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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

Calculation of the number of obligors

In EBA/GL/2017/16 paragraph 73 it is explained that in the calculation of the one-year default rates the number of obligors is used. Is it always mandatory to count one legal entity as one obligor, or can a group of legal entities for which there is no difference in risk due to an appropriate guarantee (i.e. those will default together) be counted as one obligor?

  • 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: 2019_4599
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Scope of application of EBA guidelines on loan origination and monitoring

Are sections 4, 5 and 8 of the EBA guidelines on loan origination and monitoring not applicable to agreements referred to in Article 2(2)( h) of Directive 2008/48/EU, while all other parts of the guidelines are still applicable to those agreements?   

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2021_6130
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/01/2022

Maturity calculation under IRB for exposures that only have contractual cashflows in the form of fees

Does Article 162(2)(a) of Regulation (EU) No 575/2013 (CRR) apply to exposures for which cash flow schedules contractually payable by the obligor are only fee-related (e.g., as in the case of guarantees)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5773
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Treatment of cured defaulted exposures

For the treatment of cured defaulted exposures, a probation period of 90 days with no default triggers must apply before the exposure is moved back to a non-defaulted status. According to Article 178(1)(b CRR) default shall be considered to have occurred with regard to a particular obligor when the obligor is more than 90 days past due on any material credit obligation. However, if the material arrears fall below the thresholds, the arrears counter will reset to 0. Should the probation period of 90 days with no default triggers apply before the exposure is moved back to a non-defaulted status?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2021_5754
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Look-through application under IRB approach

When an institution applies the look-through approach to units or shares of Collective Investment Undertaking (CIU) under the IRB approach and where the institution is allowed to use IRB advanced approach for the underlying credit exposures of the CIU in accordance with Article 148 CRR, can the institution still use the standard approach for those underlying exposures of which obligors are not internally rated and/or for which the information required for own LGD estimation are not available to the institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5712
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Calculation of the collateral value of immovable property considering minimum level of over-collateralisation ratio

Should the haircut due to minimum level of over-collateralisation be reflected in the calculation of collateral value with or without the deducted prior claims? Besides market value or mortgage lending value is there any other value that could be considered for the calculation purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5685
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Treatment of third country covered bonds under IRB Approach

Which LGD should be applied for third country covered bonds (issued under a dedicated legal framework) which are not eligible for the same LGD as UCITS 52(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5522
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Use of the “maturity of the tranche” (MT) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments for securitisation positions under Table 1 of Article 224(1) CRR.

Where collateral takes the form of securitisation positions meeting the criteria in Article 197(1)(h) CRR, can the institution use the “weighted average maturity” (WAM) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments set out in Table 1 of Article 224(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5211
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Use of short-term credit assessments with Article 120(2) CRR

May short-term issuer or issue ratings be used to assign risk weights in the general preferential treatment for short term exposures of article 120(2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4942
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Leasing - Contagion du défaut aux paiements minimaux - Default contagion for minimum payments

En méthode standard, dans le cadre de contrat de crédit-bail mobilier (leasing véhicule), si plus de trois mois de loyers sont impayés, le déclassement "en défaut" doit-il s'appliquer à ces seuls loyers échus impayés ou une contagion du défaut doit-elle impérativement s'appliquer à l'ensemble des loyers prévisionnels non encore échus (paiements minimaux prévus au contrat de crédit-bail : cf. article 134-7 CRR) ? Under the standardised method, in the context of equipment leasing (vehicle lease), if more than three months of the lease are unpaid, must the default definition be applied to these due and unpaid payments of the lease only, or is it essential that a default contagion be applied to all projected lease payments which are not yet due (minimum payments provided for in the lease: see Article 134(7) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5357
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/10/2021

Partially collateralised loans: CCF - collateral simple method approach

How is the RWA is calculated for the undrawn amount of a partially collateralised loan?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4986
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/09/2021

Risk weight for the credit risk of third countries with supervisory and regulatory arrangements at least equivalent to those applied in the Union according to Article 114(7) CRR

If an institution has an exposure to a third country which has supervisory and regulatory arrangements at least equivalent to those applied in the Union (such as Turkey) but do not have fully corresponding liabilities denominated in that currency to cover the entire exposure, what risk weight for the credit risk should assigned to the exposure of this country?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5294
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/09/2021

Allocation of direct costs associated with the realisation of funded credit protection in case of partial coverage of an exposure by unfunded credit protection

Does paragraph 38(c) of the EBA/GL/2020/05 require the allocation of direct costs associated with the realisation of the funded credit protection to the part of the exposure that is covered by the funded credit protection?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/05 - Guidelines on credit risk mitigation for institutions applying the IRB approach with own estimates of LGDs
  • ID: 2021_5677
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/09/2021

Application of national decisions pursuant to Article 124(2) CRR

Is it mandatory pursuant to Article 124(5) CRR for an institution in another member state to apply national decisions, which purport to be released pursuant to Article 124(2) CRR, but are not published on the EBA website under Rules and Guidance?Furthermore, if such national decisions are not published under Rules and Guidance, but e.g. under Options and national discretions only, is it mandatory that institutions from other member states apply such decision pursuant to Article 124(5) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4600
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/09/2021

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

Applicability of Look through Approach to SPV (Article 132 CRR)

May the look-through approach be applied for exposures in Notes issued by a special purpose vehicle, with no tranches, - which is unclear whether it qualifies as an undertaking for collective investment according to the applicable national law -, where the paid out of the each Note are the net proceeds of the loan receivables portfolio allocated to such Note (provided the additional requirements set for the look through approach are duly met)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4502
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Soglia di materialità - Calendar Provisioning - Matheriality threshold - Calendar provisioning

In merito al tema del “Calendar Provisioning” la soglia del 20% stabilita dall’Articolo 47a(3) del Regolamento (EU) No 575/2013 come modificato dal Regolamento 2019/630, sostituisce la soglia di contagio per singolo debitore del 5% attualmente in vigore (e che il 1° gennaio 2021 diventerà dell’1%, vedi Regolamento Delegato (UE) 2018/171)? O si riferisce invece ad altri aspetti? With regard to the subject of ‘calendar provisioning’ is the 20% threshold set in Article 47a(3) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 to be considered to replace the contagion threshold for individual debtors of 5% currently in force (and which will become 1% on 1 January 2021 – see Delegated Regulation (EU) 2018/171)? Or does it refer to other aspects?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2020_5528
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Obligor level

When applying the default at obligor level for retail, should a credit institution always consider a specific set of individual obligors that have a joint obligation towards an institution as a different obligor (the unit of default takes into consideration the JCO)? Or is this to be applied only for the materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5380
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

RWA formula for defaulted exposures where institutions use own estimates of LGDs

At which level should the flooring in the RWA formula for defaulted exposures (Articles 153(1)(ii) and 154(1)(i) of CRR2) be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5331
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Treatment of loans for LBO financing according to the GLs on high risk items

How should loans which constitute leveraged buyout (LBO) financing be treated according to the Guidelines on  specification of types of exposures to be associated with high risk? Should information, that a loan is collateralised by shares in an unlisted company, have decisive impact on its treatment as potentially being "debt exposure with economic substance similar to non-debt exposure" according to the paragraph 2 of section 4.1 of the Guidelines? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2019_4952
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021