Final and translated into the EU official languages
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.
The European Banking Authority (EBA) updated today the 2019 list of closely correlated currencies that was originally published in December 2013. The list is part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
The European Banking Authority (EBA) updated today the 2018 list of closely correlated currencies that was originally published in December 2013. The list is part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
The European Banking Authority (EBA) updated today the list of closely correlated currencies that was originally published in December 2013 and updated in October 2016. The list is part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
The European Banking Authority (EBA) updated today the list of closely correlated currencies that was originally published in December 2013 and updated in May 2015. The list is part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
The EBA updated today the list of closely correlated currencies that was published in December 2013 as part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS.
The European Banking Authority publishes today two consultation papers on draft Implementing Technical Standards (ITS) to identify (i) a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk; and (ii) a list of relevant appropriately diversified indices for the purposes of calculating the capital requirements for equity risk. The consultations of both draft ITS run 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.
These draft ITS list relevant exchange traded and appropriately diversified indices for which specific risk incorporated in a stock index can be ignored. The list is based on the following criteria:
The EBA expects to update this list on a yearly basis and to assess any additional indices identified as relevant by 30 September of each year.
The EBA is requested to submit the final draft ITS on appropriately diversified indices to the European Commission by 1 January 2014.
Comments to both consultations can be sent to the EBA by clicking on the "send your comments" button on the respective 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 consultations, unless requested otherwise.
A public hearing covering a number of Binding Technical Standards on market risk, including the ITS on closely correlated currencies and the ITS on appropriately diversified indices, 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.
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.
The European Banking Authority (EBA) published today final draft Implementing Technical Standards (ITS) on closely correlated currencies. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
Update: on 10 April 2018, the European Banking Authority (EBA) updated the list of closely correlated currencies (Annex I) that was originally published in December 2013 as part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS.
These ITS identify a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. 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. The EBA will update this list on a yearly basis incorporating any additional relevant currencies as well as the latest available market data.
The EBA has developed these final draft ITS in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (colloquially known as Capital Requirements Regulation or CRR).
The final draft standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) related to market risk. In particular, the EBA published (i) RTS on the definition of materiality thresholds for specific risk in the trading book; (ii) ITS on closely correlated currencies; (iii) RTS on non-delta risk of options in the standardised market risk approach; and (iv) ITS on appropriately diversified indices. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
In particular, the final draft RTS on the definition of materiality thresholds for specific risk in the trading book set out criteria for assessing when the specific risk of debt instruments in the trading book – both at a solo and consolidated level - is ‘material' enough to trigger an evaluation by the competent authority. After this evaluation, competent authorities will be able to determine whether they shall encourage banks to enhance their internal assessment capacity and increase the use of internal models for capital calculations.
The final draft ITS on closely correlated currencies identify a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. 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. The EBA will update this list on a yearly basis incorporating any additional relevant currencies as well as the latest available market data.
The final draft RTS on non-delta risk of options in the standardised market risk approach define a range of methods to reflect, in the own funds requirements, all the risks, other than delta risk, in a manner proportionate to the scale and complexity of institutions' activities in options and warrants. The EBA's proposal implements the Basel II framework which provides for the following methods: (i) a simplified approach to be applied only by institutions that buy options; (ii) the delta-plus method that can be also applied by institutions that sell options; and (iii) the scenario approach that is more sophisticated and addressed to institutions dealing with a considerable trading activity in options. In addition, for certain non-standard options, a new conservative treatment is introduced.
The final draft ITS on appropriately diversified indices list relevant exchange traded and appropriately diversified indices for which specific risk can be ignored on the basis of the following criteria: (i) the index must comprise a minimum number of equities; (ii) none of the equities or concentration of equities must significantly influence the volatility of the index; the index must comprise equities that are diversified both from (iii) a geographical and (iv) economic perspective.
The EBA has developed these final draft RTS and ITS in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (colloquially known as Capital Requirements Regulation or CRR).
The final draft standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.
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.
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.
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.