Credit risk
Credit risk focuses on the development of BTS, Guidelines and Reports regarding the calculation of capital requirements under the Standardised Approach and IRB Approach for credit risk and dilution risk in respect of all the business activities of an institution, excluding the trading book business. The objective is to provide a consistent implementation across the EU of the provisions related to topics such as credit risk adjustments, definition of default, permission to use Standardised/IRB approach, appropriateness of risk weights or credit risk mitigation techniques.
Technical Standards, Guidelines & Recommendations
Technical standards
Regulatory technical standards on the permanent and temporary use of IRB approach
These Regulatory technical standards (RTS) specify the conditions for the permanent and temporary uses of the Standardised Approach (SA) by institutions that have received permission to use the IRB Approach (the so-called IRB institutions). These RTS will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union.
Guidelines
Opinions, Reports and other Publications
Opinions
Opinion on the Commission’s amendments to the final draft RTS on equivalent legal mechanism
Opinion on the Commission’s amendments to the final draft RTS on equivalent legal mechanism
EBA Opinion on RTS on IRB assessment Methodology.pdf
Opinion on RTS on IRB assessment methodology
EBA BS 2017 17 (Opinion on the use of 180 DPD).pdf
EBA BS 2017 17 (Opinion on the use of 180 DPD)
EBA Op 2017 17 (Annex to the EBA Opinion on 180 DPD).pdf
EBA Op 2017 17 (Annex to the EBA Opinion on 180 DPD)
EBA-Op-2016-04 Report on SMEs and SME supporting factor.pdf
Report on SMEs and SME supporting factor (EBA-Op-2016-04)
EBA-Op-2016-01 Opinion on IRB implementation.pdf
EBA-Op-2016-01 Opinion on IRB implementation
EBA-Op-2015-17 Opinion on mortgage lending value.pdf
EBA-Op-2015-17 Opinion on mortgage lending value
EBA-Op-2015-04 Technical Advice on benchmarking pursuant to Art 78(9).pdf
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)
EBA-Op-2015-02 (EBA Opinion on CVA risk).pdf
EBA-Op-2015-02 (EBA Opinion on CVA risk)
EBA-Op-2013-04 (Final Opinion on CVA).pdf
Opinion of the European Banking Authority - Opinion on Credit Valuation Adjustment risk for the determination of a proxy spread (EBA/Op/2013/04)
Reports
EBA Report results from the 2024 Credit Risk Benchmarking Exercise
EBA 2024 report analysing variability in own funds requirements under the IRB approach, assessing credit risk parameters, PD and LGD comparability, and implementation of the IRB Roadmap across EU banks.
Report on credit insurance
EBA report under Article 506 of CRR3 analysing credit insurance as credit risk mitigation, covering eligibility of insurers, risk weight floors, LGD calibration under F-IRB, and regulatory treatment of unfunded credit protection in the Basel III framework.
EBA Report results from the 2023 Credit Risk Benchmarking Exercise
EBA 2023 report analysing variability in own funds requirements under the IRB approach, assessing credit risk parameters (PD, LGD), IRB roadmap implementation, and benchmarking results across European banks.
EBA Roadmap on strengthening the prudential framework
EBA roadmap outlining the timeline and key actions to strengthen the prudential framework for EU credit institutions under the Banking Package (CRD/CRR), covering credit risk, market risk, operational risk, reporting, disclosure, governance, and third-country branches.
EBA Report results from the 2022 Credit Risk Benchmarking Exercise.pdf
Report results from the 2022 credit risk benchmarking exercise
2022 Credit Risk Benchmarking - Chart Pack.pdf
Credit risk benchmarking - chart pack
Closure Report of COVID-19 measures.pdf
Closure Report of COVID-19 measures
Report on the application of the Infrastructure Supporting Factor.pdf
Report on the application of the Infrastructure Supporting Factor
Peer Review Report on NPE management.pdf
Report on the peer review on supervision of NPE management
EBA Report on the 2021 Credit Risk Benchmarking Exercise.pdf
Report on the 2021 Credit Risk Benchmarking Exercise
Other publications
Discussion paper on simplification and assessment of the credit risk framework
EBA discussion paper seeking stakeholder feedback on simplifying the credit risk framework under CRR, including proposals for the Standardised and IRB approaches, harmonisation of rules, and real estate exposure adjustments.
Peer Review report on the EBA Guidelines on the application of the definition of default
EBA peer review assessing implementation of the Guidelines on the application of the definition of default (EBA/GL/2016/07) across EU competent authorities, evaluating transposition, compliance, and supervisory practices under CRR framework.
Statement on the application of CRR 3 in the area of credit risk for the Internal Ratings Based Approach
EBA statement clarifying the application of CRR 3 for credit risk under the Internal Ratings Based (IRB) Approach, outlining implementation requirements, model landscape communication, and supervisory expectations for banks and authorities from January 2025.
Discussion paper on role of ESG risks in prudential framework.pdf
Discussion paper on the role of environmental risks in the prudential framework
EBA_INFSF.xlsx
Survey on the application of the infrastructure supporting factor
20131217 Report on the pro-cyclicality of capital requirements under the IRB Approach.pdf
European Banking Authority Report - Report on the pro-cyclicality of capital requirements under the IRB Approach (17 December 2013)
Interim-results-EBA-review-consistency-RWAs_1.pdf
European Banking Authority publication - Interim results of the EBA review of the consistency of risk-weighted assets (26 February 2013)