EBA · 2017_3614 Archive

Market risk benchmarking – specification of portfolio 20

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)
Browse ECB SSM Register → More Q&As on this regulation →

Question

The specification for portfolio 20 includes shorting EUR 1 million per single-name 5-year CDS on 10 companies including ‘Unilever’. Should Unilever NV or Unilever PLC be used?

Background

Section 1.1: Non-correlation trading portfolios

Answer

For the purposes of the benchmarking exercise 2018 (end-2017 data), specifically for the purposes of portfolio 20 of section 1 of Annex V to the Draft ITS on benchmarking for the 2018 exercise, Unilever NV (ISIN: NL0000009355) shall be used.   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_3614

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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