- Question ID
-
2015_2439
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Article
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78
- Paragraph
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2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
- Article/Paragraph
-
Annex V
- Name of institution / submitter
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Association of Financial Markets in Europe (AFME)
- Country of incorporation / residence
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United Kingdom
- Type of submitter
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Industry association
- Subject matter
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Clarifications on portfolio specifications & general instructions for Annex V
- Question
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Portfolio 1.10 - the portfolio references Bloomberg code eusv0210 curncy but then also states that “strike price is based on the IRS rate as per #9”. Market convention would suggest using the 2y 10y forward swap rate, unless the intention is to create a non-ATM option. Which of these should be used? Portfolio 1.13 - Should firms take the forward such that the notional of EUR is based on the forward FX rate (as opposed to spot FX rate) as of 15 October 2015? The wording just refers to “EUR/USD ECB reference rate”. General instructions: The instructions require [in Annex 5, section “Common instruction”, paragraph (b)] that the valuation of each portfolio shall be made at 4:30 pm London time. For a number of portfolios this is impractical. Indeed marking of some portfolios are usually done at the end of day of the relevant market. Marking at 4:30 London time would constitute for those portfolio an intra-day price which might be arduous to derive. This would typically be the case for : - FX instruments which are usually marked at NY COB - Commodities - CRM trades are marked at the end of their respective markets Therefore, we would suggest that the cutoff time is changed for some portfolio to be aligned with market conventions. Can you confirm whether this convention can be used?
- Background on the question
-
See above
- Submission date
- Final answer
-
The portfolios in question of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) should be considered as follows.
Portfolio 1.10: Please, use the strike price based on IRS #1.9 as reported in the portfolio definition.
Portfolio 1.13: The notional in USD can be converted in EUR by using the EUR/USD ECB reference rate as of end of day on 15 October 2015. In the general instructions, institutions are asked to produce a valuation at the exact timing set on 26/10/2015 4.30 pm GMT (5.30 pm CET) on best effort basis. Although it is an intra-day valuation, it is needed in order to ensure the exact day and time of the day for all participating banks.
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.
- Status
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Archive
- Answer prepared by
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Answer prepared by the EBA.
- Note to Q&A
-
Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.