Question ID
2015_2400
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
Art. 2, paragraph 2, Annex 2, Section 2.5
Type of submitter
Credit institution
Subject matter
Clarification on lower barrier level for portfolio number 1.16 (FX) from Annex V
Question

Considering current market (EUR/USD = 1.1374 ), should an adjustment to the lower barrier level defined in Section 2.5 to be expected?

Background on the question

Instructions defined in Section 2.5 of Annex V for portfolio 1.16 (FX), set the lower barrier level at 1.20000. Considering current market rates (EUR/USD = 1.1374), the aforementioned barrier will be triggered immediately. In light of this, should an adjustment to the lower barrier level to be expected?

Submission date
Final answer
With regard to the barriers for portfolio 1.16 of Annex V of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking), no amendment is needed. The barriers are confirmed. If this trade is valued 0, institutions are requested to provide 0. If this cannot be priced, institutions should report nothing. 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, which may differ from the text of the draft ITS to which this Q&A relates.
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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.