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Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.