EBA · 2019_4830 Rejected question

Definition of Rating and Date of most recent rating of counterparty

Regulation
Directive 2013/36/EU (CRD)
Article
78
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Competent authority
Submitted
2019-07-15
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Question

How is the rating and date of most recent rating of counterparty to be reported, in case there is an actual exposure but no valid rating available anymore?

Background

Counterparties with an outdated rating often receive a conservative predefined PD, e.g. PD of the worst non-defaulted rating grade. Which rating and date of most recent rating of counterparty is to be reported in these cases: • The outdated rating with the original date of the rating or • the most recent, e.g. worst non-defaulted, rating grade and the date of the change to the worst non-defaulted rating grade or • anything else?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_4830

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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