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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

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

Original maturity of credit lines until-further notice

For risk classification as off-balance sheet item according to Annex I CRR, is the original maturity longer than one year where non-retail credit lines until further notice (i.e. no fixed maturity) may be cancelled with 3 months advance notification period and even immediately in case the borrower becoming delinquent or declaring bankruptcy?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4486
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

To which exposure class the fair value changes of the hedged items in portfolio hedge of interest rate risk should be assigned

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned. The recorded exposure relates to a bottom layer macro fair value hedge of mortgage loans. Due to the application of the bottom layer macro fair value hedge approach there is no individual allocation of the exposure value of the hedged item to the individual mortgage loans. Should this exposure be treated as an 'exposure secured by mortgages on immovable property' or as 'other items', and subsequently, which risk weight should be applied to this exposure.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4441
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Short-term Exposures

What does short-term in this context mean? 90 days of remaining maturity or original maturity of 1 year?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5053
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Fair value adjustments that arise as a result of applying fair value hedge accounting

Should fair value adjustments which arise as a result of applying fair value hedge accounting to mitigate interest rate risk be treated under the CRR credit risk framework or under a different risk framework? And if under a different risk framework, which risk framework should that be?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4406
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

RWA calculation and the applicable amount of insufficient coverage for non-performing exposures deducted from CET1 items

Under Article 151(1) CRR, can non-performing exposures, or parts thereof, belonging to one of the exposure classes referred to in points (a) to (e) and (g) of Article 147(2) CRR, be exempted from being risk-weighted to the extent that the related applicable amounts of insufficient coverage for those non-performing exposures have been deducted from Common Equity Tier 1 items, in accordance with Article 36(1) (m) CRR2? Can the applicable amounts of insufficient coverage for non-performing exposures belonging to one of the exposure classes referred to in points (a) to (e) and (g) of 147(2) that have been deducted from CET1 items, in accordance with Article36(1)(m) CRR, qualify as 'exposures deducted from own funds' or 'exposures deducted from Common Equity Tier 1 items, Additional Tier 1 items or Tier 2 items, for the purpose of Article151(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_5031
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight for new asset class of non-preferred senior debt

What risk weight should be applied to non-preferred senior (NPS) debt, under the standardised approach for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4306
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

PD Calibration Sample

Given the definition of PD calibration provided in EBA/GL/2017/16 section 2.4 paragraph 8, and the requirements for the calibration sample provided in section 5.3.5, paragraph 88 of the same guidelines, for developing a Through-the-Cycle (TTC) model, under which conditions it is mandatory to adopt the current portfolio or a multi-year snapshots as calibration sample? And consequently should the calibration testing in validation phase verify the alignment between the Central Tendency and the PD estimations on recent portfolio snapshot or multiyear sample?

  • 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: 2018_4159
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Exposure treatment for trades with Specific Wrong-Way risk

In the Q&A 2016_2590, EBA indicates that "Article 291 CRR only applies to the internal model method (IMM) for CCR. It has to be noted that for these kind of trades, special exposure treatment is required according to Article 291(5)(b)-(f) CRR". However, last paragraph of article 273 of CRR indicate that "For the methods set out in Sections 3 to 6, institutions shall treat transactions where specific wrong way risk has been identified in accordance with Article 291(2), (4), (5) and (6) as appropriate". It seems, consequently, that article 291 of CRR (included article 291 (5) (b) - (f)) should also be applied to Mark-to market method (section 3), to Original exposure method (section 4) and to Standardized method (section 5). Could you please confirm ?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_4020
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Risk weight of EU unrated central bank whose exposures are guaranteed by its EU government which is rated CQS1

What should be the risk weight of an EU unrated central bank whose exposures are fully guaranteed by its EU government which is rated CQS1?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2014/05 - Guidelines on significant credit risk transfer
  • ID: 2019_4954
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Look-through approach resulting in a credit risk position of own institution

When applying the look-through approach of Article 132(4) CRR, what risk weight shall an institution apply to a position that is based against its own institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3949
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Use of short-term issuer credit assessments with Article 131

May short-term issuer ratings be used to assign risk weights in the context of article 131?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4941
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Applicable treatment of fair value changes for the identification of the applicable RW to exposures in default under the Standardised Approach

In the application of Article 127 CRR, should the credit risk adjustments embedded in the fair value be considered in the calculation of the percentage of the unsecured part of the exposure value represented by credit risk adjustments?

  • 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: 2018_3785
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Prudential backstop (Regulation 2019/630) and interaction with RWA calculation

Is the prudential backstop deficit under Article 151(1) taken into consideration for the calculation of risk-weighted assets on exposures treated under the advanced IRB approach?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4938
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Definition of 'explicit guarantee arrangements' for the purpose of classification of non-commercial undertakings as public sector entities

What conditions should be met by a given agreement in order to qualify as an 'explicit guarantee arrangement'?Shall the ‘explicit guarantee arrangements’ for the purpose of definition of public sector entities also be ‘guarantees’ eligible as unfunded credit protection or not?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2018_3694
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Classification of direct reductions in the accounting value as credit risk adjustments

For the calculation of the exposure value in accordance to Article 166(1) CRR, shall the accounting value of credit exposures on the banking book (measured at FVTPL in accordance with IFRS 9) be increased by the amount of fair value adjustments?For the purposes of the treatment of expected loss amounts in accordance to Article 159 CRR, shall the credit risk related adjustments embedded in the fair value of the banking book exposures be considered as credit risk adjustments or other own funds reductions related to these exposures? How does this interact with the calculation of exposure value in accordance with Article 166(1) CRR?

  • 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: 2018_3662
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Interpretation of the term “commercial immovable property” especially “other commercial premises” for the application of the preferential risk weights for the risk weight assets purposes according to the Article 126 of the CRR.

What is the definition of “other commercial premises” as commercial immovable property in Article 126 CRR for the purposes of application of preferential risk weights for the risk weight assets purposes, if all other conditions stipulated in the CRR are met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2017_3615
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022