Market risk benchmarking portfolio 1.18 not fully clear how to book

EBA Q&A 2015_2440 · Archive

Question

Portfolio 1.18 is short 3-month OTC WTI Crude Oil puts with strike = 6-month end-of-day forward price on 15 October 2015. Is the underlying the 6m future, or spot?

Background on the question

To enable booking of the portfolio for the benchmarking excercise the exact underlying for the option is required.

Answer

The underlying for the option in portfolio 1.18 of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) shall be the spot price. 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.

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