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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.

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List of Q&A's

Bestimmung der Forderungsklasse von Zentralbanken mit Gesellschaftsform Aktiengesellschaft (EN: Determination of the exposure class for central banks that take the form of a public limited company)

In welche KSA- und IRBA- Forderungsklasse sind die Aktien von (EU- Zentralbanken z.B. Griechenland) einzustufen? EN Translation: In which CRSA and IRBA exposure class are the shares of EU central banks (e.g. Greece) to be classified?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_586
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 29/08/2014

Specific credit risk adjustments on exposures in default

Taking into account Annex I of the own funds template (worksheet 4, line 100 and 145) it’s clear that IRB Excess (+) or shortfall (-) of defaulted and non-defaulted exposures has to be reported separately. What is not exactly clear is the fact if an IRB Excess for the non-defaulted exposure can for example be taken into account for the defaulted portfolio or not.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_573
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 16/01/2015

Treatment of SME-supporting factor in the case of secured exposures.

I. How should the SME-supporting factor be treated relating to secured exposures? a) Including all collaterals, i.e. also for guarantees. Thus risk weighted assets of inflow in asset class sovereigns or institutes will also be reduced? b) Only for those collaterals which cause no risk transfer (meaning which are intered directly in the RWA formula)? c) Only for the non-secured part of the exposure?II. General question when the SMR supporting factor can be used: a) To our understanding a risk transfer is only allowed in the case that the risk transfer is leading to a reduction of the RWA. Taking this into account it should always be compared “the total SME exposure with the supporting factor and without a risk transfer” to “the exposure with the SME supporting factor (only for the non-secured part) and the risk transfer without the supporting factor”. b) To consider the above mentioned point under II. a) it seems that banks under the IRB-A approach are by tendency favored as there is no risk transfer (e.g.in cases of a guarantee by a government) but the effect of the collateral is considered in the total LGD of the exposure.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_565
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/07/2014

Bestimmung der Forderungsklasse für börslich gehandelte Optionen, Warrants und Futures / Determination of the exposure class for exchange-traded options, warrants and futures

Warrants, wie auch Options und Futures beinhalten sowohl ein Adress-Ausfallsrisiko, als auch ein ein individuelles Risiko (über die Entwicklung des Basiswertes bzw. dessen Emittenten). Nach welchen Kriterien soll CRR zufolge die Bestimmung der Forderungsklasse erfolgen? EN TRANSLATION: Warrants, like options and futures, entail both a counterparty credit risk and an individual risk (through the development of the underlying and its issuer). On the basis of what criteria, according to CRR, is the exposure class to be determined?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_546
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 20/06/2014

Definition of counterparty for the purpose of applying on-balance sheet netting

1) What is the definition of a counterparty in the context of using on-balance sheet netting (OBSN) of mutual claims between the bank and the counterparty as eligible credit risk mitigation form? 2) In other words, to be eligible for OBSN should the netting of loans and deposits always be with one legal entity or can they be across legally connected entities (for example parent-subsidiaries)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_538
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 06/06/2014

Credit Risk – treatment of Russian credit institutions

1. Please advise whether Russian Credit Institutions are to be treated as an "Institution" or ‘Corporate client’, considering Article 107, paragraph 3 definition:"For the purposes of this Regulation, exposures to third- country investment firms and exposures to third country credit institutions and exposures to third country clearing houses and exchanges shall be treated as exposures to an institution only if the third country applies prudential and supervisory requirements to that entity that are at least equivalent to those applied in the Union."2. Does definition of an "Institution" in Article 107(3) definition only refer to the capital requirement for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_529
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/02/2017

Definition of unregulated financial sector entities

In applying the 1.25 co-efficient specified under Article 153(2) of Regulation (EU) No 575/2013, what is that definition of "unregulated financial sector entities"?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_516
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 14/11/2014

Definition of exposure class "Exposures in default" under SA approach

Are all exposures of the defaulted obligor taken into account when assigning exposures into the exposure class "Exposures in default" or just individual exposure(s) of that obligor that is (are) in default, since the definition of "Exposures in default" has changed (default definition according to the IRB approach)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_511
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/04/2014

Specific collective provisions allocation

In line with question 2013_201, how do we allocate any specific (to particular portfolios) collective provisions to various asset classes? a) do we follow the rules applied when calculating the specific collective provisions by the relevant department?; or b) can we allocate them to past-due exposures first and then to the all other exposures?

  • 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: 2013_499
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 16/05/2014

Under the large exposure regime Article 390 (6)(e) of CRR provides an exemption for deduction of items according to article 36, 56 and 66. These deducted items must not be considered in the large exposure regime.

Is it correct that deducted equity exposures do not need to be reported in the solvency regime as well (=same procedure as in Large Exposure regime) or do they have to be reported in asset class “equity exposures” with a risk weight of 0%?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_482
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 19/09/2014

Equivalence of third country supervisory and regulatory arrangements to those applied in the Union

Who decides which third countries apply supervisory and regulatory arrangements at least equivalent to those applied in the Union? Unlike other articles in CRR (such as e.g. Article 114(7)), Article 212 does not explicitly empower the Commission to adopt, by way of implementing acts, and subject to the examination procedure referred to in Article 464.2, a decision as to whether a third country applies supervisory and regulatory arrangements at least equivalent to those applied in the Union.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_470
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/02/2017

Equivalence of third country supervisory and regulatory arrangements to those applied in the Union

Who decides (after the transitional period, if applicable) which third countries apply supervisory and regulatory arrangements at least equivalent to those applied in the Union in case the Commission does not make use of its power to adopt, by way of implementing acts, and subject to the examination procedure referred to in Article 464(2), a decision as to whether a third country applies supervisory and regulatory arrangements at least equivalent to those applied in the Union?The same question occurs with regard to Articles 107(4), 115(4), 116(5), 132(3) and 142(2) CRR.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_469
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/02/2017

Standardised Method

If the derivative exposure is guaranteed, can the weight be determined based on guarantor’s rating instead of counterparty’s rating, i.e. do we use the counterparty’s credit rating or the guarantor’s rating?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_464
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 16/05/2014

Highly leveraged obligors

How to define/identify 'highly leveraged obligors' under Article 180(1)(a)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_430
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 25/07/2014

Conversion of the total amount owed to institution from national currency to EUR

Which exchange rate should the institution use to convert the amount owed to institution (mentioned in Article 501 point 1)? Should it be converted to EUR each day with exchange rate from this day or should the exchange rate be fixed, for example from the day when the product was sold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_417
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 28/05/2014

The meaning of the "amount owed to the institution"

How should institutions understand the "amount owed to the institution" under Article 501(2)(c)(1) in case of off-balance sheet exposures to customers that haven’t yet been used? Is it the exposure value (as understood in Article 111) or the nominal value of such product (for example credit line)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_416
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 31/01/2014

Unfunded credit protection; adjusting PD or LGD; coefficient of correlation large financial sector entities or unregulated entities

1. Under Article 161(3) of CRR, can unfunded credit protection be recognised by adjusting PD or LGD, but not both? 2. If the institution has a subordinated exposure to an obligor, and a guarantee is recognised by adjusting the PD under Article 161(3), is it allowed to also adjust the LGD for the subordinated exposure and use a LGD associated with a senior claim on the obligor or guarantor, if the guarantee would represent a senior claim on the guarantor (compare with Article 236(1)). 3. (a) If an institution is recognising unfunded credit protection by adjusting or substituting the PD under Article 161(3) for an exposure for which article 153(2) is not applicable, should it also adjust the coefficient of correlation from the obligor to the guarantor, including applying the multiplier of 1.25, in case unfunded credit protection has been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5). (b) If an institution is recognising unfunded credit protection by adjusting or substituting the PD under Article 161(3) for an exposure for which article 153(2) is applicable, should it also adjust the coefficient of correlation (multiplied by 1.25), in case unfunded credit protection has not been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5), but, for example, from a large corporate or sovereign. 4. (a) If an institution is recognising unfunded credit protection by adjusting the LGD under Article 161(3) for an exposure for which Article 153(2) is not applicable, should it also adjust the coefficient of correlation, including applying the multiplier of 1.25, in case unfunded credit protection has been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5). (b) If an institution is recognising unfunded credit protection by adjusting the LGD under Article 161(3) for an exposure for which Article 153(2) is applicable, should it also adjust the coefficient of correlation (multiplied by 1.25), in case unfunded credit protection has not been received from a large financial sector entity as defined in Article 142(1)(4), or unregulated financial entity as defined in Article 142(1)(5) , but, for example, from a large corporate or sovereign.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_415
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 26/02/2016

Conditions taken into account to use the factor 0,7619

Should an institution stop using the factor 0.7619 as soon as the amount owed to the SME enterprise exceeds 1.5m EUR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_414
  • Topic: Credit risk
  • Date of submission:

Capital charge for credit derivatives in the banking book in the position of protection seller

In Regulation (EU) No 575/2013 (CRR) we assume that for credit derivatives in the banking book in the position of protection seller the present capital charge is calculated only for credit risk with respect to the underlying and no extra capital charge for counterparty credit risk after CRR is needed. Do you agree?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2013_387
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 08/11/2013

Definition of Investments in Private Equity

Do investments in private equity referred to under Article 128(2)(c) of Regulation (EU) No. 575/2013 only relate to investments in CIU?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2013_374
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/10/2014