We have an upcoming consumer compliance exam by NYS DFS and in their first day letter they are requesting alot of information on our non-HMDA consumer loans, and 1 of the data fields requested is Default Rate (if applicable) and I am not sure what they are asking for here. I hope that someone can give me a clue so I don't have to contact them and ask. Any help is appreciated.

Not from NY, but here's my two cents anyway.
Perhaps they are referring to the interest rate that would be charged in the event of default. That's what I would think. Sometimes a note includes language to show that there will be a bump in the interest rate after default, or that interest will continue to accrue beyond maturity for the total sum due at the interest rate agreed upon under the note.