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

  • Discussion Paper on EU implementation of MKR and CCR revised standards

    This paper discusses some of the most important technical and operational challenges to implement the FRTB and SA-CCR in the EU. The paper aims at providing some preliminary views on how these implementation issues could be addressed and, at the same time, seeks early feedback from the stakeholders on the proposals. The paper also puts forward a roadmap for the development of the regulatory deliverables on the FRTB and SA-CCR included in the CRR2 proposal.

    Status: Under development

  • Guidelines on the treatment of CVA risk under SREP

    The Guidelines are based on a policy recommendation contained in the EBA’s CVA report and aim to provide a common European approach to assessing CVA risk under SREP. Additionally, these Guidelines will provide a common European approach to the assessment of capital adequacy of own funds and the determination of potential additional own funds requirements for CVA risk.

    Status: Under development

  • Guidelines on the application of the definition of default

    These Guidelines harmonise the definition of default across the EU prudential framework and improve consistency in the way EU banks apply regulatory requirements to their capital positions. A detailed clarification of the definition of default and its application is provided in these Guidelines, which cover key aspects, such as the days past due criterion for default identification, indications of unlikeliness to pay, conditions for the return to non-defaulted status, treatment of the definition of default in external data, application of the default definition in a banking group and specific aspects related with retail exposures.

    Status: Final and translated into the EU official languages

  • Regulatory Technical Standards on exclusion from CVA of non-EU non-financial counterparties

    These Regulatory Technical Standards (RTS) align the treatment of non-financial counterparties (NFCs) established in a third country with the treatment of EU NFCs. As NFCs established in a third country are not directly subject to EU regulation, these RTS specify that it is for the institution to check that a counterparty established in a third country would qualify as a NFC if it were established in the EU and, if that is the case, that this NFC calculates and does not exceed the clearing threshold in accordance with EMIR provisions in this respect.

    Status: Final draft adopted by the EBA and submitted to the European Commission

Opinions, Reports and other Publications




Other Publications