EBA publishes lists for the calculation of capital requirements for credit risk

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.

Legal basis

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.

Lists for 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 EU regional governments and local authorities treated as exposures to central governments under Article 115(2) of Regulation (EU) 575/2013

• List of changes to risk weights or stricter criteria for exposures secured by immovable property (Article 124 CRR)

  List of changes to risk weights or stricter criteria for exposures secured by immovable property in accordance with Article 124(2) of the Regulation (EU) 575/2013

• List of changes to minimum LGD for retail exposures secured by residential or commercial immovable property (Article 164 CRR)

   

  List of changes to minimum LGD for retail exposures secured by residential or commercial immovable property in accordance with Article 164(5) of Regulation (EU) 575/2013

• List of exposures referred to in Article 150(1)(g) and (h) to be treated according to Standardised Approach (Article 150 CRR)

   

  List of exposures referred to in Article 150(1)(g) and (h) to be treated according to Standardised Approach in accordance with Article 150(1) the Regulation (EU) 575/2013

   
• List of types of physical collateral for which institutions can assume that the conditions referred to in points (a) and (b) of paragraph 6 of Article 199 CRR are met (Article 199(8) CRR): 

   

   ‘Currently, there are no types of physical collateral for which institutions can automatically assume that the conditions referred to in points (a) and (b) of Article 199(6) CRR can be met. Instead, institutions shall document the fulfilment of these conditions, in accordance with the second subparagraph of Article 199(6) CRR'