EBA acknowledges the possibility of different interpretations of the CRR, namely under the Guidelines on the treatment of structural FX (paragraph 56, section 2.Background and rationale), to compute own funds’ requirements.

Example 10 of Annex II to the ‘Guidelines on the treatment of structural FX under 352(2) of the CRR’, shows in a simplified fashion how institutions and competent authorities are to apply the legal text of the guidelines. The example explains how to depart from the individual balance sheets of Parent and Subsidiaries, to obtain a consolidated balance sheet for the purpose of calculating net positions (assuming the permission referred to in article 325 has not been granted).However it does not cover how to calculate the own fund requirements in accordance with article 352(1) CRR.

Following the aforementioned example starting point is the individual balance sheets of both the Parent bank and a subsidiary, the consolidated balance sheet is obtained from combining line by line the individual balance sheets of the Parent bank and the Subsidiary balance sheets, after elimination of the carrying amount of the parent's investment in the subsidiary and the parent's portion of equity of the subsidiary and eliminate in full intragroup assets and liabilities, equity, income, expenses and cash flows relating to transactions between Parent bank and the Subsidiary, as follows:

• Parent bank at solo level reporting in EUR, composed by:
• Assets in EUR (BB): 500
• Assets in USD – Participation (BB): 20
• Assets in GBP (BB): 30

• Liabilities in EUR (BB): 400
• Liabilities in USD (BB): 40
• Liabilities in USD (BB) – T1: 10
• Liabilities in SEK (BB) – T1: 10
• Liabilities in DKK (BB): 10

• CET1 in EUR: 80 (not relevant for the purpose of the question)

• The Parent ONFEP is equal to 50 (maximum of Net Long and Net Short Positions), calculated in the following way:
• Net Long Positions = 30, broken down by:
• GBP = 30
• Net Short Positions = 50, broken down by:
• USD = 20 - 40 - 10 = 30
• SEK = 10
• DKK = 10
• Applying article 351 of the CRR, the own funds requirements at individual level are equal to 50 x 8% = 4

• Subsidiary at solo level reporting in USD:
• Assets in USD (BB): 300
• Assets in USD (TB): 100
• Assets in GBP (BB): 20
• Assets in DKK (BB): 30

• Liabilities in USD (BB): 200
• Liabilities in DKK (BB): 10

• CET1 in USD: 240 (not relevant for the purpose of the question)

• The Subsidiary ONFEP is equal to 240 (maximum of Net Long and Net Short Positions), calculated in the following way:
• Net Long Positions = 240, broken down by:
• USD = 300 + 100 – 200 = 200
• GBP = 20
• DKK = 30 -10 = 20
• Net Short Positions = 0.
• Applying article 351 of the CRR, the own funds requirements are equal to 240 x 8% = 19,2.

Departing from the individual balance sheets, the Group balance sheet at consolidated level reporting in EUR, includes the following items:

• Assets in EUR (BB): 500 (from the parent individual balance sheet)
• Assets in GBP (BB): 30 (from the parent individual balance sheet)
• Assets in USD (BB): 300 (from the subsidiary individual balance sheet)
• Assets in USD (TB): 100 (from the subsidiary individual balance sheet)
• Assets in GBP (BB): 20 (from the subsidiary individual balance sheet)
• Assets in DKK (BB): 30 (from the subsidiary individual balance sheet)

• Liabilities in EUR (BB): 400 (from the parent individual balance sheet)
• Liabilities in USD (BB): 40 (from the parent individual balance sheet)
• Liabilities in USD (BB) – T1: 10 (from the parent individual balance sheet)
• Liabilities in SEK (BB) – T1: 10 (from the parent individual balance sheet)
• Liabilities in DKK (BB): 10 (from the parent individual balance sheet)
• Liabilities in USD (BB): 200 (from the subsidiary individual balance sheet)
• Liabilities in DKK (BB): 10 (from the subsidiary individual balance sheet)

• CET in EUR: 300 (not relevant for the purpose of the question)