EBA · 2015_2270 Final Q&A

F35.00 Covered Bonds - FX rates to be applied

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
100
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2015-09-04
Answered
2019-10-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

There are circumstances where the covered bond has been issued in one currency and the underlying assets are in a different currency. In which case, the covered bond programme would hedge this cross currency risk. In this circumstance, which FX rate should be applied? The spot FX rate as per the reporting date or the strike FX rate as per the swap agreement?

Background

There is a choice between the swap FX rate or spot rate at reporting date.

Answer

The reporting shall be based on the legal framework which applies to the covered bond programme. If the cross currency risk is hedged, the FX rate of the contract (here of the swap agreement) should be used.

Original source: European Banking Authority, Q&A ID 2015_2270

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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