Question ID
2017_3611
Legal act
Directive 2013/36/EU (CRD)
Topic
Supervisory reporting - Supervisory Benchmarking
Article
78
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
Article/Paragraph
Annex V, Market Benchmarking Portfolios
Type of submitter
Industry association
Subject matter
Market risk benchmarking – specification of portfolio 10
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 on the question

Section 1, Non-correlation trading portfolios

Submission date
Final 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.

Status
Archive
Answer prepared by
Answer prepared by the EBA.
Note to Q&A

Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.