EBA Updates List of Correlated Currencies Under CRR

By Regulatory News

January 30, 2019

EBA updated the 2018 list of closely correlated currencies that was originally published in December 2013. The list is part of the implementing technical standards that were drafted for the purpose of calculating the capital requirements for foreign-exchange risk according to the standardized rules. The list was updated according to the procedure and methodology laid down in the implementing technical standards and submitted to the EC for endorsement.

To ensure that the currency pairs continue to reflect the actual correlation between the relevant currencies, it is necessary to update the list of closely correlated currencies. On April 10, 2018, EBA had updated the list of closely correlated currencies (Annex I) that was originally published in December 2013 as part of the implementing technical standards that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardized rules. The list was updated according to the procedure and methodology laid down in the implementing technical standards. Currencies are considered to be closely correlated if they meet the specific criteria set out in Article 354 of the Capital Requirements Regulation (CRR). Positions in currency pairs that are deemed to be closely correlated are subject to lower capital requirements. EBA will update this list on a yearly basis, incorporating any additional relevant currencies as well as the latest available market data.

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Keywords: Europe, EU, Banking, CRR, Correlated Currencies, Implementing Technical Standards, Foreign Exchange Risk, EBA

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