Question ID
2018_4428
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
Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
Article/Paragraph
Annex 5, section 2, Instrument No. 40
Type of submitter
Competent authority
Subject matter
EBA ITS package for 2019 benchmarking exercise (Annex V, section 2, FX instruments)
Question

What is the correct interpretation of instrument No.40?

Background on the question

The description of instrument 40 is ambiguous. The booking of a normal FX Spot trade with a standard delivery date of T+2 (== 21.09.2018) – a possible interpretation of the ITS instructions – results in an IMV value of zero as the trade has already matured on the IMV date.

Submission date
Final publishing date
Final answer

With regard to Instruments 40, section 2, Annex 5 of the Regulation (EU) 2016/2070 - ITS on Supervisory Reporting, for the exercise 2019, the instruments has to be considered as 1 million USD cash (long position, to be reported in Euro). The long cash position of USD 1 million should be booked on the booking date. The cash position should continue to exist throughout the exercise and not mature prematurely (whereas an FX spot purchase would mature at delivery). For IMV purposes, institutions should report the market value of the long cash position of USD 1 million in the base currency of the instrument, i.e. EUR.

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

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

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.