- Question ID
-
2016_2942
- 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 2.4: Market Benchmarking Portfolios. Definition of Portfolio 16 (FX)
- Question
-
Please confirm that the NYC Closing on 13 October 2016 should be used for the determination of the barrier.
- Background on the question
-
For determination of the upper barrier level and the lower barrier level the initial spot price (USD/EUR) should be used. The initial spot price is defined as USD/EUR on 13 October 2016. While the reference date is explicitly stated, the reference rate, which should be used, is not defined.
- Submission date
- Final answer
-
For the purposes of determining the barriers for portfolio 1.16 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 NYC USD/EUR closing exchange rate 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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.