Single Rulebook Q&A

Question ID: 2018_4245
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
Paragraph:
Subparagraph:
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
Article/Paragraph : annex 5, section 2
Type of submitter: Competent authority
Subject matter : Benchmarking - Market risk - instrument specification
Question:

In Annex 5, 2019 ITS, section 2 Instruments, equity trade #17, a multiplier of 10 is specified for the NKY future. This specification is not market conform - usually NKY futures are quoted in multiplier of 500 or 1000. Can you confirm that the multiplier of 10 has to be used?

Background on the question:

market practise is different from the ITS specification

Date of submission: 07/09/2018
Published as Final Q&A: 01/02/2019
EBA answer:

The submitter should apply at the instrument number 17 a multiplier of 10, as required in the instruction, independently from the market convention.

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: Final Q&A
Permanent link: link