Question ID
2018_4292
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex IV, C103, c230-c240
Name of institution / submitter
BaFin
Country of incorporation / residence
Germany
Type of submitter
Competent authority
Subject matter
Definition of PD*/PD** for RWA*/RWA**
Question

Regarding the treatment of continuous ratings, the former description of RWA*/** stated: "An institution using continuous PD shall first determine the PD* for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at obligor grade level." This paragraph has been deleted for RWA-/--/+/++. Shall the rating grade used for reporting requirements by the bank be used for the caclulation of p-/--/+/++?

Background on the question

Ensure that there is no other interpretation.

Submission date
Final answer

The COREP reporting scale (column 005 of COREP template C 08.02 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) should be used for the calculation of p-/--/+/++. Consequently, the RWA-/--/+/++ metrics should be computed at the grade level. 

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.