Credit risk
Credit risk focuses on the development of BTS, Guidelines and Reports regarding the calculation of capital requirements under the Standardised Approach and IRB Approach for credit risk and dilution risk in respect of all the business activities of an institution, excluding the trading book business. The objective is to provide a consistent implementation across the EU of the provisions related to topics such as credit risk adjustments, definition of default, permission to use Standardised/IRB approach, appropriateness of risk weights or credit risk mitigation techniques.
Technical Standards, Guidelines & Recommendations
Technical standards
Regulatory technical standards on the permanent and temporary use of IRB approach
These Regulatory technical standards (RTS) specify the conditions for the permanent and temporary uses of the Standardised Approach (SA) by institutions that have received permission to use the IRB Approach (the so-called IRB institutions). These RTS will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union.
Regulatory Technical Standards on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)
These Regulatory Technical Standards (RTS) are to be developed by the Joint Committee of the European Supervisory Authorities (ESAs) will define the risk mitigation techniques to be put in place for OTC derivatives not cleared by a central counterparty (CCP). In particular, it will elaborate on the level of capital and collateral counterparties to derivatives transactions need to maintain, the type of collateral and segregation arrangements as well as on the procedures to apply an intragroup exemption.
Guidelines
Opinions, Reports and other Publications
Opinions
EBA Opinion on RTS on IRB assessment Methodology.pdf
Opinion on RTS on IRB assessment methodology
EBA BS 2017 17 (Opinion on the use of 180 DPD).pdf
EBA BS 2017 17 (Opinion on the use of 180 DPD)
EBA Op 2017 17 (Annex to the EBA Opinion on 180 DPD).pdf
EBA Op 2017 17 (Annex to the EBA Opinion on 180 DPD)
EBA-Op-2016-04 Report on SMEs and SME supporting factor.pdf
Report on SMEs and SME supporting factor (EBA-Op-2016-04)
EBA-Op-2016-01 Opinion on IRB implementation.pdf
EBA-Op-2016-01 Opinion on IRB implementation
EBA-Op-2015-17 Opinion on mortgage lending value.pdf
EBA-Op-2015-17 Opinion on mortgage lending value
EBA-Op-2015-04 Technical Advice on benchmarking pursuant to Art 78(9).pdf
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)
EBA-Op-2015-02 (EBA Opinion on CVA risk).pdf
EBA-Op-2015-02 (EBA Opinion on CVA risk)
Reports
EBA Report results from the 2022 Credit Risk Benchmarking Exercise.pdf
Report results from the 2022 credit risk benchmarking exercise
2022 Credit Risk Benchmarking - Chart Pack.pdf
Credit risk benchmarking - chart pack
Closure Report of COVID-19 measures.pdf
Closure Report of COVID-19 measures
Report on the application of the Infrastructure Supporting Factor.pdf
Report on the application of the Infrastructure Supporting Factor
Peer Review Report on NPE management.pdf
Report on the peer review on supervision of NPE management
EBA Report on the 2021 Credit Risk Benchmarking Exercise.pdf
Report on the 2021 Credit Risk Benchmarking Exercise
Annex (Chart pack to EBA report on the 2021 Credit risk Benchmarking).pdf
Annex - chart pack to EBA Report on the 2021 Credit Risk Benchmarking Exercise
Other publications
Discussion paper on role of ESG risks in prudential framework.pdf
Discussion paper on the role of environmental risks in the prudential framework
EBA_INFSF.xlsx
Survey on the application of the infrastructure supporting factor
20131217 Report on the pro-cyclicality of capital requirements under the IRB Approach.pdf
European Banking Authority Report - Report on the pro-cyclicality of capital requirements under the IRB Approach (17 December 2013)
Interim-results-EBA-review-consistency-RWAs_1.pdf
European Banking Authority publication - Interim results of the EBA review of the consistency of risk-weighted assets (26 February 2013)