- Question ID
-
2018_4293
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Article
-
78
- Paragraph
-
2
- 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
- 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.
- Submission date
- Final 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
-
Archive
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.
