EBA · 2017_3613 Archive

Market risk benchmarking – specification of portfolio 15

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Industry association
Submitted
2017-12-01
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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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

Section 1: Non-correlation trading portfolios

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.

Original source: European Banking Authority, Q&A ID 2017_3613

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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