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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

Allocating exposures into the correct vintage buckets of the „NPL-backstop“ acc. to Art. 47c CRR applying Art. 469a CRR

For exposures classified as non-performing prior to 26 April 2019 and not exempt from the deductions from CET1 items for non-performing exposures acc. to Art. 36 (1)(m) applying the second subparagraph of Art. 469a CRR, which date should be considered when allocating those exposures into the vintage buckets of the “NPL-backstop” in COREP template C 35.01 to C 35.03 in order to determine the applicable amount of insufficient coverage for non-performing exposures acc. Art. 36 (1)(m) in conjunction with Art. 47c CRR: Is it the date on which the exposures were originally classified as non- performing, as it is with purchased non-performing exposures (see EBA ITS regarding C 35.01 c0010 - c0100) – in the example above a date prior to 26 April 2019? Or is it the date on which the criteria of the second subparagraph Art. 469a CRR (terms and conditions of the exposure - originated prior to 26 April 2019 - were modified by the institution in a way that increases the institution’s exposure to the obligor) were fulfilled and therefore the exposure shall be considered as having been originated on the date when the modification applies?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6425
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 22/03/2024

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 TTC model, clarification is needed on the expectation on the implementation of the back-testing performed in the validation phase.: Shall the back-testing at portfolio level verify that the average PD over historical observation period is aligned with LRA DR or, instead, shall the comparison be made between PD estimates current at the validation date and the LRA DR? Does it change according to the rating philosophy? Shall the back-testing always be performed on a 1-year validation sample, regardless the type of TTC calibration philosophy and regardless the length of the calibration sample? How shall the rating philosophy be taken into consideration when assessing the outcome of back-testing at grade level? Provided that the main aim of the calibration is to reflect the LRA DR, is the any case where the alignment to 1-year default rate should get a higher weight in validation assessment, although in a TTC calibration philosophy?

  • 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: 2023_6747
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 23/02/2024

Use of the last available data for risk quantification sample

Given the requirements of Articles 179(1)(a) and 175(4)(b) CRR, 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 out-of-time validation tests?

  • 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: 2023_6798
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 02/02/2024

CCR treatment of exposures arising from centrally cleared transactions - indirect clearing flows

Does an institution which is a client of a clearing member or a lower-level client in a multi-level client structure (institution > intermediary/higher-level client > clearing member > central counterparty) need to verify that Art. 305 (2) or (3) conditions are met at every level of the structure to apply Art. 306 (1) CRR, which might also entail zeroing out the exposure value arising from the transaction between the institution and the clearing member or the higher-level client if the institution is acting as a financial intermediary between a client and a CCP? Guidance is sought on 4 possible clearing flows: Indirect clearing flows (clients’ transactions and institution’s own transactions) Client > institution > clearing member > CCP Institution > clearing member > CCP Multi-level indirect clearing flows (clients’ transactions and institution’s own transactions) Client > institution > intermediary/higher-level client > clearing member > CCP Institution > intermediary/higher-level client > clearing member > CCP

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6839
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 02/02/2024

Treatment of repurchase agreements and reverse repurchase agreement, as well as securities or commodities lending/borrowing of the banking book under standardised approach of credit risk.

Shall the transferor of an operation like the one described below include for credit risk capital requirements purposes both the exposure value of the securities sold (asset item) and the financing position (even if it is a liability item), or just the asset item of the securities sold?According to Article 111(2) CRR the exposure value of any repurchase transaction shall be included and be calculated either in accordance with Chapter 4 or Chapter 6 of Title II: does it also refers to the financing position of the transferor (even if it is a liability item)?What is the correct treatment for the financing position of the transferor? are securities also to be included as an exposure value in case the Financial Collateral Simple Method is used?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6774
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/01/2024

Preferential risk weight for indirect sovereign exposures in the currency of another Member State

May Article 500a be applied to exposure types other than government bond? May Article 500a paragraph 1 also be applied to indirect exposures, when the obligor is classified different from central governments or central banks? If so, the currency constraints imposed by the article 500a have to be referred to the unfunded credit protection of a central governments or central banks?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6770
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 12/01/2024

ITS ESG P3 - Annex II, Templates 10

1. Are general-purpose loans to pureplay companies in the scope of Template 10? 2. How sustainability linked loans with multiple sustainable performance targets be treated?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2022/2453 - ITS on ESG disclosures
  • ID: 2023_6878
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 15/12/2023

The risk-weighted exposure amount of the CIU’s exposures in mandate based approach

Could the institution use the information from the CIU management company about the notional amount of derivative positions of CIU to assess the value of those derivatives in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR? In particular, is the institution allowed to use the information from the CIU management company, that CIU doesn’t have derivatives in their portfolio and assess the value of those derivatives as zero in calculating risk-weighted exposure amount of CIU when using the mandate based approach in accordance with Article 132a(2) CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6670
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 04/08/2023

Treatment for strategic long-term non-listed equity exposures under simple risk weight approach as per Article 155(2) CRR

Can a RW of 190% be applied to long-term strategic investments in non-listed equity exposures as per Article 155(2) CRR, provided that they are in a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2023_6716
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 09/06/2023

Exposure of the borrower to ESG factors

Does the assessment of exposure and mitigating techniques in the referenced articles apply to the impact of the borrower on ESG factors, or to the impact of ESG factors on the borrower? 

  • 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: 2022_6606
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 21/04/2023

Determination of risk weight for a pass-through SPE exposure with underlying assets where the transaction does not fulfil the conditions for securitisations according to Article 4(1)(61) CRR.

Should an exposure to an SPE transaction with underlying assets and a single class of debt (pass-through structure), which does not fulfil the criteria of Securitisation, be recognised to determine the risk weight of the exposure by applying a look-through approach to the underlying assets as suggested by Article 390(7) CRR regarding large exposures treatment? Or should such exposure be treated as a (unrated) corporate exposure in accordance with Article 122 CRR?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_5738
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 17/03/2023

Purchase of credit receivables as a form of 'granting credits'

  Should the purchase of credit receivables be classified as 'granting credits' within the meaning of CRR's definition of credit institution? And if so, would a subject (a natural or legal person) whose activity is that of repeatedly purchasing credit receivables from a credit institution and concurrently taking deposits or other repayable funds from public, be required to obtain a license under Article 8 CRD?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6257
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/03/2023

Exposures in default secured by mortgages on residential property

How to classify an exposures, that is secured by mortgages on residential property and, according to the Article 124(2) of Regulation (EU) No. 575/2013 (CRR), is assigned a 150% risk weight and, at the same time, qualifies as 'Exposures in default' and meets the criteria listed in Article 127(1)(b) or (3) CRR, to assign it a 100 % risk weight?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6018
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 03/03/2023

Treatment of credit risk exposure for credit institutions accessing the overnight deposit facility via a national central bank

Should a credit institution accessing the overnight deposit facility via a national central bank (NCB) treat its credit exposure as being to the relevant NCB pursuant to Capital Requirements Regulation (CRR) Article 114(4), or to the European Central Bank (ECB) pursuant to CRR Article 114(3)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6467
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 22/12/2022

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: 2022_6432
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 22/12/2022

Preferential risk weight for exposures to central governments and central banks under Article 114(4) of CRR

Does Article 114(4) of CRR apply to both on-balance sheet and off-balance sheet liabilities (including the forward leg of an FX swap) in the same domestic currency and at least the same amount as the exposure to the central government or central bank (on- or off- balance sheet exposures)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6439
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Definition of private equity exposures in articles 155(2) and 155(3)

Do “private equity exposures in sufficiently diversified portfolios” eligible to a Risk Weight (RW) of 190% in simple risk weight approach in Article 155(2) and a PD of 65% in the PD/LGD approach in article 155(3) refer to any non-listed equity instrument and/or shares in a CIU or units in a CIU for which the underlying exposures are non-listed equity instruments, provided that they are part of a sufficiently diversified portfolio?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2022_6369
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Nature and treatment of off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date)

Should off-balance financial leasing exposures (generated by the lag between the order of the asset and the rental starting date) be considered as a “credit line” and hence fall into Article 166.8(d) of the CRR or as an “undrawn credit facility” and hence fall into Article 166.10?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6239
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Risk weights for exposures towards Member States’ central governments and central banks denominated and funded in the domestic currency of that central government and central bank.

Shall exposures towards Member States’ central governments and central banks denominated in the domestic currency of that central government and central bank be given a 0% risk weight if they are funded by equity denominated in the same currency?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6160
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022

Treatment of an institution’s investments into EU AIF managed by a non-EU AIFM and into closed-ended CIUs

Should not the investment of an institution into a closed-ended CIU which has been marketed in accordance with Article 42 of AIFMD, but is not marketed anymore due to the end of its marketing phase, remain eligible to apply the look-through to the underlying exposures of the CIU, provided the other relevant conditions for looking-through continue to be met?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2021_6057
  • Topic: Credit risk
  • Date of submission:
  • Published as final Q&A: 11/11/2022