Question ID:
2018_4293
Legal Act:
Directive 2013/36/EU (CRD) as amended
Topic:
Supervisory reporting - Supervisory Benchmarking
Article:
78
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph:
Annex IV, C103, c210-c220
Disclose name of institution / entity:
Yes
Name of institution / submitter:
BaFin
Country of incorporation / residence:
Germany
Type of submitter:
Competent authority
Subject Matter:
Definition of numerator for loss rate
Question:

How should the numerator of the loss rate be computed when some credit adjustments are applied to the exposure before the default date.

Background on the question:

Ensure that there is no other interpretation.

Date of submission:
25/09/2018
Published as Final Q&A:
26/07/2019
EBA Answer:

In order to ensure a meaningful benchmarking analysis where the loss rate is compared with the LGD, it is necessary that the numerator of the loss rate incorporates all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default date. 

Status:
Final Q&A