- Question ID
-
2016_2941
- 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
- Name of institution / submitter
-
DZ Bank AG
- Country of incorporation / residence
-
Germany
- Type of submitter
-
Credit institution
- Subject matter
-
Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 13 (FX)
- Question
-
For consistency we will also use the EUR/USD ECB reference rate for the option in portfolio 13. Please confirm that this is appropriate.
- Background on the question
-
Portfolio 13 contains a EUR/USD FX forward and a EUR/USD FX option. While the forward refers to the EUR/USD ECB reference rate as of 13 October 2016, the option does not refer to any reference rate.
- Submission date
- Final answer
-
Both for the FX forward and the option included in portfolio 1.13 of Annex V to the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-benchmarking exercise, the applicable exchange rate is the EUR/USD ECB reference 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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.