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?
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.