FX conversion rate for static monetary values of instruments denominated in foreign currencies


Please clarify the reporting of monetary values denominated in foreign currencies in relation to instruments originated prior to 1 September 2018? Do reporting agents have to retrieve the conversion rate that refers to the inception date (commitment amount at inception)/date of acquiring the loan (fair value changes due to changes in credit risk before purchase)/original valuation date (original protection value), which may be long in the past? Or is it possible for reporting agents to use the conversion rate of the first reporting reference date?


According to Annex IV of the AnaCredit Regulation, “foreign currency amounts should be converted into euro at the respective ECB euro foreign exchange reference rates (i.e. the mid-rate) on the reporting reference date”. As explained in Section 2.3 in Part II of the Reporting Manual, an amount is converted into euro at the respective mid-rate on the date to which the amount refers. For example, for the original protection value, it is the exchange rate as of the date of original protection value.

Note also that amount data attributes which refer to a date other than the reporting reference date are considered fixed as of the date for which they are reported (even if date back to before 1 September 2018) in the sense that once reported they are not updated, even if the respective euro foreign exchange reference rates change after the date.

For clarification, in relation to contracts issued in currencies with inception dates before the introduction of the euro in 1999, reporting agents use the respective exchange rate taken at the cut-off date of the introduction of the euro. For example, for contracts issues in US dollars with an inception date of 31 May 1996, the EUR/USD exchange rate as at 1 January 1999 is applied to convert the data attribute “commitment amount at inception” from US dollars to euro.