2014_1356 Maturity-based calculation of general risk

Question ID:

2014_1356

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Market risk

Article:

339

Paragraph:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Regulation (EU) No 241/2014 - RTS for Own Funds requirements for institutions

Article/Paragraph:

C18 - MARKET RISK

Disclose name of institution / entity:

Type of submitter:

Credit institution

Subject Matter:

Maturity-based calculation of general risk

Question:

Are the FX Forward, FX Swap and CIRS to be taken into consideration when computing the General Risk using the maturity-based method?

Background on the question:

According to the CRR, Annex II the FX Forward, FX Swaps and CIRS are considered as Foreign-exchange contracts and taken into consideration when computing the overall net foreign-exchange position. According to EU Regulation no.680/2014, Annex V - FINREP Art.10.1 - Classification of derivatives by type of risk, those contracts are specifically excluded from Interest rate category and considered belonging only into the Foreign-exchange products.

Date of submission:

10/07/2014

Published as Final Q&A:

24/10/2014

Final Answer:

As FX Forwards, FX Swaps and CIRS have interest rate risk as well as FX risk, they should be taken into consideration when computing the General Risk using the maturity-based method under Chapter 2 Section 2 of Regulation (EU) No 575/2013 (CRR).

The treatment of these instruments for the calculation of capital requirements under the CRR (reported in COREP) is irrespective of the classification of these contracts in FINREP.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.

Note to Q&A:

Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.