Credit risk | European Banking Authority (2024)

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.

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Technical Standards, Guidelines & Recommendations

Technical standards

Under consultation

Regulatory Technical Standards on the allocation of off-balance sheet items and UCC considerations

Under consultation

Technical standards on the new Business Indicator framework for operational risk

Adopted and published in the Official Journal of the EU

Implementing Technical Standards on NPL transaction data templates

Adopted and published in the Official Journal of the EU

Regulatory Technical Standards on the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs)

Adopted and published in the Official Journal of the EU

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

Adopted and published in the Official Journal of the EU

Regulatory Technical Standards on materiality threshold of credit obligation past due

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.

Adopted and published in the Official Journal of the EU

Regulatory Technical Standards on risk mitigation techniques for OTC derivatives not cleared by a central counterparty (CCP)

These Regulatory Technical Standards (RTS) are to be developed by the Joint Committee of the European Supervisory Authorities (ESAs) will define the risk mitigation techniques to be put in place for OTC derivatives not cleared by a central counterparty (CCP). In particular, it will elaborate on the level of capital and collateral counterparties to derivatives transactions need to maintain, the type of collateral and segregation arrangements as well as on the procedures to apply an intragroup exemption.

Adopted and published in the Official Journal of the EU

Regulatory Technical Standards on assessment methodology for IRB approach

Adopted and published in the Official Journal of the EU

Regulatory technical standards on specialised lending exposures

Guidelines

Final and translated into the EU official languages

Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the COVID-19 crisis

Guidelines on loan origination and monitoring

The Guidelines specify the internal governance arrangements for granting and monitoring of credit facilities throughout their lifecycle. They introduce requirements for borrowers’ creditworthiness assessment and bring together the EBA’s prudential and consumer protection objectives. The guidelines aim to ensure that institutions have robust and prudent standards for credit risk taking, management and monitoring, and that newly originated loans are of high credit quality.

Final and translated into the EU official languages

Guidelines on management of non-performing and forborne exposures

Final and translated into the EU official languages

Guidelines on specification of types of exposures to be associated with high risk

Guidelines on the revised large exposures regime

Final and translated into the EU official languages

Guidelines on the application of the definition of default

Guidelines on common reporting of large exposures

Under development

Guidelines on the treatment of CVA risk under SREP

Final and translated into the EU official languages

Guidelines on the implementation, validation and assessment of Advanced Measurement (AMA) and Internal Ratings Based (IRB) Approaches

Final and translated into the EU official languages

Implementation Guidelines on large exposures exemptions for money transmission, correspondent banking, clearing and settlement and custody services