Credit risk

Credit risk focuses on the development of BTS, Guidelines and Reports regarding the calculation of capital requirements under the Standardised Approach and IRB Approach for credit risk and dilution risk in respect of all the business activities of an institution, excluding the trading book business. The objective is to provide a consistent implementation across the EU of the provisions related to topics such as credit risk adjustments, definition of default, permission to use Standardised/IRB approach, appropriateness of risk weights or credit risk mitigation techniques.

Technical Standards, Guidelines & Recommendations

  • Guidelines on the treatment of CVA risk under SREP

    The Guidelines are based on a policy recommendation contained in the EBA’s CVA report and aim to provide a common European approach to assessing CVA risk under SREP. Additionally, these Guidelines will provide a common European approach to the assessment of capital adequacy of own funds and the determination of potential additional own funds requirements for CVA risk.

    Status: Under development

  • Guidelines on the application of the definition of default

    These Guidelines harmonise the definition of default across the EU prudential framework and improve consistency in the way EU banks apply regulatory requirements to their capital positions. A detailed clarification of the definition of default and its application is provided in these Guidelines, which cover key aspects, such as the days past due criterion for default identification, indications of unlikeliness to pay, conditions for the return to non-defaulted status, treatment of the definition of default in external data, application of the default definition in a banking group and specific aspects related with retail exposures.

    Status: Final (awaiting translation into the EU official languages)

  • Regulatory Technical Standards (RTS) on exclusion from CVA of non-EU non-financial counterparties

    These Regulatory Technical Standards (RTS) align the treatment of non-financial counterparties (NFCs) established in a third country with the treatment of EU NFCs. As NFCs established in a third country are not directly subject to EU regulation, these RTS specify that it is for the institution to check that a counterparty established in a third country would qualify as a NFC if it were established in the EU and, if that is the case, that this NFC calculates and does not exceed the clearing threshold in accordance with EMIR provisions in this respect.

    Status: Under development

  • RTS on conditions for capital requirements for mortgage exposures

    The proposed Regulatory Technical Standards (RTS) illustrate the conditions, as well as financial stability considerations, that would ensure a harmonised approach in setting higher risk weights and higher minimum loss given default (LGD) values.

    Status: Under development

Opinions, Reports and other Publications

 

Reports

  • QIS report on default definition October 2016 [2,900.2KB]

    The European Banking Authority (EBA) published today its final Guidelines specifying the application of the definition of default across the EU and its final draft Regulatory Technical Standards... Read more

    28/09/2016

  • EBA Report on the regulatory review of the IRB Approach [494.4KB]

    The European Banking Authority (EBA) published today an Opinion specifying the general principles and timelines for the implementation of the regulatory review of the internal ratings-based (IRB)... Read more

    04/02/2016

  • EBA report on CCR benchmarking 2014 [1,899.1KB]

    The European Banking Authority (EBA) published today two reports on the consistency of RWAs across large EU institutions for large corporate, sovereign and institutions’ IRB portfolios,... Read more

    22/07/2015

 

Other Publications

Opinions