Question
Should the 'counterparty credit risk' and 'credit risk and free deliveries' Z axes on the C 101.00 and C 102.00 reports roll up into the 'credit risk, counterparty credit risk and free deliveries' Z axes on the same reports?
Background on the question
In Annex II of the ITS on SBP the EBA guidelines state that 'the type of risk is one of the following: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, Counterparty credit risk and free deliveries.' However, in the taxonomy file for the same reports these types of risk are the Z axes and (a) and (b) are summed together to form the (c).
Answer
There is a misalignment between the DPM and the templates C 101.00 and C 102.00 of Annexes III to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on Supervisory Benchmarking) for the 2017-benchmarking exercise (end-2016 data). The templates of Annex III do not have a z-axis, neither do the instructions provided in Annex IV of the Draft ITS on Supervisory Benchmarking indicate that such a z-axis exists. Taking into consideration that the counterparty code in template C 101.00 respectively the portfolio ID in template C 102.00 of Annex I incorporate already information on the Type of Risk, all counterparties respectively portfolios shall be reported in the sheet for ‘credit risk, counterparty credit risk and free deliveries’ (sheet 010) and the other sheets of templates C 101.00 respectively C 102.00 can be left empty. 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.