Question ID
2016_2931
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, Portfolio 1.18
Type of submitter
Credit institution
Subject matter
Clarification on portfolio specification.
Question

The Common Instructions paragraph (n) mentions that the commodities OTC options are American. However, American style WTI options are listed options not OTC. Should we therefore book a European option with a maturity date of 13-Oct-2017 ?

Background on the question

"(n) All OTC options shall be treated as follows: - as American for single name equities and commodities; - as European for equity indices, foreign exchange and swaptions." "Portfolio 1.18: Short oil put options Short 30 contracts of 6-month OTC WTI Crude Oil puts with strike = 12-month end-of-day forward price on 13 October 2016 (1 contract = 1000 barrels, total notional 30,000 barrels)."

Submission date
Final answer

In accordance with the instructions on portfolio 1.18 provided in Annex V to the Draft ITS on Supervisory Benchmarking for the 2017-exercise, the 6-month OTC WTI Crude Oil puts represent OTC options. As laid down in point (n) of the Common Instructions of Annex V, those OTC options are American options.

 

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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.