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Appropriate Risk Weight for purchased defaulted assets

Where an entity subject to the CRR purchased Non-Performing Loans booked at the purchase price (net book value, “NBV”), which is significantly below the loans’ gross book value (“GBV”), can the difference between GBV and NBV be treated as specific credit risk adjustment when deciding whether a risk weight of 100% (rather than 150%) applies according to Article 127 CRR?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2017_3270| Topic: Credit risk| Date of submission: 12/04/2017

General and specific credit risk adjustments

Can a Supervised Entity not recognise changes in impairments, value adjustments or provisions in the calculation of the exposure value and thus avoid the deduction of these amounts from CET1? Or in case a Supervised Entity has changes in impairments, value adjustments or provisions, are these amounts automatically labelled as general or specific credit risk adjustments and shall therefore be accounted for in the calculation of the exposure value of an asset and deducted from CET1? 

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2017_3330| Topic: Credit risk| Date of submission: 06/06/2017

General credit risk adjustment (GCRA) inclusion into Tier 2 capital

For the purpose of the inclusion into institutions' Tier 2 capital and in the event of interim profits or year-end profits that have not been approved in accordance with Article 26(2) CRR (a.k.a. "interim GCRAs"), are the general credit risk adjustments (GCRAs) required to be immediately deducted from institutions' CET1 capital? Are "interim GCRAs" eligible as a Tier 2 capital regardless either the fulfilment of Article 26(2) of CRR, or without immediate reduction from CET1 capital?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2016_2807| Topic: Own funds| Date of submission: 27/06/2016

Assigning Specific Credit Risk Adjustments for a group of exposures to the exposures within the group

Following question 2013_499, could you confirm that this implies that the collective provisions allocated to specific portfolios for accounting purposes (FINREP) will agree at aggregate level with the amounts booked in the financial statements but the allocation for RWA to single exposures will differ from the allocation for accounting purposes to single exposures and thus a single exposure will show a different collective provision for accounting purposes (FINREP) than that for RWA?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2016_2574| Topic: Credit risk| Date of submission: 18/01/2016

Treatment of decreases of impairments in the calculation of the exposure value

In the context of published Q&A 2014_1087 how should a credit institution treat decreases of impairments, value adjustments or provisions (in case of reduced identified losses) recognised during the year, i.e. in the interim period, in the case where the competent authority has not given its permission to include the interim profit into the calculation of Common Equity Tier 1 capital, and the credit institution has not reflected the amounts with a corresponding "immediate reduction in Common Equity Tier 1 capital" although the changes in impairments, value adjustments or provisions for off-balance sheet items are reflected in interim profits or year-end profits?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2016_2629| Topic: Credit risk| Date of submission: 17/02/2016

Specific credit risk adjustments

Which item in the CA1 report should be used for reporting "immediate reduction in Common Equity Tier 1 capital" as described under Article 1 paragraph 1 second subparagraph of the Commission Delegated Regulation (EU) No 183/2014, in order to reduce the amount of exposure for specific credit risk adjustments for the purposes of calculation of risk-weighted assets?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2014_1087| Topic: Supervisory reporting - COREP (incl. IP Losses)| Date of submission: 22/04/2014

Inclusion of partial write-offs in credit risk adjustments

Are partial write-offs of loans in the banking book, accounted at amortised cost, to be included in the determination of specific and general credit risk adjustments set out in Article 110(4).

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2014_1064| Topic: Credit risk| Date of submission: 09/04/2014

Excess General Credit Risk Adjustments - Standardised Approach (SA)

Can institutions use the excess of SA general credit risk adjustments over the 1.25% cap to reduce SA exposure value under own funds requirements, or reductions to SA original exposure value are just limited to specific credit risk adjustments? If so, where should the excess of general provisions, not considered as Tier 2 due to the 1.25% cap, be deducted (i.e. Retail class)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2014_1199| Topic: Own funds| Date of submission: 14/05/2014

Specific collective provisions allocation

In line with question 2013_201, how do we allocate any specific (to particular portfolios) collective provisions to various asset classes? a) do we follow the rules applied when calculating the specific collective provisions by the relevant department?; or b) can we allocate them to past-due exposures first and then to the all other exposures?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 183/2014 - RTS for the calculation of specific and general credit risk adjustments

ID: 2013_499| Topic: Credit risk| Date of submission: 04/11/2013