Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Own funds
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
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

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 on the question:

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.

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

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Rejected question