Question ID:
2018_4292
Legal Act:
Directive 2013/36/EU (CRD) as amended
Topic:
Supervisory reporting - Supervisory Benchmarking
Article:
78
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
Article/Paragraph:
Annex IV, C103, c230-c240
Disclose name of institution / entity:
Yes
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.

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