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
Paragraph:
Subparagraph:
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
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
Permanent link: link