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  1. Draft Guidelines on the treatment of structural FX under Article 352(2) of Regulation (EU) No 575/2013 (CRR) (EBA/GL/2020/09)
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Published date: 1 July 2020

Draft Guidelines on the treatment of structural FX under Article 352(2) of Regulation (EU) No 575/2013 (CRR) (EBA/GL/2020/09)

Comparing proposed amendment...
1. Executive Summary
2. Background and rationale
2.1 Overview of the provision and clarifications on the application of the structural FX treatment
2.2 Positions ‘deliberately taken to hedge the capital ratio’ and positions of ‘a non-trading or structural nature’
2.2.1 Minimum requirements for being a position of a ‘structural or non-dealing nature’
2.2.2 Minimum requirements for an open position to be considered to be taken for hedging the capital ratio
2.3 Requirements related to the governance and risk management strategy for structural FX positions
2.3.1 Categorisation of the positions for which the institutions seek the exemption
2.3.2 Risk management strategy of the positions for which the institutions seek the exemption
2.3.3 Minimum requirements for the exclusionary treatment of the hedge
2.4 Treatment for items held at historical cost
2.5 Calculation of the maximum net open position
2.6 Calculation of the FX-own funds requirements following the permission for the exemption
2.7 Approval of the competent authorities, ongoing monitoring of the waiver and changes in the risk management strategy of the structural FX positions
3. Guidelines
Guidelines on the treatment of structural FX under Article 352(2) of Regulation (EU) No 575/2013 (CRR)
1. Compliance and reporting obligations
2. Subject matter, scope and definitions
3. Implementation
4. Overview of requirements
5. Procedural admissibility of a request under Article 352(2) of Regulation (EU) No 575/2013
6. Substantive admissibility of a request under Article 352(2) of Regulation (EU)
7. Examination of the merits - assessment of the structural nature of the positions and of the intention to hedge the ratio
8. Size of the position to be excluded
9. Ongoing monitoring of the permision
4. Accompanying documents
4.1 Draft cost-benefit analysis/impact assessment
4.2 Feedback on the public consultation
4.2.1 Summary of key issues and the EBA’s response
4.3 Annex I: Derivation of the maximum open position
4.4 Annex II: stylised examples of the application of the structural FX provision
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