Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Disclose name of institution / entity:
Name of institution / submitter:
Country of incorporation / residence:
Type of submitter:
Consultancy firm
Subject Matter:
Inclusion of expected loss for equity exposures in calculation of Expected loss amount reducing CET1

Shall the expected loss amount for equity exposures under the IRB approach be offset against the specific and general credit risk adjustments of all risk positions?

If not, how shall they be treated? Does it has to be deducted from CET 1 in either case, also if there is a surplus increasing T2 according to Article 62 (d)?

Does this also mean that EL for equity exposures shall be reported in CA4 row 140 respective 155 or not?

Background on the question:

Articles 158 and 159 CRR describe the treatment of expected loss amounts. In particular Article 159 states: "Institutions shall subtract the expected loss amounts calculated in accordance with Article 158 (5), (6) and (10) from the general and specific credit risk adjustments and additional value adjustments [...]". The calculation EL for equity exposures is described in Article 158(8), so one could conclude that they do not have to be subtracted of the credit risk adjustments. The problem is that we do not understand how to report this fact in the CA templates. 

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

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Rejected question