Question ID
2016_2900
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annexes I and II, C 22.00
Type of submitter
Credit institution
Subject matter
Which amount should be reported in template C 22.00, column 020 and 030 - all positions?
Question

According to Regulation 680/2014 (ITS Supervisory reporting) - Annex II , institutions should report in template C 22.00, column 020 and 030 all gross long and short positions due to assets, amounts to be received and similar items referred to CRR article 352 (1).

When an institution (reporting currency EUR) enters into a foreign exchange Forward, e.g. sell USD (notional EUR 100, Present value EUR -95) and buy GBP (notional EUR 100, present value 100), which value should be reported in columns 020 and 030?

Should it be:

a) notional position: long GBP (EUR 100) and short USD (EUR 100)

b) present value of the notional positions: long GBP (EUR 100), short USD (EUR 95)

c) present value of the notional positions: long GBP (EUR 100), long USD (EUR -95)

Background on the question

Article 352.3 CRR allows institution to use the net present value in the calculation of the net open currency position (columns 040 and 050 of template C 22.00), provided that institution applies the approach consistently. Instructions are not clear with regards to the calculation of the gross position and whether the requirement for consistency impacts the calculation of the gross position.

Submission date
Final publishing date
Final answer

The Q&A refers to a foreign currency forward (FX forward) contract. The derivation of notional positions for FX forward contract envisages the decomposition of FX forward in two notional currency positions:

  1. a long notional position in the currency that, under the term of the contract, the institution contracted to buy and
  2. a short notional position in the currency that, under the term of the contract, the institution contracted to sell.

Article 352 (3) of Regulation (EU) No 575/2013 (CRR) stipulates that if an institution has decided to use net present values when calculating net open positions then it should apply this approach consistently, i.e. for reporting requirements as well.

According to the question, the institution entered a FX forward under which it will sell USD and buy GBP. In order to calculate the notional position the FX forward can be decomposed in two currency position:

  1. a long position in GBP, the currency that the institution contracted to buy;
  2. a short position in USD, the currency that the institution contracted to sell.

If the institution has not opted to use net present values then it should refer to notional values (‘option a’ as presented in the question). The institution reports a long notional position in GBP of 100 and a short notional position in USD of 100 in columns 020 respectively 030 of template C 22.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting).

If the institution has opted to use net present values then it should do so consistently also for the purposes of reporting. Therefore, as described by ‘option b)’ in the question, the institution reports a long position in GBP the present notional value of which is 100 in c020 of C 22.00 and a short position in USD the present notional value of which is 95 in c030 of C 22.00.

‘Option c)’ is not correct as it considers the position in USD as a long position, i.e. as if the institution contracted to buy USD instead of sell USD.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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