Question ID
2016_2919
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
Benchmarking portfolios: document clause for CDS
Question

Annex V portfolio 1.19 restructuring clause: FULL. However, we found "CR14" as the relevant document clause. Please clarify if we shall use doc clause CR14 instead. Annex V portfolios 1.21, 1.23. 1.26 Doc clause = MM. However, current market convention is MM14. Please clarify if we shall use doc clause MM14 instead.

Background on the question

To enable booking of the portfolios for the benchmarking exercise the exact Doc clause used for CDS is required.

Submission date
Final answer

In accordance with the first sentence of Annex V, Common instructions, point (r) of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, institutions shall follow appropriate market conventions where not specified otherwise. With regard to the document clauses for portfolios 1.19, 1.21, 1.23 and 1.26 of Annex V, where the instructions refer to a class of document clauses (‘full’ respectively ‘MM’), the applicable document (sub-)clause shall be identified based on current market practices and conventions.

 

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
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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.