Disclosure on Compliance with Maximum Loss Rates

Disclosure on Compliance with Maximum Loss Rates for exposures secured against domestic residential and commercial immovable property pursuant to the CRR as amended by Regulation (EU) 2024/1623 (“CRR III”)

In revising the standardised approach to credit risk, the own funds requirements for exposures secured by mortgages on immovable property has been structured in a more risk-differentiated manner. From 01.01.2025, an exposure-to-value (ETV) approach with higher risk weights is to be applied for the income-producing real estate segment. It is possible from deviate from this approach, if the national supervisory authority has published loss rates for property located in that Member State, that is lower than certain upper boundaries. The rules under the IRB Approach in this regard were generally maintained. In this case the ability for recognising property collateral continues to be based on the completeness of the collateralisation. By publishing the maximum loss rates that are lower than certain upper boundaries, it is possible to deviate from the general requirement that the risk of the obligor does not materially depend on the development in value of the underlying property or project.

The following upper boundaries have been set under the CRR III regime:

• losses stemming from loans collateralised up to 55 % of the market value by residential property (or commercial immovable property) do not exceed 0.3 % of the outstanding loans collateralised by residential property (or commercial immovable property) in any given year;
• the total losses stemming from loans collateralised by residential property (or commercial immovable property) do not exceed 0.5 % of the outstanding loans collateralised up to by residential property (or commercial immovable property) in any given year.

The reporting data used to calculate the maximum loss rates (up until the first report under the CRR III regime, i.e. until the data reported as of 31.12.2025) form the valid thresholds under CRR II. The reported loss data may only be considered as an approximate value for assessing the maximum loss rates under CRR III.

Based on the ongoing analyses about the Austrian real estate market, the FMA in consultation with the OeNB has arrived at the decision that conducting the hard test for exposures collateralised by commercial immovable property is no longer adequate, and therefore will not be extended. From 01.01.2025, the following applies:

• under the standardised approach to credit risk, exposures collateralised by residential property may also be weighted in accordance with Article 125 (1) CRR (loan-splitting approach) instead of the treatment stipulated in Article 125 (2) CRR, and under the IRB approach may be excluded from the requirement to meet Article 199 (2) point b CRR;
• under the standardised approach to credit risk, exposures collateralised by commercial immovable property are required to be weighted pursuant to Article 126 (2) CRR (ETV approach), and under the IRB approach may not be excluded from the requirement to meet Article 199 (2) point b CRR.

Further information: