EBA Updates List of Correlated Currencies Under CRR
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.
Related Links
Effective Date: OJ + 20 Days
Keywords: Europe, EU, Banking, CRR, Correlated Currencies, Implementing Technical Standards, Foreign Exchange Risk, Regulatory Capital, Basel, EBA
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Related Articles
EU Amends CRD4 and CRD5 as Part of Capital Markets Recovery Package
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
EU Committee Recommends Systemic Risk Buffer of 4.5% in Norway
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
PRA Clarifies Approach to Onshoring of Credit Risk Rules for UK Banks
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
FSB Sets Out Work Priorities for 2021
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU Publishes Corrigendum to Revised Capital Requirements Regulation
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs Issue Statement on Application of Sustainability Disclosures Rule
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC Consults on Crisis Management and Deposit Insurance Frameworks
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA Enhances Loan Guarantee Scheme to Alleviate Pressure on SMEs
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA Proposes Standards for Supervisory Cooperation Under IFD
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE Addresses Banks in Scope of First Resolvability Assessment
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.
