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.
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.