The European Banking Authority has opened a public consultation on draft Guidelines setting out the methodology institutions should use for their own estimation and application of credit conversion factors (CCFs) under the Capital Requirements Regulation. The proposal forms part of the IRB repair programme and aims to provide clear, consistent supervisory expectations for CCF estimation within the now-stabilised CRR framework. The draft builds on existing EBA guidance, in particular the Guidelines on Probability of Default (PD) and Loss Given Default (LGD) estimation, to align expectations across key IRB risk parameters and support a harmonised modelling approach. Much of the proposed CCF guidance formalises existing PD and LGD expectations, while introducing simplified approaches where appropriate in light of the lower materiality and narrower scope of CCFs, with the consultation paper also posing detailed questions to gather feedback on reducing unnecessary complexity without weakening prudence. Comments are due by 15 October 2025. A public hearing will be held by conference call on 3 September 2025 (15:00–16:00 CET), with registration closing at 16:00 CET on 29 August 2025, and consultation submissions will be published after the close unless confidentiality is requested.
European Banking Authority 2025-07-02
European Banking Authority launches consultation on draft guidelines for estimating and applying IRB credit conversion factors under the Capital Requirements Regulation
The European Banking Authority has launched a public consultation on draft Guidelines for estimating credit conversion factors (CCFs) under the Capital Requirements Regulation. Part of the IRB repair programme, it aims to harmonize supervisory expectations and simplify CCF estimation approaches. The draft aligns with existing guidance on Probability of Default and Loss Given Default, seeking feedback on reducing complexity while maintaining prudence.