EBA · 2017_3612 Archive

Market risk benchmarking – specification of portfolio 12

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 12 given in Section 2.2 of Annex 5 sets the initial spot price as ‘Level of USD/EUR on 12 October 2017’. Should London or New York closing time be used?

Background

Section 2.2 of Annex V, details for portfolio 12

Answer

For the purposes of determining the initial spot price for portfolio 12 of section 2.2 of Annex V to the Draft ITS on Benchmarking for the 2018 exercise (end-2017 data), London closing time shall be used.   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_3612

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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