Question ID:
2013_558
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
180
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
180
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Moody's Analytics
Country of incorporation / residence:
France
Type of submitter:
Consultancy firm
Subject Matter:
COREP CR IRB - Calculation of column 10
Question:

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

Background on the question:

Example: on an exposure, a PD of 0,01% has been assigned by the bank. Under Basel rule, PD will become 0,03% for Expected Loss and Capital requirement calculations. Which PD should be considered when computing average PD on column 10: original PD (0,01%) or regulatory PD(0,03%)

Date of submission:
25/11/2013
Published as Final Q&A:
04/04/2014
Final Answer:

In column 010 of the CR IRB (C 08.01, C 08.02) template, the PD assigned after applying the regulatory floor (e.g. 0.03 %) shall be reported. This applies to the PD assigned to each obligor grade or pool and, where an aggregation shall be provided (e.g. total exposures), to the exposure weighted average of the PDs. This approach aims at reflecting the value used in the calculation of the risk-weighted assets.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
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