Regulatory Alerts2026-01-01
Final Report on Guidelines on proportionate retail diversification methods under Article 123(1) of Regulation (EU) No 575/2013
The European Banking Authority issued guidelines specifying proportionate diversification methods for retail exposures under the Standardised Approach of credit risk to ensure compliance with Article 123(1) of the CRR. Institutions may qualify portfolios for the preferential 75% risk weight even if individual exposures exceed the 0.2% granularity threshold, provided that the aggregate value of such large exposures does not exceed 10% of the total eligible retail portfolio. The document details the calculation methodology, including specific requirements for portfolios containing securitised exposures and derogations for investor positions where obligor information is unavailable.
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