- Question ID
-
2015_2355
- 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, c060
- Type of submitter
-
Credit institution
- Subject matter
-
PD selection in case of substitution approach
- Question
-
In case of substitution approach application, the PD to be use (Annex IV, C103, c060), is the one of guarantor or the one of the obligor?
- Background on the question
-
A client with regulatory asset class Corporate, guaranteed by a Bank, has to receive the PD of the Bank or the one of the Corporate?
- Submission date
- Final answer
-
The PD assigned to the obligor grade or pool to be reported for the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) shall be based on the provisions laid down in Article 180 of Regulation (EU) No. 575/2013 (CRR). The PD to be reported shall be the PD used in the calculation of the RWA. Hence, in case the PD of the guarantor is used to calculate the RWA, then this is the PD that shall be reported.
DISCLAIMER:
The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.
- 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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.