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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.

Please note that the Q&As related to the supervisory benchmarking exercises have been moved to the dedicated handbook page. You can submit Q&As on this topic here.

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List of Q&A's

Definition of the parameter E* in the formula regarding the Adjustment of risk-weighted non-defaulted SME exposures.

We believe there is a need of clarification in the definition of the parameter E* in the formula of the article 501 in order to insure that the result of the formula is valid in all cases.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5223
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 20/06/2022

Use of the “maturity of the tranche” (MT) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments for securitisation positions under Table 1 of Article 224(1) CRR.

Where collateral takes the form of securitisation positions meeting the criteria in Article 197(1)(h) CRR, can the institution use the “weighted average maturity” (WAM) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments set out in Table 1 of Article 224(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5211
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Multilateral Development Banks (MDBs) not listed in Article 117(2) CRR

Should the multilateral development banks (MDB) which are not included in Article 117(2) CRR be treated as institution? If the head office of that MDB is in a non-equivalent jurisdiction Article 107(3), should the exposure to MDB be treated as corporate?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5164
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/09/2022

Short-term Exposures

What does short-term in this context mean? 90 days of remaining maturity or original maturity of 1 year?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5053
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Partially collateralised loans: CCF - collateral simple method approach

How is the RWA is calculated for the undrawn amount of a partially collateralised loan?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4986
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/09/2021

Off balance sheet items in scope of the credit risk framework

Does "off-balance sheet item" as in article 5 point (1) CRR mean: a) off-balance sheet item disclosed under the applicable accounting framework, or b) off-balance sheet item under the applicable accounting framework, irrespective whether the item is disclosed or not, or c) every position or item exposed to credit risk that is not recognised in the balance sheet, irrespective whether such position or item would be disclosed or considered as off-balance sheet item under the applicable accounting framework?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4960
  • Topic: Credit risk
  • Date of submission:

Risk weight of EU unrated central bank whose exposures are guaranteed by its EU government which is rated CQS1

What should be the risk weight of an EU unrated central bank whose exposures are fully guaranteed by its EU government which is rated CQS1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/05 - Guidelines on significant credit risk transfer
  • ID: 2019_4954
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

RWA calculation and the applicable amount of insufficient coverage for non-performing exposures deducted from CET1 items

Under Article 151(1) CRR, can non-performing exposures, or parts thereof, belonging to one of the exposure classes referred to in points (a) to (e) and (g) of Article 147(2) CRR, be exempted from being risk-weighted to the extent that the related applicable amounts of insufficient coverage for those non-performing exposures have been deducted from Common Equity Tier 1 items, in accordance with Article 36(1) (m) CRR2? Can the applicable amounts of insufficient coverage for non-performing exposures belonging to one of the exposure classes referred to in points (a) to (e) and (g) of 147(2) that have been deducted from CET1 items, in accordance with Article36(1)(m) CRR, qualify as 'exposures deducted from own funds' or 'exposures deducted from Common Equity Tier 1 items, Additional Tier 1 items or Tier 2 items, for the purpose of Article151(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5031
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Issues related to para (89) of the EBA/GL/2017/16 with regards to the calibration procedure of the PD models to be conducted “after taking into account any overrides applied in the assignment of obligors to grades or pools”

With regards to the interpretation of the requirement reported in paragraph (89) of the Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16), is it correct that if a ranking method or overrides policy has changed over time, the institutions cannot “conduct the calibration after taking into account any overrides applied in the assignment of obligors to grades or pools”, because the relevant data is not available (e.g. in case of a model change the rating produced by the new PD model cannot include the override process)? With regards to the interpretation of the requirement reported in par. 89 of the GLs, is it correct that if a ranking method or overrides policy has changed over time, the institutions should “analyse the effects of these changes on the frequency and scope of overrides and take them into account appropriately” in the annual review of estimates framework, once the relevant data becomes available, meaning that the new rating attribution process has been fully deployed and used by the analysts of the Supervised Entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2019_5029
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Treatment of loans for LBO financing according to the GLs on high risk items

How should loans which constitute leveraged buyout (LBO) financing be treated according to the Guidelines on  specification of types of exposures to be associated with high risk? Should information, that a loan is collateralised by shares in an unlisted company, have decisive impact on its treatment as potentially being "debt exposure with economic substance similar to non-debt exposure" according to the paragraph 2 of section 4.1 of the Guidelines? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2019_4952
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Use of short-term credit assessments with Article 120(2) CRR

May short-term issuer or issue ratings be used to assign risk weights in the general preferential treatment for short term exposures of article 120(2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4942
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Use of short-term issuer credit assessments with Article 131

May short-term issuer ratings be used to assign risk weights in the context of article 131?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4941
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Prudential backstop (Regulation 2019/630) and interaction with RWA calculation

Is the prudential backstop deficit under Article 151(1) taken into consideration for the calculation of risk-weighted assets on exposures treated under the advanced IRB approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4938
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Residential Reverse mortgages RWA

Could you clarify the regulatory RWA treatment for residential reverse mortgages exposure? Are those exposures subject to the standardised approach for RWA calculation?Is the regulatory treatment linked to the level of loan to value (LTV) the same as residential mortgages?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4934
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Appropriate Risk Weight for purchased defaulted assets

Does the entering into force of the Regulation (EU) 2019/630 of the European Parliament and of the Council of 17 April 2019 (the “Prudential Backstop Regulation”) affect the determination of which risk weight that should be applied according to Article 127 CRR when an entity subject to CRR purchases non-performing loans booked at purchase price (net book value, “NBV”), which is significantly below the loans’ gross book value (“GBV”)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4909
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

USA public sector entities risk weight

USA is listed by the EBA as applying supervisory and regulatory arrangements at least equivalent to those applied in the Union. However the competent authorities of this country does not require the use of ECAI ratings to assess risk weights of exposures to public sector entities. Should we nevertheless consider that this competent authority treat exposures to public sector entities in accordance with paragraph 1 or 2 of article 116, and so should we risk weight these exposures in accordance to paragraph 1 or 2?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4889
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022