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List of Q&A's

Definition of “prudential regulation in the Union” in Article 142(1)(4)(b)

Can insurance and re-insurance undertakings located in the EU be considered as non-prudentially regulated and therefore as non-eligible to the definition of large financial sector entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5666
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Treatment of non-performing exposures underlying a CIU

Could you clarify if non-performing exposures underlying a CIU should be subject to deductions in accordance with point (m) of Article 36(1) of CRR when using the look-through approach in accordance with Article 132a(1) of CRR or the mandate based approach in accordance with Article 132a(2) of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5629
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Use of UTP triggers when default definition is on facility level

If an obligor has a mortgage loan and other loans (like credit card, private loan, business loans etc.) where definition of default is on the facility level, and the institution has certain obligor level triggers (bankruptcy, death, divorce etc.) and the obligor defaults on his mortgage (due to an obligor level trigger), should there be an automatic cross default on the other loans as well. If the opposite happens, i.e. the obligor defaults on one of the other loans (also due to an obligor level trigger) should the mortgage be defaulted as well?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5592
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Unterstützungsfaktor für Infrastrukturprojekte - Supporting factor for infrastructure projects

Darf ein Institut den KMU-Unterstützungsfaktor und gleichzeitig den Unterstützungsfaktor für Infrastrukturprojekte anwenden? Is an institution allowed to apply the supporting factor for SMEs and the supporting factor for infrastructure projects simultaneously?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5551
  • Topic: Credit risk
  • Date of submission:

Treatment of cash on Nostro accounts – i.e., Bank’s cash held by a third party institution acting as a service provider for payment and settlement purposes

Do exposures related to cash on Nostro / correspondent bank accounts (i.e., Bank’s cash held by a third party institution acting as a service provider for payment and settlement purposes) qualify for a 0% risk weight (equivalent to cash and cash balances at central banks) in both Standardized and IRB approach according to articles 134(3) and 156 (a), respectively?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5550
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Soglia di materialità - Calendar Provisioning - Matheriality threshold - Calendar provisioning

In merito al tema del “Calendar Provisioning” la soglia del 20% stabilita dall’Articolo 47a(3) del Regolamento (EU) No 575/2013 come modificato dal Regolamento 2019/630, sostituisce la soglia di contagio per singolo debitore del 5% attualmente in vigore (e che il 1° gennaio 2021 diventerà dell’1%, vedi Regolamento Delegato (UE) 2018/171)? O si riferisce invece ad altri aspetti? With regard to the subject of ‘calendar provisioning’ is the 20% threshold set in Article 47a(3) of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 to be considered to replace the contagion threshold for individual debtors of 5% currently in force (and which will become 1% on 1 January 2021 – see Delegated Regulation (EU) 2018/171)? Or does it refer to other aspects?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2020_5528
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Treatment of third country covered bonds under IRB Approach

Which LGD should be applied for third country covered bonds (issued under a dedicated legal framework) which are not eligible for the same LGD as UCITS 52(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5522
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Determination of a default risk-free discount factor

From what interest rates does an institution have to derive a default risk-free discount factor as referred to in Article 132c (2) CRR, as amended by Regulation (EU) 2019/876 – CRR2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5515
  • Topic: Credit risk
  • Date of submission:

Formula to be applied in case of a switch from multiple netting sets to a single netting set

Which formula shall or may be applied in case of a switch from multiple netting sets to a single netting set? Is it allowed to continue application of Formula 3 on single netting sets, - if the single netting set is covered by a margin agreement, which allows coverage for multiple netting sets? - If the singularity of the netting set is just temporary, eg due to the fact that further transactions have been closed or not yet opened?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5482
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Classification of a gurantees for trade finance off-balance sheet items according to annex 1.

In which class according to annex 1 would guarantees for loans and guarantees for performance bonds fit? If a bank is a guarantor for another bank's transaction, where some trade finance transaction, like performance bond, was issued, how should the bank acting as guarantor classify the risk according to annex 1? Is it possible to apply Annex 1 point 1(a) or 3(a)(ii) or which else? in case of a transaction, where the bank in FI is offering a guarantee for the transaction, where another bank has issued a working capital loan, is it correct to refer to point 1(a)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5471
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Scope of Article 208 CRR

Does Article 208(3)(a) CRR require institutions to monitor property values of all commercial properties on a yearly basis, regardless of whether they can qualify as eligible collateral for credit risk mitigation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5470
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/09/2022

Credit faclity level

Is it possible to assign default according to the purpose of the loan (e.g only the exposure that was granted for renovation) and treat it as at facility level or not? In case of one agreement for 2 purposes and 2 amounts granted, from the regulatory perspective can we treat such approach as default assignment at facility level or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5447
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Credit risk framework applicable to investments in repack Notes issued by SPEs

What is the applicable credit risk framework in the non-trading book applicable to investments in repack Notes issued by Special Purpose Entities (SPEs)? How should an institution calculate the risk weight of an investment in a Repack Note if it does not consolidate the SPE but is able to look through to the underlying assets at all times?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5400
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/03/2023

Mapping to exposure classes

Are Greenland, Faroer, Guernsey, Isle of Man and Jersey to be treated as "central goverments" under Article 112(a) CRR or are they to be treated as "regional governments" under Article 112(b) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5392
  • Topic: Credit risk
  • Date of submission:

Obligor level

When applying the default at obligor level for retail, should a credit institution always consider a specific set of individual obligors that have a joint obligation towards an institution as a different obligor (the unit of default takes into consideration the JCO)? Or is this to be applied only for the materiality threshold?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5380
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Leasing - Contagion du défaut aux paiements minimaux - Default contagion for minimum payments

En méthode standard, dans le cadre de contrat de crédit-bail mobilier (leasing véhicule), si plus de trois mois de loyers sont impayés, le déclassement "en défaut" doit-il s'appliquer à ces seuls loyers échus impayés ou une contagion du défaut doit-elle impérativement s'appliquer à l'ensemble des loyers prévisionnels non encore échus (paiements minimaux prévus au contrat de crédit-bail : cf. article 134-7 CRR) ? Under the standardised method, in the context of equipment leasing (vehicle lease), if more than three months of the lease are unpaid, must the default definition be applied to these due and unpaid payments of the lease only, or is it essential that a default contagion be applied to all projected lease payments which are not yet due (minimum payments provided for in the lease: see Article 134(7) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2020_5357
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/10/2021

SME supporting factor for exposures collateralised by residential property

How should the SME supporting factor be calculated for exposures to SME where the total amount owed to the institution is collateralised by residential property?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5337
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

RWA formula for defaulted exposures where institutions use own estimates of LGDs

At which level should the flooring in the RWA formula for defaulted exposures (Articles 153(1)(ii) and 154(1)(i) of CRR2) be applied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5331
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Risk weight for new asset class of non-preferred senior debt

What risk weight should be applied to non-preferred senior (NPS) debt, under the standardised approach for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5312
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 29/04/2022

Original maturity for off-balance sheet items

How is the „original maturity” identified for items in CRR Annex 1 (2)(b)(ii)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5297
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022