Question ID
2015_2354
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 II, C103, c110
Type of submitter
Credit institution
Subject matter
Definition of the counterparty size in case of substitution approach application
Question

In case of substitution approach application, for the field "size of counterparty, (Annex II, C103, c110) should we use the turnover of the guarantor or the one of the obligor?

Background on the question

For example: A client with regulatory asset class Corporate, guaranteed by a Bank, receives the turnover of the Bank or the one of the Corporate?

Submission date
Final answer

To be in line with Regulation (EU) 680/2014 - ITS on reporting, the assignment of an exposure to a portfolio ID (as defined in c010 of template C 103.00 of Annex II of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking)) needs to be performed separately for the obligor and the guarantor, taking into account all the specific risk drivers, i.e. all columns of template C 103.00.

The obligor is reported within the portfolio fitting to its individual risk drivers with its relevant exposure columns

The guarantor is reported within the portfolio fitting to its individual risk drivers and its relevant exposure columns.

Therefore, both obligor and guarantor have to be taken into account in assigning them to their individual portfolio ID with their respective turnovers.

The size of the counterparty is defined based on the annual turnover of the obligor. In case the obligor is part of a consolidated group the annual turnover of the group shall be taken into account.

The information about the size is reported in c120 of template C 103.00 of Annex II of Draft ITS on benchmarking corresponds to c110 of template C 08.01 of Annex I of IITS on reporting.

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.

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Update 26.03.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.