02 July 2014
The European Banking Authority (EBA) published today a series of lists in the field of credit risk, in accordance with the EU Capital Requirements Regulation (CRR). These lists will assist EU institutions in the determination of their capital requirements for credit risk.
The lists published by the European Banking Authority (EBA) cover the treatment of exposures to EU regional authorities, changes to capital requirements for exposures secured by immovable property, the treatment of equity exposures by banks using the Internal Ratings-Based approach (IRB), and the eligibility of physical collateral.
The list of EU regional authorities includes the regional governments and local authorities which are treated as central governments due to their reduced risk level. Exposures to these institutions qualify for the 0% risk weight if they are denominated and funded in the domestic currency, in line with the treatment of exposures to central governments.
The list of changes to the capital requirements for exposures secured by immovable property details the stricter criteria imposed to this type of exposures to qualify for the preferential treatment. These stricter criteria should contribute to mitigating any financial stability concern in a Member State that may arise as a consequence of the evolution of its real estate market.
The list of equities reflects those exposures that, due to their low level of risk or their importance for specific economy sectors, can be treated under the standardised approach by banks that are meant to use the IRB approach.
Finally, the list of physical collateral reflects those assets for which EU institutions can assume that some of the requirements are met before it is used to reduce the capital requirement calculated under the IRB framework.
The lists have been developed on the basis of Regulation 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (Capital Requirements Regulation - CRR). Articles 115, 124, 150, 164 and 199 of the CRR mandate the EBA to publish several lists relevant to the calculation of capital requirements for credit risk.
List of EU regional governments and local authorities treated as exposures to central governments (Article 115 CRR)
List of changes to risk weights or stricter criteria for exposures secured by immovable property (Article 124 CRR)