Single Rulebook Q&A

Question ID: 2017_3613
Legal act : Directive 2013/36/EU (CRD) as amended
Topic : Supervisory reporting
Article: 78
Paragraph:
Subparagraph:
Article/Paragraph : Annex V, Market Benchmarking Portfolios
COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
Type of submitter: Industry association
Subject matter : Market risk benchmarking – specification of portfolio 15
Question:

The specification for portfolio 15 includes shorting EUR 2 million per single-name 5-year CDS on Italy, UK, Germany, France and USA (total EUR 10 million notional). What coupon rate should used for each country?

Background on the question:

Section 1: Non-correlation trading portfolios

Date of submission: 01/12/2017
Published as Final Q&A: 23/03/2018
EBA answer:

For the purposes of the benchmarking exercise 2018 (end-2017 data), the coupon rates for the instruments of portfolio 15 of section 1 of Annex IV to the Draft ITS on benchmarking shall be determined according current market practices. In this regard, the choice of 25 bps for FR and DE and 100 bps for IT, UK and US currently seems to be largely adopted.

 

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.

Status: Final Q&A
Permanent link: link