EBA · 2015_2400 Archive

Clarification on lower barrier level for portfolio number 1.16 (FX) from Annex V

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2015-10-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Considering current market (EUR/USD = 1.1374 ), should an adjustment to the lower barrier level defined in Section 2.5 to be expected?

Background

Instructions defined in Section 2.5 of Annex V for portfolio 1.16 (FX), set the lower barrier level at 1.20000. Considering current market rates (EUR/USD = 1.1374), the aforementioned barrier will be triggered immediately. In light of this, should an adjustment to the lower barrier level to be expected?

Answer

With regard to the barriers for portfolio 1.16 of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking), no amendment is needed. The barriers are confirmed. If this trade is valued 0, institutions are requested to provide 0. If this cannot be priced, institutions should report nothing. 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.

Original source: European Banking Authority, Q&A ID 2015_2400

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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