Credit Risk (CR)

EBA Reporting for Credit Risk (CR) ensures that financial institutions accurately measure and disclose their credit exposures, capital requirements, and risk-weighted assets (RWAs) under the Capital Requirements Regulation (CRR). Credit risk refers to the potential losses due to a borrower or counterparty failing to meet contractual obligations. 

Banks must report credit risk data through COREP (Common Reporting Framework) templates, distinguishing between different exposure classes such as corporates, retail, sovereigns, institutions, and specialised lending. The two main approaches for calculating RWAs are: 

• Standardised Approach (SA): Uses predefined risk weights based on external credit ratings and regulatory classifications. 
• Internal Ratings-Based (IRB) Approach: Allows banks with regulatory approval to use their own models to estimate Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). 

Key reporting templates include: 

• C 07.00 – C 13.00 (SA and IRB exposures): Covering RWAs, capital requirements, and breakdowns by exposure class. 
• C 14.00 – C 17.00 (Defaulted exposures & Credit Risk Mitigation - CRM): Reporting provisions, collateral, and guarantees. 

CRR3 introduces output floors to limit RWA reductions under IRB models and strengthens credit risk capital requirements. Accurate EBA reporting ensures compliance, enhances risk management, and aligns EU banks with Basel III/IV standards. To book a CR demo, talk to one of our Suade specialists today!