17 July 2012

EBA consults on technical standards on the calculation of credit risk adjustments

The European Banking Authority launched a consultation on Draft Regulatory Technical Standards (RTS) on the specification of the calculation of specific and general credit risk adjustments. These RTS will be part of the single rulebook aimed at enhancing regulatory harmonisation in Europe.

The proposed draft RTS elaborate on the specification for the calculation of specific credit risk adjustments (SCRAs) and general credit risk adjustments (GCRAs) under the applicable accounting framework for:

• the determination of exposure values according to Articles 106 (exposure value under Standardised Approach), 162 to 164 (exposure value under IRB Approach), 241 and 261 (exposure value under Securitisation) of the CRR;
• the treatment of expected loss amounts according to Article 155 (expected loss amounts resulting from IRB Approach) of the CRR; and
• the determination of default under Article 174 (definition of default of an obligor or at credit facility level) of the CRR.

This RTS has been drafted in a way that it can be applied irrespective of the accounting framework.

The proposed consultation paper is based on the draft Capital Requirements Regulation (CRR) as proposed by the European Commission on 20th July, 2011. Significant changes subsequently proposed during the legislative procedure were also taken into account. As the text is still being discussed by the EU legislator, some of the mandates for the EBA to develop Binding Technical Standards (BTS) may be modified, added or deleted in the adopted Regulation. Therefore, the proposed RTS may be amended after the consultation to take into account the final CRR text.

These RTS have to be submitted to the EU Commission by 1 January, 2013. Comments on this paper can be sent to the EBA by 30 September, 2012.

Full consultation paper

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