Question
C105.01 / 080 - Cure rate for defaulted assets. Is this only applicable to the PD models?
Background on the question
C105.01 / 080 - Cure rate for defaulted assets. This is the in/out of default at the end of the 12 montrh observatiion. We require clarity on whether this is only applicable to the PD models.
Answer
C080 of Template C105.01 of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) is to be reported for LGD models only. 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.