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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

Splitting exposures

In the case that an exposure has attributes that it can be assigned into various exposure classes, may it be divided into two exposure classes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2560
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/09/2016

Risk weight for exposures to central-government-risk Public Sector Entities (PSEs) denominated and funded in domestic currency

May exposures to PSEs established in a Member State, whose level of risk in the opinion of the competent authority of the Member State in question does not differ from the level of risk of the central government, be assigned a risk weight of 0% in accordance with Article 114(4) of CRR if they are denominated and funded in domestic currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2484
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2016

Definition of “effective procedures” to monitor that the property taken as credit protection is adequately insured against the risk of damage.

What are the minimal criteria of adequate insurance of property against the risk of damage that the "procedures" should consist of in order to be assessed as effective?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2685
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 24/06/2016

Procedury monitorowania ochrony kredytowej / EN: Credit protection monitoring procedures

Czy aby w procesie szacowania wymogu kapitałowego możliwe było uwzględnienie instrumentu ograniczania ryzyka kredytowego w postaci zabezpieczenia na nieruchomości mieszkalnej konieczne jest zapewnienie przez Instytucję, iż na dzień wyliczenia posiada ona aktualne ubezpieczenie tejże nieruchomości zabezpieczające przez ryzykiem powstania szkody? Czy może w myśl zapisów artykułu 208 paragraf 5 (literalnie czytając) wystarczy, iż Instytucja udowodni, iż posiada procedury i skuteczne mechanizmy monitorowania aktualności/ważności posiadanej polisy ubezpieczeniowej?EN translation:In order for the calculation of capital requirement to take into account collateral of residential property as a credit risk mitigation instrument, is it necessary for the Institution to ensure that, as at the calculation date, it holds up-to-date insurance for such real estate, protecting it against the risk of damage? Or perhaps, in accordance with the provisions of Article 208(5) CRR  (read literally), it would suffice if the Institution could prove that it has procedures and effective monitoring mechanisms in place to ensure that the existing insurance policies are valid and up-to-date?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2470
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/06/2016

Classification of exposures for which an IRB bank uses the standardised approach, into IRB exposure classes (Article 147 CRR)

Is there any regulation stipulating that for exposures where an IRB bank uses the standardised approach, these "standardised" exposures have to be classified into exposure classes valid for the standardised approach (Article 112 Regulation (EU) No 575/2013 (CRR)).

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2559
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/06/2016

Classification of a performance bonds according to annex 1.

Does a performance bonds which guarantee satisfactory completion of a project by a contractor with an original maturity of more than one year qualify as Medium/low risk according to CRR, annex I, item 3(a)(ii) ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2198
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/06/2016

Determination of the exposure at defaul in case of unfunded credit protection

Under the advanced approach, the IRB Approach, as permitted by the Title II - Chapter 3, does not specify the order of application of the Credit Conversion Factor (CCF) and of the credit protection when an off-balance sheet exposure is covered by an unfunded credit protection (e.g. a CDS, Credit Default Swap). Does CRR prevent from applying the credit protection on the Exposure At Default (i.e.: after application of the CCF for an off-balance sheet exposure)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2063
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/06/2016

Capital requirements deduction for credit risk on exposures to SMEs

Is capital requirement deduction (SME factor) applicable for specialised lending exposures if conditions determined in Article 501(2) of Regulation No 575/2013 (CRR) are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2135
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Calculation of unsecured and secured parts of past due items – Standardised approach

Under the standardised approach, when calculating the unsecured part of the exposure for the purpose of computing provisions threshold (20%) under Article 127(1) of the CRR, shall the exposure exclude eligible financial collateral and credit protection that comply with the requirements stated in Part Three, Title II, Chapter 4 of the CRR, ‘Credit Risk Mitigations’, as well as residential real estate and commercial real estate as described in Article 127(3) & (4) of Regulation (EU) No 575/2013?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1918
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 01/04/2016

Risk weight in CCP-related exposures, rules on 2% AND 4% risk weight

For the purposes of Article 305 (3) is there loss protection if the condition in 305 (2) b) is met but not 305 (2) c)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1946
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 18/03/2016

Classification of Churches and Religious Communities

Will the exposures of churches and religious communities that do not fall under Articles 115 (3), 127, and 128 be classified as Corporates (Article 122) or Retail (Article 123)? Additionally, can these be classified as SMEs?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2227
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/03/2016

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

Eligibility of religious communities or churches

Are churches or religious communities eligible protection providers under all approaches and thus included in the list of providers of Article 201 with reference to paragraph 1(b)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1908
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/12/2015

Risk weight for exposures to unrated institutions

Does Article 121 allow unrated institutions to be assigned government ratings only in the case of a government guarantee for the deposits of that bank? Additionally, does Article 121(3) apply to unrated institutions as well? Does it say that if we have a cash balance in an unrated bank we should assign a risk weight of 20%?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1869
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/12/2015

Application of the top-down approach based on EL calibration (article 160 al.2) - purchased receivables

Do these methods apply for other non-retail purchased receivables (i.e. institutions and sovereigns) ? For example, can an institution PD’s be calibrated using these top down approach based on EL calibration ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2023
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 27/11/2015

Credit risk - standardised approach

Can cash equivalents be assigned a Risk weight of 0%? What is the definition of an equivalent cash item?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_2001
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 13/11/2015

Maturity used in IRB RWA calculations

Is there an error in this paragraph? It currently says "....shall calculate M for each of these exposures as set out in points (a) to (e)....."; should this read "as set out in points (a) to (f)" in order to be consistent with the previous version of the legislation. Based on the current wording the effect of this is to exclude the possibility of banks using a residual maturity ".....M shall be the maximum remaining time (in years) that the obligor is permitted to take to fully discharge its contractual obligations,......"

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_762
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 23/10/2015

SME supporting factor

Can you please confirm whether the SME supporting factor can be applied to derivative exposure and Repo exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1050
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 02/10/2015

QRRE loss rate

What is meant by loss rate in this context?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1933
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 25/09/2015

PD substitution and eligibility of guarantors

Article 202(d) of Regulation (EU) No 575/2013 (CRR) suggests that where risk weighted exposure amounts are calculated under the IRB Approach, a guarantor must have an internal rating in order to be eligible as a guarantor for PD substitution. Can a guarantor, which is rated by an ECAI, and otherwise meets all eligibility requirements but is treated under the Standardised Approach by the institution, be used for PD substitution? How can a guarantee be recognised in this situation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2014_1381
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/09/2015