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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

Cut-off date for the implementation of the adjustment for massive disposals

The last part of the first subparagraph of Article 500 states that "The adjustment referred to in the first subparagraph [(i.e. Adjustment for massive disposals)] may only be carried out until 28 June 2022 and its effects may last for as long as the corresponding exposures are included in the institution's own LGD estimates".  How is 28 June 2022 to be interpreted? Is it a repetition of point (b) of subparagraph 1 (i.e. "the dates of the disposals of defaulted exposures are after 23 November 2016 but not later than 28 June 2022") or it represents the cut-off date by which the adjustment can be estimated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6174
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Treatment of non-performing exposures underlying a CIU

Could you clarify if non-performing exposures underlying a CIU should be subject to deductions in accordance with point (m) of Article 36(1) of CRR when using the look-through approach in accordance with Article 132a(1) of CRR or the mandate based approach in accordance with Article 132a(2) of CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5629
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Formula to be applied in case of a switch from multiple netting sets to a single netting set

Which formula shall or may be applied in case of a switch from multiple netting sets to a single netting set? Is it allowed to continue application of Formula 3 on single netting sets, - if the single netting set is covered by a margin agreement, which allows coverage for multiple netting sets? - If the singularity of the netting set is just temporary, eg due to the fact that further transactions have been closed or not yet opened?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5482
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/07/2022

Real estate inspection for real estate valuation

What does the term 'valuer' mean? In particular, does it mean only a certified person? Will it be in line with the EBA guidelines if the inspection is done by non-certified assistants, sub-assistants, real estate agents, or even the real estate owner (owner takes pictures and sends to valuator)?  

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2021_6325
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 10/06/2022

Range of application of the LGD regulatory floor for the calculation of own funds requirements at individual and consolidated levels

Shall the LGD regulatory floor be applied at the territory level of the Member state to exposures secured by property located in the territory of that Member state (Article 164(7) CRR) for the calculation of own funds requirements at any level, i.e. individual and/or consolidated level?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4859
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 18/02/2022

Calculation of NPV loss in case of (internal) refinancing

Which NPV loss should be taken in order to calculate the NPV loss if the 1% threshold is breached and the forborne loan contract should be placed in default?

  • 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: 2021_6045
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Aggregation of separate client exposures for a transaction with underlying credit risk exposure

Is it necessary to group and aggregate all separate client exposures from a single transaction with underlying credit risk to one exposure and, as such, treat this aggregated separate client as a single client exposure?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 1187/2014 - RTS for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets
  • ID: 2021_5746
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Use of UTP triggers when default definition is on facility level

If an obligor has a mortgage loan and other loans (like credit card, private loan, business loans etc.) where definition of default is on the facility level, and the institution has certain obligor level triggers (bankruptcy, death, divorce etc.) and the obligor defaults on his mortgage (due to an obligor level trigger), should there be an automatic cross default on the other loans as well. If the opposite happens, i.e. the obligor defaults on one of the other loans (also due to an obligor level trigger) should the mortgage be defaulted as well?

  • 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: 2020_5592
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Original maturity for off-balance sheet items

How is the „original maturity” identified for items in CRR Annex 1 (2)(b)(ii)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5297
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Issues related to para (89) of the EBA/GL/2017/16 with regards to the calibration procedure of the PD models to be conducted “after taking into account any overrides applied in the assignment of obligors to grades or pools”

With regards to the interpretation of the requirement reported in paragraph (89) of the Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16), is it correct that if a ranking method or overrides policy has changed over time, the institutions cannot “conduct the calibration after taking into account any overrides applied in the assignment of obligors to grades or pools”, because the relevant data is not available (e.g. in case of a model change the rating produced by the new PD model cannot include the override process)? With regards to the interpretation of the requirement reported in par. 89 of the GLs, is it correct that if a ranking method or overrides policy has changed over time, the institutions should “analyse the effects of these changes on the frequency and scope of overrides and take them into account appropriately” in the annual review of estimates framework, once the relevant data becomes available, meaning that the new rating attribution process has been fully deployed and used by the analysts of the Supervised Entity?

  • 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_5029
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

Residential Reverse mortgages RWA

Could you clarify the regulatory RWA treatment for residential reverse mortgages exposure? Are those exposures subject to the standardised approach for RWA calculation?Is the regulatory treatment linked to the level of loan to value (LTV) the same as residential mortgages?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4934
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/02/2022

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

Scope of application of EBA guidelines on loan origination and monitoring

Are sections 4, 5 and 8 of the EBA guidelines on loan origination and monitoring not applicable to agreements referred to in Article 2(2)( h) of Directive 2008/48/EU, while all other parts of the guidelines are still applicable to those agreements?   

  • Legal act: Directive 2013/36/EU (CRD)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: EBA/GL/2020/06 - Guidelines on loan origination and monitoring
  • ID: 2021_6130
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 07/01/2022

Maturity calculation under IRB for exposures that only have contractual cashflows in the form of fees

Does Article 162(2)(a) of Regulation (EU) No 575/2013 (CRR) apply to exposures for which cash flow schedules contractually payable by the obligor are only fee-related (e.g., as in the case of guarantees)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5773
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Treatment of cured defaulted exposures

For the treatment of cured defaulted exposures, a probation period of 90 days with no default triggers must apply before the exposure is moved back to a non-defaulted status. According to Article 178(1)(b CRR) default shall be considered to have occurred with regard to a particular obligor when the obligor is more than 90 days past due on any material credit obligation. However, if the material arrears fall below the thresholds, the arrears counter will reset to 0. Should the probation period of 90 days with no default triggers apply before the exposure is moved back to a non-defaulted status?

  • 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: 2021_5754
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Look-through application under IRB approach

When an institution applies the look-through approach to units or shares of Collective Investment Undertaking (CIU) under the IRB approach and where the institution is allowed to use IRB advanced approach for the underlying credit exposures of the CIU in accordance with Article 148 CRR, can the institution still use the standard approach for those underlying exposures of which obligors are not internally rated and/or for which the information required for own LGD estimation are not available to the institution?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5712
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Calculation of the collateral value of immovable property considering minimum level of over-collateralisation ratio

Should the haircut due to minimum level of over-collateralisation be reflected in the calculation of collateral value with or without the deducted prior claims? Besides market value or mortgage lending value is there any other value that could be considered for the calculation purposes?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5685
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Treatment of third country covered bonds under IRB Approach

Which LGD should be applied for third country covered bonds (issued under a dedicated legal framework) which are not eligible for the same LGD as UCITS 52(4)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5522
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Use of the “maturity of the tranche” (MT) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments for securitisation positions under Table 1 of Article 224(1) CRR.

Where collateral takes the form of securitisation positions meeting the criteria in Article 197(1)(h) CRR, can the institution use the “weighted average maturity” (WAM) as defined in Article 257 CRR as the “residual maturity” for purposes of the volatility adjustments set out in Table 1 of Article 224(1) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2020_5211
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021

Use of short-term credit assessments with Article 120(2) CRR

May short-term issuer or issue ratings be used to assign risk weights in the general preferential treatment for short term exposures of article 120(2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2019_4942
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/12/2021