Question
The specification for portfolio 10 includes forward contracts purchased at the EUR/USD ECB reference rate as of EOD Oct 12, 2017. Are the forward contracts purchased at spot rate or forward rate (including fwd points)?
Background on the question
Section 1, Non-correlation trading portfolios
Answer
For the purposes of the benchmarking exercise 2018 (end-2017 data), the forward contracts of portfolio 10 of section 1 of Annex V to the Draft ITS on Supervisory Reporting shall be understood as bought at spot 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.