Question
For consistency we will also use the EUR/USD ECB reference rate for the option in portfolio 13. Please confirm that this is appropriate.
Background on the question
Portfolio 13 contains a EUR/USD FX forward and a EUR/USD FX option. While the forward refers to the EUR/USD ECB reference rate as of 13 October 2016, the option does not refer to any reference rate.
Answer
Both for the FX forward and the option included in portfolio 1.13 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 applicable exchange rate is the EUR/USD ECB reference rate. 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.