Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
159, 166, 166
7, 8, 10
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Own estimates of CCF in the retail exposure class

For which product types has a credit conversion factor (CCF) to be used in the retail exposure class, which is based on own estimates?

Background on the question:

Article 151(7) of Regulation (EU) No 575/2013 (CRR) states that for the retail exposure class, as referred to in Article 147(2)(d), CRR, own estimates have to be used for determining the credit conversion factor.

In Q&A 1263 it is set out that for the exposure classes central governments and central banks, institutions and corporates, based on an authorisation according to Article 151(9) CRR, the estimation of conversion factors only relate to the off-balance-sheet products set out in Article166(8) CRR. It remains unclear if this relates also to the retail exposure class, whereas Article 166(8) CRR is explicitly not applicable to the retail exposure class.

On the other hand it seems that Article 166(10) CRR is applicable to all exposure classes indicating that these specified CCFs would also be applicable to the retail exposure class. But if Article 166(10) CRR is applicable to the retail exposure class, it remains unclear which products are to be treated with estimated CCFs. Specifically in view of products listed in Annex I (4) (a) – unconditionally cancellable credit facilities – in comparison with Article 166(8)(a) CRR – unconditionally cancellable credit lines (with the reference on consumer protection law) it is unclear if a zero risk weight can be used instead of own estimates.

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

In accordance with Article 151(7) of Regulation (EU) No 575/2013 (CRR), for exposures belonging to the retail exposure class institutions applying the IRB approach shall use own estimates of conversion factors.

As clarified in Q&A 1263, the treatment of off balance sheet items other than those mentioned in paragraphs (1) to (8) of Article 166 of Regulation (EU) No 575/2013 (CRR) is specified in Article 166(10).

Consequently, for off-balance sheet items the use of own estimates of conversion factors is limited to the product types mentioned in Article 166(8)(a) - (d) CRR.

The requirement to use own estimates of conversion factors for retail exposures implies that the conversion factors set out in points (a) to (d) of Article 166(8) CRR can be used only for the exposure classes 'central government and central banks', 'institutions', and 'corporates'.

However, while the retail exposure class is also in the scope of Article 166(8) CRR - to the extent that the first sentence of paragraph (8) refers to own estimates of conversion factors - their use is subsequently limited according to paragraph (10), which refers to items and not to exposure classes.

In case an exposure simultaneously takes the form of a credit line according to Article 166(8) CRR and a credit facility according to Annex I CRR, this exposure does not fall within the scope of Article 166(10) CRR, because it constitutes a product type mentioned in Article 166(8) CRR.

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.