| Preferred methodology (iterative vs. one-step) | Respondents, particularly from small and medium-sized institutions, generally favoured the one-step approach due to its simplicity and lower operational burden. The iterative method was seen as overly complex, requiring multiple recalculations, and was considered disproportionately demanding for smaller entities. Many respondents also called for an increase in the threshold from 5% to 10% under the one-step approach, noting that the lower threshold could significantly hinder access to the preferential risk weight and negatively affect lending capacity, especially to SMEs. Some suggested alternative criteria, such as absolute thresholds (e.g. 1,000 retail loans) or qualitative measures, although these were not clearly defined. | Taking during to accommodate certain the generally small greater compared the EBA at between institutions in the risk | the one-step and capital decided 10%. retail in line | into account the feedback received public consultation, the EBA decided the industry's requests to a extent by converging on the adoption of approach. This method was preferred by respondents, particularly medium-sized institutions, for its simplicity and operational ease to the iterative approach. To alleviate impact on smaller institutions, the to set the diversification threshold This calibration strikes a balance facilitating the implementation for and preserving sufficient granularity portfolio to control concentration with prudential standards. | One-step approach with 10% threshold |
| Frequency, basis and level of calculation | Respondents questioned the need for quarterly testing, stating that it would impose | Despite maintaining | | industry concerns, the EBA supported the quarterly frequency, using | None Amendments to |
| Comments Summary | of responses received a heavy operational burden, especially when combined with the iterative approach. Thus, they propose limiting the calculation to year-end to reduce complexity. In addition, submitters suggest using the ‘ amount owed ’ instead of exposure at default (EAD) to assess portfolio diversification, aligning with Article 123(1)(b). Finally, submitters find dual assessment at both individual and consolidated levels is not only overly complex but also prone to inconsistencies. They recommend performing the test solely at consolidated level. One association raised the issue of how | EBA exposure calculation individual industry the calculations portfolio potential exposures considers reflects level, EBA burdensome, level, each calculation. the principles own The | analysis EBA in does it reporting level funds EBA | at default (EAD) as the basis for and performing the test both at and consolidated level. Regarding the requests for a reduction in frequency, recognised that regular quarterly are important to ensuring ongoing granularity, especially in light of fluctuations in the composition of retail throughout the year. Further, the EBA that using exposure at default (EAD) the exposure value defined at facility line with the Basel standards. Moreover, not consider the test to be particularly as once it is implemented at IT should not pose an issue to perform it at date alongside the RWA Finally, the policy decision regarding of calculation is grounded in the outlined in the CRR, which require requirements to apply at both levels. acknowledges the complexity of such | the proposals Treatment for |
| Treatment of securitised exposures | securitised exposures should be treated within the retail diversification test. They noted the difficulty of applying the test to securitisation | cases final require | and Guidelines. | has made explicit the approach in the In particular, the Guidelines institutions to carry out the assessment | securitised exposure made explicit Amendments to |
| Comments Summary Comments Summary | of responses received pools, particularly when banks act as investors or retain only a portion of the securitised loans. of responses received | EBA of the three Finally, an securitised investors. EBA assessment securitisation exposures and templates Regulation diligence in derogation templates Regulation information. | analysis sub-portfolios: • • • alternative analysis on Articles | diversification condition separately for First, for the sub-portfolio consisting of non-securitised exposures, the numerator and denominator should include only non-securitised eligible retail exposures. Second, for securitised exposures where the institution acts as originator, the numerator and denominator should include both those securitised exposures and all non-securitised eligible retail exposures. Third, for securitised exposures where the institution acts as investor, the numerator and denominator should include only the underlying securitised exposures. to accommodate operational limitations, provision is introduced for exposures where institutions act as In such cases, the diversification is deemed to be fulfilled when the positions are backed by underlying for which information on the obligor the exposure value is not available in the referred to in Article 7 of (EU) 2017/2402, in line with the due and transparency requirements set out 5 and 7 of that Regulation. This applies only for as long as the mandated under Article 7(4) of (EU) 2017/2402 do not include such | the proposals Amendments to the proposals |