EBA Published Discussion Paper on Treatment of Structural FX
EBA launched a discussion paper on the application of the structural FX provision. The paper outlines rationale behind the treatment of structural positions as well as broader issues related to the structural FX concept, such as the actual nature of FX risk, considering both the accounting and regulatory perspectives. It also examines in greater detail the potential inconsistencies in the articulation of the FX requirements, both in the current Capital Requirements Regulation (CRR) as well as in the CRR2 proposal for institutions applying the standardized and internal model approaches.
Comment Due Date: September 22, 2017
Keywords: Europe, EBA, Banking, CRR, FRTB, FX Risk, Hedging
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