Version status: Repealed | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
  Version 3 of 3    

Annex III Calculating Capital Requirements for Foreign-Exchange Risk

Repealed from 1 January 2014

1. If the sum of an institution's overall net foreign‑exchange position and its net gold position, calculated in accordance with the procedure set out in point 2, exceeds 2% of its total own funds, it shall multiply the sum of its net foreign‑exchange position and its net gold position by 8% in order to calculate its own‑funds requirement against foreign‑exchange risk.

2. A two‑stage calculation shall be used for capital requirements for foreign‑exchange risk.

2.1 Firstly, the institution's net open position in each currency (including the reporting currency) and in gold shall be calculated.

This net open position shall consist of the sum of the following elements (positive or negative):

(a) the net spot position (i.e. all asset items less all liability items, including accrued interest, in the currency in question or, for gold, the net spot position in gold);

(b) the net forward position (i.e. all amounts to be received less all amounts to be paid under forward exchan