Question ID:
Legal Act:
Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Supervisory reporting
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Annex IV
Type of submitter:
Credit institution
Subject Matter:
F35.00 Covered Bonds - FX rates to be applied

There are circumstances where the covered bond has been issued in one currency and the underlying assets are in a different currency. In which case, the covered bond programme would hedge this cross currency risk. In this circumstance, which FX rate should be applied? The spot FX rate as per the reporting date or the strike FX rate as per the swap agreement?

Background on the question:

There is a choice between the swap FX rate or spot rate at reporting date.

Date of submission:
Published as Final Q&A:
EBA Answer:

The reporting shall be based on the legal framework which applies to the covered bond programme.

If the cross currency risk is hedged, the FX rate of the contract (here of the swap agreement) should be used.

Final Q&A