EBA · 2013_558 Final Q&A

COREP CR IRB - Calculation of column 10

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
180
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Consultancy firm
Submitted
2013-11-25
Answered
2014-04-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

Background

Example: on an exposure, a PD of 0,01% has been assigned by the bank. Under Basel rule, PD will become 0,03% for Expected Loss and Capital requirement calculations. Which PD should be considered when computing average PD on column 10: original PD (0,01%) or regulatory PD(0,03%)

Answer

In column 010 of the CR IRB (C 08.01, C 08.02) template, the PD assigned after applying the regulatory floor (e.g. 0.03 %) shall be reported. This applies to the PD assigned to each obligor grade or pool and, where an aggregation shall be provided (e.g. total exposures), to the exposure weighted average of the PDs. This approach aims at reflecting the value used in the calculation of the risk-weighted assets.

Original source: European Banking Authority, Q&A ID 2013_558

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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