Calculation of Default rate past 5 years and Loss rate past 5 years

For the reporting of column 200, 220 and 240 of Template C 103.00 of Annex III of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking), at least the longest time series aligned with COREP should be used for calculating "Default rate past 5 years" and "Loss rate past 5 years", irrespective of the starting year of application of the IRB model, if the IRB model has been approved in the last 5 years. This applies to all IRB banks. In the case that the COREP time series does not cover 5 years, the bank should highlight the affected clusters by listing the related portfolio IDs in an extra file together with the length of time series used. This file should be provided to the CA together with the final benchmarking data according to the instructions in Annex IV for C 103.00 c200 and c220. 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.