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2. Background and rationale

1. The structural FX provision in Article 352(2) of Regulation (EU) No 575/2013 (CRR) is subject to various interpretations that have led to differences in its application both in EU Member States and across institutions. In order to ensure a harmonised approach, the EBA has produced these own-initiative guidelines on the practical implementation of the ‘structural FX’ provision contemplated in Article 352(2) of the CRR.

2. It is important to note that, even if these guidelines relate to the provision included in Article 352(2), which refers to the current market risk framework, they have been developed also considering changes to the market risk framework introduced in the revised Capital Requirements Regulation (CRR2), which builds on the new FRTB standards published by the Basel Committee on Banking Supervision (BCBS) in January 2019, and taking into account the structural FX treatment envisaged in those standards.

3. It should also be noted that these guidelines have been desig

Comparing proposed amendment...
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