Securitisation and Regulation News

EBA Consults on Technical Standards on Calculation of Credit Risk Adjustments

The EBA issued a consultation on Draft Regulatory Technical Standards (RTS) on the specification of the calculation of specific and general credit risk adjustments. The proposed draft RTS elaborates 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. The deadline for comment is 30 September.

EBA consultation