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    EBA Updates List of Correlated Currencies Under CRR

    July 10, 2020

    EBA updated the 2019 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 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 EC for endorsement. The updated Commission Implementing Regulation amends Regulation 2015/2197, which lays down implementing technical standards on closely correlated currencies, and shall enter into force on the twentieth day following that of the publication in the Official Journal of the European Union.

    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. The list uses March 31, 2019 as the end-date for computing the three- and five-year data series required to assess currency pairs in accordance with the Capital Requirements Regulation (CRR). Given that the necessary amendments to the Implementing Regulation 2015/2197 do not involve significant changes in substantive terms and instead merely apply the methodology already established in that Regulation to updated data series, in accordance with Regulation No 1093/2010, EBA has not conducted an open public consultation. However, EBA requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of the Regulation No 1093/2010. 

     

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    Effective Date: OJ + 20 Days

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

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