Draft Regulatory Technical Standards on the calculation of credit risk adjustments

Status: Adopted and published in the Official Journal

These draft technical standards (RTS) stem from Article 105(4) of the Capital Requirements Regulation which provides for the EBA to clarify the calculation of specific credit risk adjustments (SCRAs) and general credit risk adjustments (GCRAs) under the applicable accounting framework for (i) the determination of exposure values; (ii) the treatment of expected loss amounts; and (iii) the determination of default.

EBA publishes first final draft technical standards on credit risk adjustment

26 July 2013

The European Banking Authority (EBA) published today its final draft RTS on credit risk adjustment (CRA). These final draft RTS will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in Europe.

These RTS specify the calculation of specific and general credit risk adjustments to determine own funds requirements for credit risk. For this reason, the required calculation is limited to the amounts of credit risk adjustments that both reflect losses exclusively related to credit risk and reduce the institution's Core Equity Tier 1 (CET1) capital. In particular, these RTS foresee that any relevant credit risk adjustment must be calculated either under General Credit Risk Adjustments or Specific Credit Risk Adjustments. Relevant criteria for this calculation are also provided and, in order to facilitate the work of institutions in applying them, the RTS elaborate further on some specific cases.

Legal basis and next steps

These final RTS and ITS have been developed in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (colloquially known as Capital Requirements Regulation or CRR).

The final standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.

Press contacts:

Ms. Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772