EBA · 2016_2941 Archive

Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 13 (FX)

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Credit institution
Submitted
2016-10-13
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

For consistency we will also use the EUR/USD ECB reference rate for the option in portfolio 13. Please confirm that this is appropriate.

Background

Portfolio 13 contains a EUR/USD FX forward and a EUR/USD FX option. While the forward refers to the EUR/USD ECB reference rate as of 13 October 2016, the option does not refer to any reference rate.

Answer

Both for the FX forward and the option included in portfolio 1.13 of Annex V to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, the applicable exchange rate is the EUR/USD ECB reference rate.   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.

Original source: European Banking Authority, Q&A ID 2016_2941

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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