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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 guaranteed export financing transactions under Standardised Approach

Under the Standardised Approach for credit risk, can institutions apply a 0% risk weight to the guaranteed part of export financing transactions if (i) the loan is denominated and funded in the domestic currency of the central government acting as guarantor and (ii) the guarantee is also denominated in this currency while the domestic currency of the borrower is different?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5760
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

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

Supervisory delta for commodities with negative prices

Article 279a (1), (a) of the CRR establishes the formula to be used for calculating the supervisory delta of options mapped to all risk categories except for the interest rate category. Can such formula be made compatible with market conditions in which commodities may have negative prices?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5747
  • Topic: Credit risk
  • Date of submission:

Aggregation of separate client exposures for a transaction with underlying credit risk exposure

Is it necessary to group and aggregate all separate client exposures from a single transaction with underlying credit risk to one exposure and, as such, treat this aggregated separate client as a single client exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2021_5746
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5738
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Treatment of expected credit losses (ECL) of financial instruments accounted for under fair value through other comprehensive income (FVOCI)

For debt instruments that are measured at FVOCI under IFRS 9: 1. Do ECL impairments qualify as specific credit risk adjustments? 2. Is the original exposure pre-conversion for the FVOCI debt instrument equal to the carrying value?

  • 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: 2021_5735
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

AVC

Is AVC intended to apply to Multilateral Development Banks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

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

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

Definition of “prudential regulation in the Union” in Article 142(1)(4)(b)

Can insurance and re-insurance undertakings located in the EU be considered as non-prudentially regulated and therefore as non-eligible to the definition of large financial sector entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5666
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Treatment of non-performing exposures underlying a CIU

Could you clarify if non-performing exposures underlying a CIU should be subject to deductions in accordance with point (m) of Article 36(1) of CRR when using the look-through approach in accordance with Article 132a(1) of CRR or the mandate based approach in accordance with Article 132a(2) of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5629
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Use of UTP triggers when default definition is on facility level

If an obligor has a mortgage loan and other loans (like credit card, private loan, business loans etc.) where definition of default is on the facility level, and the institution has certain obligor level triggers (bankruptcy, death, divorce etc.) and the obligor defaults on his mortgage (due to an obligor level trigger), should there be an automatic cross default on the other loans as well. If the opposite happens, i.e. the obligor defaults on one of the other loans (also due to an obligor level trigger) should the mortgage be defaulted as well?

  • 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_5592
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Unterstützungsfaktor für Infrastrukturprojekte - Supporting factor for infrastructure projects

Darf ein Institut den KMU-Unterstützungsfaktor und gleichzeitig den Unterstützungsfaktor für Infrastrukturprojekte anwenden? Is an institution allowed to apply the supporting factor for SMEs and the supporting factor for infrastructure projects simultaneously?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5551
  • Topic: Credit risk
  • Date of submission:

Treatment of cash on Nostro accounts – i.e., Bank’s cash held by a third party institution acting as a service provider for payment and settlement purposes

Do exposures related to cash on Nostro / correspondent bank accounts (i.e., Bank’s cash held by a third party institution acting as a service provider for payment and settlement purposes) qualify for a 0% risk weight (equivalent to cash and cash balances at central banks) in both Standardized and IRB approach according to articles 134(3) and 156 (a), respectively?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5550
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

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

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

Determination of a default risk-free discount factor

From what interest rates does an institution have to derive a default risk-free discount factor as referred to in Article 132c (2) CRR, as amended by Regulation (EU) 2019/876 – CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5515
  • Topic: Credit risk
  • Date of submission:

Formula to be applied in case of a switch from multiple netting sets to a single netting set

Which formula shall or may be applied in case of a switch from multiple netting sets to a single netting set? Is it allowed to continue application of Formula 3 on single netting sets, - if the single netting set is covered by a margin agreement, which allows coverage for multiple netting sets? - If the singularity of the netting set is just temporary, eg due to the fact that further transactions have been closed or not yet opened?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5482
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022