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.
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.