- Question ID
-
2017_3613
- 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, Market Benchmarking Portfolios
- 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
- Submission date
- Final 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
-
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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.