Single Rulebook Q&A

Question ID: 2018_4293
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
Article/Paragraph : Annex IV, C103, c210-c220
Name of institution / submitter: BaFin
Country of incorporation / residence: Germany
Type of submitter: Competent authority
Subject matter : Definition of numerator for loss rate

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
Permanent link: link