EBA · 2015_2535 Archive

Incorporation of intra year cures

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Other
Submitted
2015-12-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The loss rate is defined as sum(credit risk adjustment write offs of observed new defaults at the end of year) / sum (exposure[end of preceeding year] of the observed new defaults). Are cases which default during the year but cure until the end of the year to be included in the denominator?

Background

n/a

Answer

For c210 of template C 103.00 of Annex IV of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking): The denominator of the loss rate is the sum of the observed new defaults for the last year. The cases (new defaults) which default during the respective year and also cure until the end of the same year are to be included in the denominator of the loss rate. DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates.

Original source: European Banking Authority, Q&A ID 2015_2535

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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