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)
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.
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