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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

Clarification about the definition of default for retail exposures

It is unclear how to determine what should be considered as retail exposures for the purpose of the definition of default for retail exposures.What kind of exposures should be considered to determine default under Article 178 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2019_4757
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Recognition criteria for off-balance sheet items for exposure value calculation

If based on the applicable accounting framework (IFRS-EU) it is concluded that there is no contingent liability that should be disclosed for accounting purposes, is it then still possible that an off-balance sheet item exists, which should be recognised for exposure value calculation per Articles 111 CRR or 166 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4751
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Criteria for rating transfer

Can “clear policies” referred to in paragraph 62 – such as recognising the relationship between a subsidiary and its consolidating parent or recognising any other form of control as defined in Article 4(1)(37) of Regulation (EU) No 575/2013 – which lack the features of a material contractual support – be considered as “appropriate guarantee", thereby supporting  the rating transfer?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2019_4745
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/12/2020

Eligibility of mortgage mandates under Belgian law

Are mortgage mandates under Belgian law eligible as immovable property collateral? Is there a difference between the SA and IRB approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4721
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 13/11/2020

Application of the LGD floor

Are there any specific requirements regarding the adjustment for the LGD floor? More specifically, is it a sufficient condition to ensure (may be on a daily basis) that the exposure weighted average LGD just needs to meet the floor on a portfolio level and the respective adjustments on the facility level are at the discretion of the bank?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4680
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/08/2020

Specialised Lending - Interpretation of contractual arrangements that give the lender a substantial degree of control

How shall Article 147 (8)(b) CRR be interpreted when identifying ‘contractual arrangements that give the lender a substantial degree of control over the assets and the income that they generate’ in the context of real estate financing?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4672
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Use of credit insurance as credit risk mitigation under the standardised approach for credit risk and application of the CRM eligibility requirements to certain clauses which are typical for credit insurance contracts

Does the inclusion of a general exclusions clause (including for example, an exclusion for losses caused by a so-called nuclear event, war or a loss as a result of a fraud or dispute) in a credit insurance contract render the contract non-compliant with the credit risk mitigation (CRM) eligibility requirements for guarantees in CRR, in particular Article 213(1)(c)(iii) CRR, assuming all other conditions have been fulfilled?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4669
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

Absolute materiality threshold for Retail based on the new RTS

How to apply Article 123(c) CRR to set the absolute component of the materiality threshold in the case of transition of exposures to or from Retail.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2019_4666
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/10/2020

Application of national decisions pursuant to Article 124(2) CRR

Is it mandatory pursuant to Article 124(5) CRR for an institution in another member state to apply national decisions, which purport to be released pursuant to Article 124(2) CRR, but are not published on the EBA website under Rules and Guidance?Furthermore, if such national decisions are not published under Rules and Guidance, but e.g. under Options and national discretions only, is it mandatory that institutions from other member states apply such decision pursuant to Article 124(5) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4600
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/09/2021

Calculation of the number of obligors

In EBA/GL/2017/16 paragraph 73 it is explained that in the calculation of the one-year default rates the number of obligors is used. Is it always mandatory to count one legal entity as one obligor, or can a group of legal entities for which there is no difference in risk due to an appropriate guarantee (i.e. those will default together) be counted as one obligor?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2019_4599
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Use of rating before or after transfer in the calculation of the one-year default rates

In a situation where a parent institution (good rating) has issued a full encompassing guarantee for a subsidiary - bad rating, thus supporting the subsidiary before a default event, and preventing (or reducing the risk of) a default – would this constitute a substitution effect due to a credit risk mitigation under paragraph 74 of EBA Guidelines EBA/GL/2017/16?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
  • ID: 2019_4598
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/12/2020

Retail exposures of subsidiary / branch of an EU credit institution established outside the EU

Could the subsidiary / branch of an EU credit institution established outside the EU use local criteria (i.e. criteria widely used by credit entities and public bodies in the relevant foreign jurisdiction) to classify an undertaker as a small or medium-sized enterprise in order assign to its exposures a risk weight of 75% according to Article 123?Could the subsidiary / branch of an EU credit institution established outside the EU use local criteria (i.e. criteria widely used by credit entities and public bodies in the relevant foreign jurisdiction) to classify an undertaker as a small or medium-sized enterprise in order assign to its exposures a risk weight of 75% according to Article 123?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4590
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 31/07/2020

Speculative immovable property financing definition with respect to debt-for-asset swaps

In the case described below, in individual level of reporting, should exposures to the SPVs be treated as "Speculative Immovable Property Financing" and be risk weighted at 150% under Article 128 of the CRR, or should they be RW at 100% which reflects the RW of the property included in the Consolidated level of reporting (intercompany balances are eliminated and the asset remaining in the consolidated balance sheet is the property held for sale)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4559
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

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:

Technical past due situation - Factoring

How should the situation in terms of technical default be treated when there are two past due purchased receivables (each individually material) and one of them is repaid by the obligor while the second one is still due?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2016/07 - Guidelines on the application of the definition of default under Article 178 CRR
  • ID: 2019_4505
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/02/2021

Calculation of past due days on material credit obligations

For the purpose of the definition of default, should days when material credit obligation was past due, but repaid later on, be included in the calculation of 90 (180) consecutive days according to Article 178 of CRR, paragraph 1, point (b)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4504
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/02/2021

Applicability of Look through Approach to SPV (Article 132 CRR)

May the look-through approach be applied for exposures in Notes issued by a special purpose vehicle, with no tranches, - which is unclear whether it qualifies as an undertaking for collective investment according to the applicable national law -, where the paid out of the each Note are the net proceeds of the loan receivables portfolio allocated to such Note (provided the additional requirements set for the look through approach are duly met)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4502
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 30/07/2021

Use of the last available data for risk quantification sample and out-of-time validation sample

Given the requirements of articles 175(4)(b) and 179(1)(a) , in case of a model development, should the last available one-year snapshot be used for risk quantification purposes (i.e. for the computation of the Long-run average default rate) or be set aside for validation tests?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4495
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of exposure in non-significant business units and relating “significance” test

A) Can you please clarify how exposures in non-significant business units in Art. 150(1) (c) should be intended? B) Can you please clarify which are the criteria for such a “significant” test.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4490
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022