- Regulation
- Directive 2013/36/EU (CRD)
- Article
- 78, para. 2
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Submitted by
- Industry association
- Submitted
- 2015-10-08
- Answer provided by
- ESAs (EBA, ESMA, EIOPA)
Background
Annex V - portfolios 1.10 & 1.15: The option expiry and swap effective date are the same. Market convention is, however, for the dates to be two days apart Annex V - portfolio 1.16: The upper and barrier level for this double no-touch option will likely make the option worthless as of October 15th Annex V - portfolio 1.20: What should the notional currency be on the bonds? Use EUR for all, the same currency as CDS, or local currency of the bond? Put another way, should the CDS currency match that of the corresponding sovereign bond? Annex V - portfolio 1.26: What should the notional currency be on the bonds? Use EUR for all or use the same currency as CDS? Annex V - portfolio 1.27: Option expiry date is 15th April 2016. Options normally expire on the 3rd Wednesday of every month, which would be the 20th April 2016. By October, there won 19t be any options for the current version trading out to April 2016 as they don 19t tend to trade for a particular index for more than six months and the only info tends to be available for the on-the-run index. Annex V - portfolios 2.1-2.3: For portfolios 2.1-2.3, Annex V provides non standard Mezzanine and Super Senior: Equity Tranche= 0-3% Mezzanine Tranche=3-7%// 7-15% Super Senior Tranche =15-100% Annex V - portfolios 2.1-2.3: For portfolio 2.3, Annex V states that it should be short, but is unclear if this means short protection or short credit Annex V - portfolio 1.23: The Allianz bond in 1.23 was called in March 2015 Annex V - portfolio 1.5: Annex V defines the trade date for portfolio 1.5 (Equity variance swap) as 15th April 2015 Annex V - portfolios 1.22, 1.23, 1.25: These portfolios refer to iTraxx Europe Series 21, but the RED code that is listed is for iTraxx Europe Senior Financials Series 21
Answer
Referring to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking): Annex V - portfolios 1.10 & 1.15: Banks should follow appropriate market convention when booking all positions. Annex V - portfolio 1.16: Banks should report the value of the instruments also in the case of zero value. If banks' systems do not allow them to book the trade/price the portfolio, firms should leave the field blank. Annex V - portfolio 1.20: Each bond has a denominated currency. The IMV for this portfolio should be converted in Euro using the appropriate FX spot at the end of the 15 October 2015 (booking date). Risk and Stressed Measures follow accordingly. Annex V - portfolio 1.26: Each bond has a denominated currency. The IMV for this portfolio should be converted in Euro using the appropriate FX spot at the end of the 15 October 2015 (booking date). Risk and Stressed Measures follow accordingly. Annex V - portfolio 1.27: When booking all positions, Banks should follow appropriate market convention where not otherwise specified.Banks shall refer to the « On-the-run » Index Series. It means the most liquid and tradable series of that specific index available on the market.Banks are required to communicate this choice along with the related results in the appropriate text cell in the template C 107.00 (r010/c020). Annex V - portfolios 2.1-2.3: This is clarified in the instruction provided. The attachment and detachment points to be used are those specified in the annex (Section 3 CTPs). The portfolio is meant to be a bespoke CDO position. Annex V - portfolios 2.1-2.3 (short protection or short credit): In CTPs "short positions" means sell credit protection. Annex V - portfolio 1.5: The trade date is set at 15 October 2015. Annex V - portfolios 1.22, 1.23, 1.25: Banks shall refer to the « On-the-run » Index Series. It means the most liquid and tradable series of that specific index available on the market. Banks are required to communicate this choice along with the related results in the appropriate text cell in the template C 107.00 (r010/r020). 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 maydiffer from the text of the draft ITS to which this Q&A relates.
This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated
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