Definition of the counterparty size in case of substitution approach application

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.