Question
Annex V portfolio 1.19 restructuring clause: FULL. However, we found "CR14" as the relevant document clause. Please clarify if we shall use doc clause CR14 instead. Annex V portfolios 1.21, 1.23. 1.26 Doc clause = MM. However, current market convention is MM14. Please clarify if we shall use doc clause MM14 instead.
Background on the question
To enable booking of the portfolios for the benchmarking exercise the exact Doc clause used for CDS is required.
Answer
In accordance with the first sentence of Annex V, Common instructions, point (r) of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, institutions shall follow appropriate market conventions where not specified otherwise. With regard to the document clauses for portfolios 1.19, 1.21, 1.23 and 1.26 of Annex V, where the instructions refer to a class of document clauses (‘full’ respectively ‘MM’), the applicable document (sub-)clause shall be identified based on current market practices and conventions. 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.