Single Rulebook Q&A

Question ID: 2018_4292
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for 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**

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.

Date of submission: 25/09/2018
Published as Final Q&A: 26/07/2019
EBA 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: Final Q&A
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