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Disclaimer:

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

Maturity floor for SFT transactions under a master netting agreement that does not fulfill the enforceability criteria of CRR Article 206.

Does the EBA recognise that Securities Financing Transactions (SFT) conducted under an industry master netting agreement (MNA) such as GMRA or GMSLA could be subject to the 5-day floor maturity under CRR Article 162(2)(d) to the extend such MNA (i) meets the requirements of CRR Article 207 (2) to (4) on the eligibility of the collateral but (ii) does not necessarily fulfill the close-out netting enforceability criteria of Article 206 due to local law and absence of robust netting legislation for instance? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7397
  • Topic: Credit risk
  • Date of submission:

Exposures to institutions waived from individual capital requirements according to article 7 CRR, under Credi Risk Standarised Approach

How should exposures to institutions be treated under Credi Risk Standarised Approach, if such institutions have been waived of individual capital requirements? Shall these exposures be assigned to grade C, or can the level of compliance with capital requirements be assessed by taking consolidated requirements as reference?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7363
  • Topic: Credit risk
  • Date of submission:

Calculation of the SME supporting factor for off-balance-sheet exposures

Is the SME supporting factor applicable, and if so, how shall it be computed, in case there is no on-balance-sheet exposure to be included in E*, as defined in Article 501(1) of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7350
  • Topic: Credit risk
  • Date of submission:

Requirements for the purpose of treating exposures secured by mortgages on immovable property as duly secured from an RWA computation perspective under CRR Article 124(2) of the CRR.

Can a global insurance against damages on a portfolio of exposures secured by immovable properties subscribed directly by the lending institution be considered as compliant with the requirement of Article 208(5) of the CRR - that is to say considered, under the standardized approach, as meeting the operational requirements for the purpose of treating exposures secured by mortgages on immovable property (or in case an institution has opted for the application of article 108(5)(a) allowing to consider a guaranteed exposure as an exposure secured by a mortgage on immovable property) as duly secured from an RWA computation perspective under Article 124(2) of the CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2025_7293
  • Topic: Credit risk
  • Date of submission:

Use of credit assessments by ECAIs not in scope of Regulation (EC) No 1060/2009.

Can external credit assessments that have been issued by an ECAI, but were not publicly disclosed, be used to determine the risk weight of an exposure under the Standardised Approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7220
  • Topic: Credit risk
  • Date of submission:

Applying risk weight in accordance with Article 235(3) of CRR3

In case of exposure and guarantee denominated in different currencies, which currency shall be taken into account in the process of application of risk weight for guaranteed part of exposure in accordance with Article 235(3) of CRR3?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7213
  • Topic: Credit risk
  • Date of submission:

Treatment of bridge financing in the calculation of the risk weight (RW*)

As the objective of Article 132c (1) CRR, as amended by Regulation (EU) 2019/876 – CRR2, is to “calculate the risk-weighted exposure amount for their off-balance-sheet items with the potential to be converted into exposures (…)”, should the calculation of RW* actually exclude short-term liabilities (e.g. bridge financing)? 

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7189
  • Topic: Credit risk
  • Date of submission:

CRR3 - ETV calculation

With the CRR3 application, can you please confirm us the way to calculate the ETV ratio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7175
  • Topic: Credit risk
  • Date of submission:

Scope of Subordinated Debt Exposures under Art. 128 (1)(c)

Which bonds can be considered "subordinated debt" under Art. 128 (c)? Only senior non-preferred bonds? Senior Non-Preferred Bonds and Senior Preferred Bonds (which meet the criteria under Art. 72b(3)? Senior Non-Preferred Bonds and Senior Preferred Bonds (that meet the criteria set out in Art. 72b(3) and are recognized as eligible liabilities by the resolution authority)? Senior Non-Preferred Bonds and Senior Preferred Bonds issued by G-SII entities (which meet the criteria set out in Art. 72b(3) and are recognised by the resolution authority as eligible liabilities)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2024_7141
  • Topic: Credit risk
  • Date of submission:

Exposure class for fair value changes of the hedged items in portfolio hedge of interest rate risk

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6367
  • Topic: Credit risk
  • Date of submission:

Point in time when facility or limit is considered to be a commitment

Does a bank’s legally binding offer for a facility or limit constitute a commitment only after the client has accepted the bank’s offer?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5836
  • Topic: Credit risk
  • Date of submission:

Treatment of committed facilities with unadvised limits

Are committed facilities with unadvised limits considered to be regulatory off-balance sheet items and do they have to be included in the conversion factor estimation under Advanced-IRBA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5837
  • Topic: Credit risk
  • Date of submission:

treatment of uncommitted facilities / limits

Are uncommitted facilities or limits considered to be regulatory off-balance sheet items and do they have to be included in the conversion factor estimation under Advanced-IRBA?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5835
  • Topic: Credit risk
  • Date of submission:

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:

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:

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:

Eligibility of convertible instruments as financial collateral

Do financial instruments that are not included in a main index and not traded on a recognised exchange, but which can be converted anytime at the discretion of the owner of the instrument into equities that are included in a main index or are traded on a recognised exchange qualify as eligible financial collateral?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4509
  • Topic: Credit risk
  • Date of submission:

Treatment of exposures to non-EU equivalent investment firms, non-EU equivalent credit institutions and non-EU equivalent exchanges.

1. With reference to EBA Q&A 677, what is the regulatory basis/rationale in your decision to treat a non-EU equivalent third country exposure to recognised exchange as an exposure to a corporate? Please reference the CRR/ Single RuleBook in your response.2. Does the treatment describer in Q&A 677 or non-EU equivalent recognised exchanges also apply to exposures to non-EU equivalent investment firms and non-EU equivalent credit institutions so that they will also be treated as exposures to corporates? Please reference the CRR/ Single RuleBook in your response.3. Should these exposures be reported (C07 CRSA) in the exposure classes Institutions or Corporates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2016_2739
  • Topic: Credit risk
  • Date of submission: