Consultation on draft Implementing Technical Standards (ITS) on closely correlated currencies

The European Banking Authority (EBA) launches today a consultation on draft Implementing Technical Standards (ITS) to identify a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk. The consultation runs until 8 September 2013.

These draft ITS provide a list of relevant closely correlated currencies. 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.

Each one of the currency pairs assessed by the EBA is the result of a combination between a list of 11 EU and 37 non-EU currencies. The EBA expects to update this list on a yearly basis incorporating any additional relevant currencies as well as the latest available market data. Furthermore, these ITS envisage the possibility of an exceptional and urgent update of the list when market developments require such a review.

The EBA is requested to submit the final draft ITS on closely correlated currencies to the European Commission by 1 January 2014.

Consultation process

Comments to the consultation can be sent to the EBA by clicking on the “send your comments” button on the consultation page. Please note that the deadline for the submission of comments is 8 September 2013.

All contributions received will be published following the close of the consultation, unless requested otherwise.

A public hearing covering a number of Binding Technical Standards on market risk, including the ITS on closely correlated currencies, will take place at the EBA premises on 17 July 2013 from 10:00 to 13:00, UK time. To register for the public hearing, click here.

Background

The EBA has developed these draft ITS on the basis of the final legislative texts of the Capital Requirements Regulation (CRR) produced after the Trialogue agreement and adopted by the Council on 20 June 2013.