TR Answer 49

a) Following scenarios are considered:

- Scenario A: Reporting of an FX swap composed of a spot and forward leg.

- Scenario B: Reporting of an FX swap composed of two forward legs.

In both scenarios the derivatives have the following characteristics:

- Banks A and B enter in a EUR/GBP swap instrument on 1 June 2018 (regardless of how the instrument has been subsequently confirmed or settled);

- notional of the contract: 1M€;

- maturity date of the contract: 31 December 2018;

- the swap is physically settled;

- Bank A sells EUR and gets GBP for the near leg (and delivers GBP and receives EUR for the far leg);

- the exchange rate of the near leg is 0.88 EUR/GBP, while the exchange rate of the far leg is 0.865 EUR/GBP.

In the case of forward-forward swap, the two settlement dates are 30/11/2018 and 02/01/2019.