Single Rulebook Q&A

Question ID: 2018_4250
Legal act : Directive 2013/36/EU (CRD) as amended
Topic : Supervisory reporting
Article: 78
Paragraph: 2
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 : 3
Type of submitter: Credit institution
Subject matter : EBA ITS package for 2019 benchmarking exercise (Annex V, credit spread instruments)
Question:

ISDA Definitions needed to use are not specified in the document, shall we consider the 2014 release?

Background on the question:

Undefined ISDA release to which one should obtain the definitions.

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

The submitter should report the Instruments in the Annex 5, credit spread instrument following market convention, when not specified otherwise, therefore the submitter should use ISDA 2014 release. The submitter should mention this in the explanatory document, as required by the letter “j” and “k” of the instruction of Annex 5. (quoting letter “k”: “In the case that a bank is required to make additional assumptions beyond those specified here that it believes are relevant to the interpretation of its exercise results […], it should submit a description of those specifications in a separate explanatory document to be delivered to the Competent Authority accompanying the results.”).

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