COREP CR IRB - Calculation of column 10 - obligor PD with or without CRM technique

In the CR IRB Template (C 08.01), when calculating the weighted average PD to be reported in column 010 in case of figures corresponding to an aggregation of obligor grades or pools, the PD assigned to the obligor and the PD value after credit risk transfer, respectively, shall be used for the relevant obligor grades or pools. These are the figures used for the calculation of the RWA in column 260.   In the breakdown by obligor grades or pools (C 08.02 Template), in case of credit risk mitigation with substitution effect on the exposure, the exposure is broken down according to the PD of the obligor in columns 020 and 030. From column 080 (inflows) onwards the covered part of exposure is broken down according to the PD of the guarantor and the uncovered part is broken down according to the PD of the obligor.   For the calculation of the weighted average PD in column 010, the PDs shall be weighted by the exposure value (column 110).   As regards the above example, the first interpretation is correct. Assuming the obligor and the guarantor are assigned to the same exposure class, the weighted average PD of 15 %, ((170*0%)+(30*100%))/200 = 15%, is reported e.g. in row 070/ column 010 of C 08.01 Template.