Question ID
2019_4938
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
151
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Credit institution
Subject matter
Prudential backstop (Regulation 2019/630) and interaction with RWA calculation
Question

Is the prudential backstop deficit under Article 151(1) taken into consideration for the calculation of risk-weighted assets on exposures treated under the advanced IRB approach?

Background on the question

Regulation 2019/630 introduced under Article 111(1) of Regulation (EU) No 575/2013 (CRR) that for standardised approach exposures the prudential backstop shortfall is deducted when calculating exposure value and thus no RWA will be calculated on that part of the exposure deducted from available capital. However Regulation 2019/630 does not address how to treat the prudential backstop deficit when calculating RWA on exposures treated under IRB advanced.

 

We find unclear what is the impact of prudential backstop (Regulation 2019/630) on RWA under IRB advanced. In our view the exposure value to be used for the RWA calculation has to be net of the prudential backstop shortfall and this reading leads to an improved capital solvency ratio.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question