Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
not applicable
Disclose name of institution / entity:
Type of submitter:
Competent authority
Subject Matter:
Definition of exposure class "Exposures in default" under SA approach

Are all exposures of the defaulted obligor taken into account when assigning exposures into the exposure class "Exposures in default" or just individual exposure(s) of that obligor that is (are) in default, since the definition of "Exposures in default" has changed (default definition according to the IRB approach)?

Background on the question:

The definition of exposures in default has changed compared to Directive 2006/48/EC in a way that the reference regarding the default definition is made to the IRB approach. So when default of the obligor occurs under this definition (Article 178 of the CRR), all exposures of defaulted obligor are taken into account. However under the SA approach the treatment so far was(is) that only exposures that are past due more than 90 days are categorised under "Exposures in default". Since the latter definition has changed, my question is whether still only individual exposures that had defaulted under the IRB definition are taken into account in the SA approach.

Date of submission:
Published as Final Q&A:
Final Answer:

Yes, all exposures of a defaulted obligor must be assigned to the exposure class "Exposures in default" under Article 127 of Regulation (EU) No 575/2013 (CRR), except for those retail exposures to an obligor, for which the definition of default in Article 178 of this Regulation is not met (i.e. individual credit facility approach).

Article 127 of the CRR applies to any item where the obligor has defaulted in accordance with Article 178, but in the case of retail exposures solely to any credit facility which has defaulted in accordance with Article 178. Article 178 of the CRR states that in the case of retail exposures, institutions may apply the definition of default laid down in points (a) and (b) of the first subparagraph at the level of an individual credit facility rather than in relation to the total obligations of a borrower.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Note to Q&A:

Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.