Question ID:
2014_1171
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Market risk
Article:
352
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
NA
Disclose name of institution / entity:
No
Type of submitter:
Other
Subject Matter:
Calculation of foreign exchange position for non-FX derivatives denominated in foreign currency
Question:

Should non-FX derivatives denominated in foreign currency be treated as cash position or net forward position? Should it be treated in market value (as showed in balance sheet) or like FX swaps in principal amount (as showed in off-balance sheet)?

Background on the question:

Article 352 of Regulation (EU) No 575/2013 (CRR) requires institutions to calculate net open position in each currency for both net spot and net forward position. It is not clear how we should calculate position for instrument which have non-zero value in both balance and off-balance sheet.

Date of submission:
09/05/2014
Published as Final Q&A:
12/09/2014
EBA Answer:

Note: As of 29 11 2019 the answer to this question has been repealed. For guidance on the issue in question please refer to Q&A 3137

 

To ensure coherence between the calculation of positions for options and for other derivatives, non-FX derivatives denominated in a foreign currency should be treated as a cash position in the underlying's base currency, equal to the market value of the underlying, as per the treatment for 'other options' referred to in Article 352(1)(e) of Regulation (EU) No 575/2013.

Status:
Final Q&A