It seems, consequently, that article 291 of CRR (included article 291 (5) (b) - (f)) should also be applied to Mark-to market method (section 3), to Original exposure method (section 4) and to Standardized method (section 5). Could you please confirm ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4020
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Retail Classification

Retail classification if an obligor has exposure under both the STA and IRB approach. This question is relevant for banks that are partially using the SA and partially using the IRB approach and where the use of the different methods is on the basis of the product type i.e. mortgages are under IRB, other Retail loans under SA. Article 123 allows for the exclusion of exposures fully and completely secured on residential property that have been assigned to the exposure class laid down in point (i) of Article 112 (exposures secured by mortgages on immovable property) when calculating the total amount owed the institution.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4012
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/10/2020

Look-through approach resulting in a credit risk position of own institution

When applying the look-through approach of Article 132(4) CRR, what risk weight shall an institution apply to a position that is based against its own institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3949
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Classification of a commitment to make under certain conditions an indemnity payment for a customer

Does a commitment to make under certain conditions an indemnity payment on behalf of a customer constitute an “off-balance sheet item other than those mentioned in (Article 166) paragraphs 1 to 8” according to Article 166(10) CRR?If so, does it constitute a medium/ low risk item according to Article 166(10)(c) CRR, specifically as one of the “other items also carrying medium/low risk and as communicated to EBA” according to Annex I, No. 3(b)(ii) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3918
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/05/2021

Asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies

For the purpose of the credit risk standard risk-weight attribution, can we consider that 1) an asset denominated in one currency and funded in a different currency subject to a FX Swap exchanging those two currencies is equivalent to 2) an asset denominated and funded in the same currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3832
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 19/07/2019

Applicable treatment of fair value changes for the identification of the applicable RW to exposures in default under the Standardised Approach

In the application of Article 127 CRR, should the credit risk adjustments embedded in the fair value be considered in the calculation of the percentage of the unsecured part of the exposure value represented by credit risk adjustments?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2018_3785
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposures to unrated institutions

How should exposures to unrated institutions be treated under Article 121 CRR in the cases where these institutions are located in a Member State or in a third country that does apply supervisory and regulatory arrangements at least equivalent to those applied in the Union and the exposures to the central government and central bank denominated and funded in domestic currency are assigned a risk weight according to Articles 114(4) to (7)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3765
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/03/2019

Risk weighted assets calculation under Article 119(2) of the CRR

What would be the applicable risk weight according to Article 119 (2) of Regulation (EU) No 575/2013 (CRR), to an exposure in the scope of Article 114(6)(a) CRR? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2018_3753
  • Topic: Credit risk
  • Date of submission:

Definition of 'explicit guarantee arrangements' for the purpose of classification of non-commercial undertakings as public sector entities

What conditions should be met by a given agreement in order to qualify as an 'explicit guarantee arrangement'?Shall the ‘explicit guarantee arrangements’ for the purpose of definition of public sector entities also be ‘guarantees’ eligible as unfunded credit protection or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3694
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Classification of direct reductions in the accounting value as credit risk adjustments

For the calculation of the exposure value in accordance to Article 166(1) CRR, shall the accounting value of credit exposures on the banking book (measured at FVTPL in accordance with IFRS 9) be increased by the amount of fair value adjustments?For the purposes of the treatment of expected loss amounts in accordance to Article 159 CRR, shall the credit risk related adjustments embedded in the fair value of the banking book exposures be considered as credit risk adjustments or other own funds reductions related to these exposures? How does this interact with the calculation of exposure value in accordance with Article 166(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2018_3662
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Scope of conversion factor estimation and application

Are positions with drawn amount without an underlying credit line (i.e. overdraft without credit line) within the scope of credit conversion factor estimation as per Article 166(8) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3650
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/07/2020

Credit Risk on Gold Bullion

Under Article 134(4) CRR, what would the risk weight be if gold bullion is held on our behalf by other institutions and where such investment is not backed by gold bullion liabilities?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3649
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/12/2018

Interpretation of the term “commercial immovable property” especially “other commercial premises” for the application of the preferential risk weights for the risk weight assets purposes according to the Article 126 of the CRR.

What is the definition of “other commercial premises” as commercial immovable property in Article 126 CRR for the purposes of application of preferential risk weights for the risk weight assets purposes, if all other conditions stipulated in the CRR are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3615
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Eligibility of Sovereign Guarantee for which Permanent Partial Use Applies against IRB Exposure

When an institution has received permission for permanent partial use of the Standardised Approach for its home sovereign exposures under Article 150 (d) CRR2, does this violate the stipulation under Article 201(2) CRR2 that a guarantor must be internally rated by the institution where the institution uses the IRB Approach?If it is an eligible guarantee, should the guaranteed portion be risk weighted as a Standardised exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3581
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Timely payment requirement for unfunded credit protection provided under credit risk insurance policies

Does unfunded credit protection - which a bank has purchased in order to hedge a loan exposure and which provides the protection-seller with the contractual right to compensate credit losses according to the original scheduled payment dates of the hedged loan - fulfil the timely payment requirement for unfunded credit protection in a situation where the loan becomes due and payable prior to the original scheduled payment dates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3576
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/07/2019

10 % LGD floor for retail exposures secured by residential property

How should an institution, which uses the IRB approach calculate the 10 % LGD floor mentioned in Article 164(4) CRR in the case where a part of the individual exposures are guaranteed by a guarantor (institution) which is treated under the Standardised Approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3554
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/08/2020

Exposures to regional governments, local authorities or public sector entities which are treated as exposures to central governments under Articles 115 and 116 CRR

Please clarify how Article 115(2) CRR shall be applied in case regional governments and local authorities are treated under the SA by application of Article 150 CRR and central governments are treated under the IRB Approach. 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3517
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/03/2019