EBU Single Rulebook Q&A 12 May 2023 2023_6803 Bucket definition (PD range) in the ITS on supervisory reporting
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European Union · · · 06-10-2023
DoesQ&A 6718also modify the definition of the row 'PD Range'? In Annex II to Regulation (EU) 2021/451, paragraph 77 referring to template C 08.03, it ‘s clearly stated that the “exposures shall be allocated to an appropriate bucket of the fixed PD RANGE based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM)”.
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