Question
The specification for portfolio 15 includes shorting EUR 2 million per single-name 5-year CDS on Italy, UK, Germany, France and USA (total EUR 10 million notional). What coupon rate should used for each country?
Background on the question
Section 1: Non-correlation trading portfolios
Answer
For the purposes of the benchmarking exercise 2018 (end-2017 data), the coupon rates for the instruments of portfolio 15 of section 1 of Annex IV to the Draft ITS on benchmarking shall be determined according current market practices. In this regard, the choice of 25 bps for FR and DE and 100 bps for IT, UK and US currently seems to be largely adopted. 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.