EBA · 2017_3611 Archive

Market risk benchmarking – specification of portfolio 10

Regulation
Directive 2013/36/EU (CRD)
Article
78, para. 2
Topic
Supervisory reporting - Supervisory Benchmarking
Submitted by
Industry association
Submitted
2017-12-01
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The specification for portfolio 10 includes forward contracts purchased at the EUR/USD ECB reference rate as of EOD Oct 12, 2017. Are the forward contracts purchased at spot rate or forward rate (including fwd points)?

Background

Section 1, Non-correlation trading portfolios

Answer

For the purposes of the benchmarking exercise 2018 (end-2017 data), the forward contracts of portfolio 10 of section 1 of Annex V to the Draft ITS on Supervisory Reporting shall be understood as bought at spot 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 2017_3611

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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