Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
Annex 2, Solvency
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions
Annex 2, Solvency
Disclose name of institution / entity:
Type of submitter:
Competent authority
Subject Matter:
Calculation of exposure-weighted average PD (column 0050 in C08.03)

It is not clear from the instructions how the exposure-weighted average PD in template C08.03 (Breakdown by PD ranges) should be calculated.

Background on the question:

According to Annex II to Regulation (EU) 451/2021 (ITS on Reporting), exposures shall be allocated to an appropriate bucket of the fixed PD range of the rows specified in the template, based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). Then, in column 0050 institutions shall provide, for all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post conversion factors and CRM as reported in column 0040.

In the following example, which would be the correct PD to be reported in column 0050?:

The institution has only one exposure of 1000 EUR to a corporate client, to which it has assigned a 20% PD. Half of this exposure (500 EUR) is guaranteed by a central government, to which the institution has assigned a 0% PD.

What is the correct PD to be reported in column 0050?

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the matter it refers to is in the process of being answered in Q&A 6718.

Rejected question