EBA · 2015_2440 Archive

Market risk benchmarking portfolio 1.18 not fully clear how to book

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2015-10-22
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Portfolio 1.18 is short 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015. Is the underlying the 6m future, or spot?

Background

To enable booking of the portfolio for the benchmarking excercise the exact underlying for the option is required.

Answer

The underlying for the option in portfolio 1.18 of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) shall be the spot price.   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.

Original source: European Banking Authority, Q&A ID 2015_2440

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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