Question ID
2015_2380
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 V
Type of submitter
Credit institution
Subject matter
EBA Final Draft Implementing Technical Standards on benchmark portfolios - question on the trade templates
Question

This question is relating to the EBA Final Draft Implementing Technical Standards on benchmark portfolio / Annex V Market Benchmark portfolios and trade 1.27. It is requested to "Short index put on ITraxx Euorpe Crossover series 21". We'd like to confirm 2 items - series 21 is the offrun contract, is it correct to book an off run contract? - "short put index": does it mean we are receiver or payer of the payment?

Background on the question

We'd like to confirm if we are requested to book an off run index trade as there is no market for such index. If this is the intention, we can mark these trades internally.

Submission date
Final answer
Answer to Question 1 -Institutions shall refer to the « On-the-run » Index Series. This means the most liquid and tradable series of that specific index available on the market.Institutions are required to communicate this choice along with the related results in the appropriate text cell in the template C 107.00 (r010/c020) of Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking). Answer to Question 2 -"Short index put..." means the participating institution ("seller") has sold an option which gives the counterparty ("buyer") the right to sell protection on the iTraxx Europe Crossover index at an agreed strike price (or upfront spread). 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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.