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    EC Amends Regulation on Closely Correlated Currencies Under CRR

    February 18, 2021

    EC published Regulation 2021/249 that amends Regulation 2015/2197, which sets out closely correlated currencies in accordance with the Capital Requirements Regulation (CRR). Regulation 2021/249 updates the list of closely correlated currencies by replacing the Annex to Regulation 2015/2197. This list has been updated to ensure that the currency pairs referred to in the Annex to Regulation 2015/2197 continue to reflect the actual correlation between the relevant currencies. Regulation 2021/249 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

    The list of closely correlated currencies uses March 31, 2019 as the end date for the purpose of computing the three- and five-year data series required to assess the currency pairs in accordance with CRR. Regulation 2021/249 is based on the draft implementing technical standards submitted by EBA to EC. The necessary amendments to Regulation 2015/2197 do not involve significant changes in substantive terms, but merely the application, to updated data series, of the methodology already established in that Regulation. Therefore, EBA has not conducted an open public consultation. However, EBA had requested the opinion of the Banking Stakeholder Group, in accordance with Article 37 of Regulation No 1093/2010.

     

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    Effective Date: March 10, 2021

    Keywords: Europe, EU, Banking, CRR, Correlated Currencies, Foreign Exchange Risk, Regulatory Capital, Basel, Regulation 2015/2097, EBA, EC

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