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?
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.