Question ID
2017_3612
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 12
Question

The specification for portfolio 12 given in Section 2.2 of Annex 5 sets the initial spot price as ‘Level of USD/EUR on 12 October 2017’. Should London or New York closing time be used?

Background on the question

Section 2.2 of Annex V, details for portfolio 12

Submission date
Final answer

For the purposes of determining the initial spot price for portfolio 12 of section 2.2 of Annex V to the Draft ITS on Benchmarking for the 2018 exercise (end-2017 data), London closing time shall be used.

 

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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.