Question ID
2014_1356
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
339
Paragraph
1
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
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.

Submission date
Final publishing date
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.

Disclaimer

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