- Question ID
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2019_4916
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Accounting and auditing
- Article
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473a
- Paragraph
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3, 4
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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Not applicable
- Type of submitter
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Credit institution
- Subject matter
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Application of Articles 473a(3) and 473a(4) CRR (Practical application of Article 473a to exposures for which the approach to calculate RWAs changes after the day of initial application of IFRS 9
- Question
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If an institution, for purposes of calculating credit risk RWAs, is migrating to the Standardised approach as of the reporting date, and formerly was under the IRB approach on the date of initial application of IFRS 9: :
- should exposures relating to the reporting date (described under Article 473a(3)(a)) be included in the calculation concerning exposures which are subject to the Standardised approach (i.e. shall exposures included be those subject to the Standardised approach on that date)?
- Should exposures relating to the date of initial application of IFRS 9 (described under Article 473a(3)(b)) be included in the calculation concerning exposures which are subject to the IRB approach (i.e. shall exposures included be those subject to the IRB approach on that date)?
- Background on the question
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Under Article 473a(3), it is clearly specified that institutions shall calculate the difference between the amounts under points (a) and (b) separately for exposures that are subject to the Standardised approach and for exposures that are subject to the IRB approach.
Moreover, under Article 473a(4), it is specified that if the amount under point (a) does not exceed the amount under point (b), then institutions shall set the amount A4,SA and / or A4,IRB to zero (whichever applicable, if any). In case an institution is changing the risk-weighing approach for certain exposures (e.g., from IRB to Standardised), confirmation is required that, for the calculation of amounts A4,SA and A4,IRB (per Article 473a stipulations), these migrating exposures should form part of (a) the Standardised approach calculation perimeter for the amount concerning the reporting date and (b) the IRB approach calculation perimeter for the amount concerning the date of initial application of IFRS 9.
This question is relevant for the calculation of own funds and RWAs, and consequently the calculation and reporting of CET1 ratio, during the transitional period of application of IFRS 9 for institutions that change the risk-weighing approach for part of their portfolios after the date of initial application of IFRS 9 and which have opted to make use of the “dynamic approach” for IFRS 9 transitional adjustments.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
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Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
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- Status
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Rejected question