On 2 July 2025, the European Banking Authority (EBA) published a Consultation Paper on draft guidelines on credit conversion factor (CCF) estimation under the Capital Requirements Regulation (CRR).

Background

As institutions need to apply a risk weight (RW) to an exposure value for the calculation of own fund requirements, institutions should calculate the exposure value for off-balance commitments by multiplying the off-balance sheet (OBS) commitment with a CCF. This CCF is either a standardised value (SA-CCF), or may be modelled (IRB-CCF), subject to the approval of the Member State competent authority.

Under Article 182(5) of the CRR, as amended by Regulation (EU) No 2024/1623, the EBA is mandated to provide guidance to specify the methodology institutions shall apply for the own estimation and application of CCFs.

The draft guidelines, which are addressed to Member State competent authorities, specify the requirements for the estimation of CCF in accordance with Part Three, Title II, Chapter 3, Section 6 of the CRR.

Next steps

The deadline for comments on the Consultation Paper is 15 October 2025.

A public hearing will take place via conference call on 3 September 2025 from 15:00 to 16:00 CET. The deadline for registration is the 29 August 2025, 16:00 CET.