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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.