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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.

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List of Q&A's

Definition of residential property

I am bringing a point to your notice where in article 4(75) the residential property is defined as a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden. This has led to quite some confusion in my organisation as to what definition applies in other Nordic countries. Given that we have a presence in all Nordic countries, we expect a generic definition which can be consistently applied for the correct treatment of collateral types. These further also impact how the customer segments (rating systems) are defined as according to the regulation the exposure secured by RRE must be excluded when defining thresholds for retail vs non-retail customers. Therefore, I request you to either 1) modify the definition so that it is clearer if the same definition can be applied in all countries, or 2) Remove the specific country name "Sweden" from the definition, or 3) the institutions can follow local FSAs for such definitions, or 4) They can have their own guidelines for such definitions.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2023_6761
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

Opinion to Question 2020_5551, whether an institution is allowed to apply the supporting factor for SMEs and the supporting factor for infrastructure projects simultaneously.

A pending Question 2020_5551 asks an opinion whether an institution is allowed to apply the supporting factor for SMEs (Art 501) and the supporting factor for infrastructure projects (Art 501a) simultaneously. I share here my opinion to help the answer, as it would be important to our institution, and I think the answer is simplier than thought suggested on that question. The pending question I am referring to is under the link https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2020_5551

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6725
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/05/2023

Calculation of the relative threshold in case specific cases.

How should be calculated the relative threshold for a client who has fees or quotes in default arising from off balance sheet exposures?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2018/171 - RTS on the materiality threshold for credit obligations past due
  • ID: 2021_6025
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/04/2023

Validation rule eba_v0315_m working incorrectly in C07 templates in a column 0216 for derivatives

Could validation rule eba_v0315_m be modified for a column 0216? At the moment it does not work in situations when there are derivative exposures with SME supporting factor in a row 0110 but not in an of which row 0120.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
  • ID: 2023_6715
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 22/03/2023

Credit risk framework applicable to investments in repack Notes issued by SPEs

What is the applicable credit risk framework in the non-trading book applicable to investments in repack Notes issued by Special Purpose Entities (SPEs)? How should an institution calculate the risk weight of an investment in a Repack Note if it does not consolidate the SPE but is able to look through to the underlying assets at all times?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5400
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/03/2023

Calculating risk-weighted exposure amounts under the standardised approach for exposures guaranteed by a Member State’s central government denominated in the domestic currency of that central government when the exposure is denominated in a different currency that is the currency of another Member State

For exposures guaranteed by a Member State’s central government where the guarantee is denominated in the domestic currency of that central government, the central government as protection provider shall be assigned a 0% risk weight if the exposure is denominated in a different currency that is the currency of another Member State?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6660
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/02/2023

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

Exposure to multilateral development banks

What are the criteria to be assigned a 0% risk weight by the EU under this regulation?  What is the process to apply to be assigned a 0% risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6680
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 24/02/2023

Treatment of expected credit losses (ECL) of financial instruments accounted for under fair value through other comprehensive income (FVOCI)

For debt instruments that are measured at FVOCI under IFRS 9: 1. Do ECL impairments qualify as specific credit risk adjustments? 2. Is the original exposure pre-conversion for the FVOCI debt instrument equal to the carrying value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments
  • ID: 2021_5735
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 23/02/2023

Exposure to an entity that holds a loan portfolio composed of purchased or self-originated loans which are secured by real estate properties and their assignment to the regulatory asset class “exposures associated with particularly high risk”

Does an exposure representing funding to an SPV that itself originates reverse mortgages loans with returns linked to the development of the relevant housing market and a business case involving a potential sale/securitisation of the underlying portfolio (see “Background on the question”) fulfil the requirements to be assigned to the regulatory asset class “exposures associated with particularly high risk” in accordance with Article 128(3) CRR and its specification as set out in EBA/GL/2019/01, even though the bank has contractual agreements with the SPV in place (i.e. covenants and LTV restrictions) which have a certain risk mitigating effect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6610
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Exposure to an entity that holds a loan portfolio composed of purchased or self-originated loans which are secured by real estate properties and their assignment to the regulatory asset class “exposures associated with particularly high risk”

Does an exposure representing funding to an SPV, that itself purchases loans originated for speculative immovable financing purposes, fulfil the requirements to be assigned to the regulatory asset class 'exposures associated wth particularly high risk' in accordance with Article 128(3) CRR and its specification as set out in EBA/GL/2019/01, even though the bank has contractual agreements with the SPV in place (i.e. covenants and LTV restrictions), which have a certain risk mitigating effect?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6609
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 27/01/2023

Residential property

Artcile 4 (75) presents the definitions for Residential property - “residential property” means a residence which is occupied by the owner or the lessee of the residence, including the right to inhabit an apartment in housing cooperatives located in Sweden; Question ID: 2015_2304 has a aswwer:  "For the avoidance of doubt, the exposure has to be secured by a mortgage on residential property which “is or shall be occupied or let by the owner”. This excludes situations where residential property “may” be built in the future (i.e. mortgages on land) but includes mortgages on building sites on which residential property will be built for the future owner of the property, or on residential property under construction, provided in both cases that there is certainty that the owner will occupy or let the property. In this sense, the 35% risk weight cannot be applied to exposures towards real estate developers. This treatment does only apply to exposures fully and completely secured by mortgages on residential property, and not where units were to be exploited commercially. " If real estate company owns houses/apartments/flats and this company leases them to natural persons (for living) does these houses/apartments are consideres as residential properties or commercial properties in Your view? Clear Yes and No answer is needed.  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6685
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 26/01/2023

Exposure Value in repurchase transaction

Under the accounting framework (IFRS) a repurchase transaction is accounted for as an off balance sheet commitment (encumbrance) for the debt securities given (or 'sold') and a liability for the debt towards the counterparty (representing the future 'repurchase' of the debt securities). With regards to such a transaction we have the following three questions, to confirm that our understanding is correct: A/ Is it correct that for the repurchase operation the final exposure value is to be calculated using the following elements:      E = the (dirty) market value of the debt securities given      C = the (dirty) cash borrowed in respect of the repurchase operation B/ Is this final exposure value E* to be presented as an counterparty credit risk on balance sheet exposure? C/ Does the debt securities itself also still have to be included as seperate exposures (with their respective risk weighted assets) (or does the calculated exposure value for the repurchase operation replace the direct exposure on the debt securities)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6605
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

Recognition of plots of land as real estate collateral

There are plots of land that are owned by individuals or businesses that have been purchased for future use without (e.g. dowry, future residential building for own use, commercial exploitation, etc) but without any current indication of what its use will be. It is a form of investment without any current indication of its exploitation. These plots of land are usually in the form of additional collateral for personal loans or business loans. Can these be recognised as commercial real estate collateral under article 126 if all minimum requirements are satisfied?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6566
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 21/12/2022

When to apply CCF to residential mortgage off balance sheet exposure

For off balance sheet exposures, when Article 125(2)(d) references 'the part of the loan' that is less than or greater than 80% of the property value, does this refer to exposure, or gross loan balances. Therefore, should the required CCF be applied before or after comparing the balance commitment to the property value?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6563
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 30/11/2022

SA-CCR cap margin agreement

How do you calculate the cap for netting sets subject to a contractual margin agreement mentioned in Article 274(3) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6571
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 04/11/2022

PRUVAL - Matching Total fair values liabilities with FINREP

Should the validation Rule v6566_s check the sign of row 0150 (1.2 TOTAL FAIR-VALUED LIABILITIES) of template C 32.01?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
  • ID: 2022_6581
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Definition of “prudential regulation in the Union” in Article 142(1)(4)(b)

Can insurance and re-insurance undertakings located in the EU be considered as non-prudentially regulated and therefore as non-eligible to the definition of large financial sector entity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5666
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Credit risk and EBA Clearing instant payment system RT1

  Credit institutions are participating in EBA Clearing instant payment system RT1. Whether the bank’s credit risk exposure related to the system holding balance is to the system operator, ie EBA Clearing or to the European Central Bank as the institution managing the consolidated accounts?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6475
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022

Article 111 or about

What CCF and provisions should be allocated, if any, in year 1/2/3/4 considering this special situation that I cannot find in the regulation?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2019/01 - Guidelines on specification of types of exposures to be associated with high risk under Article 128(3) of CRR
  • ID: 2022_6519
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 28/10/2022