Question
How shall the rating (column 040) be reported in template C 101.00, in case more than one rating applies to a certain counterparty?
Background on the question
In accordance with the provisions of the Article 172 (1) e) CRR separate exposures to the same obligor could be assigned to different rating grades. This could occur in case a country transfer risk exists only for particular exposures (depending on whether the exposures are denominated in local or foreign currency). In these cases it is not clear which rating shall be reported.
Answer
If a counterparty has been assigned multiple rating grades in accordance with Article 172 (1) e) of Regulation (EU) No 575/2013 (CRR), column 040 of template C 101.00 of Annex III to Regulation (EU) 2016/2070 (ITS on Supervisory Benchmarking) shall be left blank. The PD reported in column 060 of template C 101.00 shall be the exposure-weighted PD where the weight is the EAD as defined for the purposes of column 110 of template C 101.00. Please see Q&A 2017_3635 for the treatment in the context of the benchmarking exercise 2018 (end-2017 data). *As of 21 March 2018 this answer has been amended in order to reflect the answer to Q&A 2017_3635. For reasons of transparency, changes are highlighted in tracked changes.