Benchmark Rates of other currencies than EUR, USD, GBP

According to Annex XVIII (template) and Annex XIX (instructions) of Regulation (EU) No 680/2014 as amended by Implementing Regulation (EU) 2017/2114, institutions are required to report in supervisory reporting template C 69.00 the transaction volume and prices paid for funding obtained during the reporting period and still present at the end of the reporting period, in accordance with pre-defined time buckets. In accordance with paragraph 1.4.3 of Annex XIX, the spread to be reported in the left hand column of each time bucket refers to the spread payable by the institution if liabilities were to have been swapped to the benchmark overnight index for the appropriate currency no later than close of business on the day of the transaction. Against this background, for currencies other than EUR, USD or GBP, institutions shall refer to other common benchmark indices available for such currencies. This is implicitly confirmed in EBA Q&A 2015 2538 which specifies that spreads are to “be calculated on the basis of the corresponding benchmark for each respective currency”.