In the event that the original currency balance of a non-GBP deposit balance does not change from the prior reporting period reference date to the current reporting period reference date, but the GBP exchange rate changes, so that the reporting currency balance at the current reporting period reference date shows an increase on the prior period, should this increase be reported as new funds in AMM C 69.00?
- Section 1.4.1 of Annex XIX referring to legal references and instructions for template ‘Prices for Various Lengths of Funding (C 69.00)’ requires ‘transaction volume and prices paid by institutions for funding obtained during the reporting period and still present at the end of the reporting period’.
- It is unclear from the guidance whether upward revaluation of non-GBP funding into reporting currency from one reporting reference date to the next should be regarded as ‘funding obtained during the reporting period’.
- The definition of “new funds” per the Annex XIX instructions for C69 is funding obtained during the reporting period and still present at the end of it. - For deposit funding denominated in reporting currency any positive increments from prior reporting period reference date to current reference date are to be reported as new funds. - However where deposit funding is denominated in currencies other than the reporting currency and the original currency balance does not change between the prior and current reference dates, it is possible that the revaluation of the original currency balance at the current reference date will cause a positive increment to appear in reporting currency. - For example, a notional $1m USD deposit revalued as £850k GBP at the prior reference date (rate of 1.176) remains $1m USD at the current reference date but is revalued as £875k GBP (rate of 1.143). - Should the £25k GBP positive increment stemming purely from the revaluation into reporting currency be reported as new funds at the current reference date?
According to ITS Annex XIX the transaction volume and prices for funding obtained during the reporting period and still present at the end of it shall be reported in C 69.00.
In case of currency revaluations, no new funding is obtained in the original currency and the reporting institution has not paid anything beyond the original price at the initial deposit of the funds. Thus, a positive increment caused by the currency revaluation is not reported in C 69.00.