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

  • Guidelines on loan origination and monitoring

    The Guidelines specify the internal governance arrangements for granting and monitoring of credit facilities throughout their lifecycle. They introduce requirements for borrowers’ creditworthiness assessment and bring together the EBA’s prudential and consumer protection objectives. The guidelines aim to ensure that institutions have robust and prudent standards for credit risk taking, management and monitoring, and that newly originated loans are of high credit quality. The Guidelines also aim to ensure that the institutions’ practices are aligned with consumer protection rules and AML requirements.

    Status: Under development

  • Guidelines on specification of types of exposures to be associated with high risk

    These Guidelines specify which types of exposures, other than those mentioned in Article 128 (2) CRR, are to be associated with particularly high risk and under which circumstances. They also clarify the notion of investments in venture capital firms and private equity.

    Status: Final and translated into the EU official languages

  • Guidelines on management of non-performing and forborne exposures

    These Guidelines target high NPE banks with the aim of achieving a sustainable reduction of NPEs to strengthen the resilience of their balance sheets and support lending into the real economy. The Guidelines are designed to ensure that consumers, who have taken out loans, are treated fairly at every stage of the loan life cycle.

    Status: Final and translated into the EU official languages

  • Discussion Paper on EU implementation of MKR and CCR revised standards

    This paper discusses some of the most important technical and operational challenges to implement the FRTB and SA-CCR in the EU. The paper aims at providing some preliminary views on how these implementation issues could be addressed and, at the same time, seeks early feedback from the stakeholders on the proposals. The paper also puts forward a roadmap for the development of the regulatory deliverables on the FRTB and SA-CCR included in the CRR2 proposal.

    Status: Under development

Opinions, Reports and other Publications



  • Progress report on IRB roadmap.pdf [835.9KB]

    The European Banking Authority (EBA) published today a progress report on the roadmap set out in 2016 to repair internal models used to calculate own funds requirements for credit risk under the... Read more


  • EBA Report results from the 2018 Credit Risk Benchmarking Report [6,740.6KB]

    The European Banking Authority (EBA) published today two reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the... Read more


  • EBA Report on CRM framework [952.7KB]

    The European Banking Authority (EBA) published today a Report, which assesses the current Credit Risk Mitigation (CRM) framework, as part of its work on the review of the IRB approach. This Report... Read more



Other Publications