Net Stable Funding Ratio (NSFR) calculation by currency for foreign-exchange derivatives contracts

What criteria are to be used to assign as foreign-exchange derivative contract to the respective reporting in a significant / reporting currency in order to apply Article 428d CRR2?

Derivatives contracts as referred in point 2 of Annex II in Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2) might be subject to reporting in a significant currency, if the conditions under Article 415 are met. Article 428d CRR2 states that: “Without prejudice to Article 428ah(2), all derivative contracts listed in points 2(a) to (e) of Annex II that involve a full exchange of principal amounts on the same date shall be calculated on a net basis across currencies, including for the purpose of reporting in a currency that is subject to separate reporting in accordance with Article 415(2), even where those transactions are not included in the same netting set that fulfils the requirements set out in Article 429c(1)”. Clarification would be useful on the criteria used to assign as foreign-exchange derivative contract to the respective reporting in a significant / reporting currency. Under the assumption that an institution has entered into a cross-currency interest rate swap falling under the same netting set with a number of other derivatives contracts, where the payer leg is denominated in Euro and the receiver leg in US Dollars, which are both currencies subject to separate reporting, it’s not clear if the specific contract should be considered as being Euro or US Dollar denominated. For that reason, we find unclear whether the specific transaction (for the purposes of the specific example) should be taken into account in the Euro and / or US Dollar specific calculation of the ratio.