Question ID
2015_2421
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
78(9)
Type of submitter
Credit institution
Subject matter
C105.01 / 050 - EAD weighted average default rate for calibration
Question

C105.01 / 050 - EAD weighted average default rate for calibration. Is the specification only relevant to the PD models themselves? Also, does this mean the PD actually used for model build, or the latest monitored position?

Background on the question

C105.01 / 050 - EAD weighted average default rate for calibration. This has been interpreted as the standard EAD weighted annual default rate. We will take the latest available, aligned across portfolios. However, we are unclearIs whether the specification is only relevant to the PD models themselves? Also, does this mean the PD actually used for model build, or the latest monitored position?

Submission date
Final answer

The information in c050 of template C105.01 of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) is only relevant for PD models and does not need to be provided for LGD resp. CCF models.

In c050 of template C105.01 of the Draft ITS on benchmarking the exposure weighted default rate that was used for calibration purposes has to be provided. Therefore, this explanation does not refer to the current positions or risk profiles.

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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.