EBA · 2019_5038 Rejected question

Calculation of absolute value that should be considered according to Article 47c CRR as amended by Regulation UE 2019/630- Deduction for non-performing exposure

Name: Calculation of absolute value that should be considered according to Article 47c CRR as amended by Regulation UE 2019/630- Deduction for non-performing exposure: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 47c, para. 1
Topic: Own funds
Submitted by: Credit institution
Submitted: 2019-12-11

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Question

How to calculate the absolute value attributable to each non-performing exposure “where the absolute value attributable to each non-performing exposure is determined by multiplying the amounts deducted pursuant to point (d) of Article 36(1) by the contribution of the expected loss amount for the non-performing exposure to total expected loss amounts for defaulted or non- defaulted exposures, as applicable" as indicated in the Article 47c 1(b) (iv)

Background

According to Article 36(1)(d) CRR2, Institution using the IRB Approach deducts from CET 1, negative amount resulting from the calculation of expected loss amounts, considering performing and non-performing exposures. However, Calendar Provisioning framework refers to non - performing exposure. In this context, in order to calculate the absolute value attributable to each non-performing exposure, it is not clear if, the total expected loss amounts should consider both defaulted and non-defaulted exposure.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_5038

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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