EBA · 2025_7529 Rejected question

factor to apply to non performing exposures to which a risk weight is 0% in a performing situation for the purpose of calculating the amount of unsufficient coverage

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
47 c, para. a
Topic
Credit Risk – Non performing exposures / loan origination
Submitted by
Credit institution
Submitted
2025-07-18
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Question

is it possible to consider that the derogation applied to the part of the non-performing exposure guaranteed or counter-guaranteed by an eligible protection provider referred to in Article 201(1), points (a) to (e), the unsecured exposures to which would be assigned a risk weight of 0 % under Part Three, also applies to unsecured exposures themselves when assigned a risk weight of 0% ?

Background

Prudential provisioning supplements accounting coverage to account for the impact of the passage of time on loss risk. Article 47c (a)(i) states that when an exposure is secured by an exposure with a risk weight of 0%, the loss risk does not increase over the first 7 years of default. We understand that this relies on the guarantor's ability to meet the debtor's obligations, and that the final loss would remain negligible. Based on this assumption, the same treatment could be applied to exposures weighted at 0% themselves. In other words, a factor of 0 could be applied to non performing exposures that would be weighted 0% in a non-default situation.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2025_7529

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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