Question
For Template C 101.00, should we report position of the specific Low Default Counterparty mentioned in Annex I or also report position of the underlying organisations belonging to that Low Default Counterparty?
Background on the question
A list of Low Default Counterparties are provided in Annex I. In the books of the Bank, there could be exposure to other linked companies of the Counterparty.
Answer
Only exposures to the counterparties listed in C 101.00 of Annex I of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on Supervisory Benchmarking) shall be considered. Exposures to related entities (e.g. subsidiaries or parent companies) shall not be reported. 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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.