+Guidelines on the treatment of structural FX under Article 352(2) of the CRR (EBA/GL/2020/09)
---+1. Compliance and reporting obligations
------+Status of these guidelines
---------+1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 …
---------+2. Guidelines set the EBA view of appropriate supervisory practices within the European System of …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must notify …
---------+4. Notifications will be published on the EBA website, in line with Article 16(3).
---+2. Subject matter, scope and definitions
------+Subject matter
---------+5. These guidelines provide guidance to competent authorities across the EU on the treatment of …
------+Scope of application
---------+6. These guidelines apply with regard to requests for permission by institutions applying the …
---------+7. These guidelines apply to all institutions, irrespective of whether they calculate the own funds …
------+Addressees
---------+8. These guidelines are addressed to competent authorities as defined in point i of Article 4(2) of …
------+Definitions
---------+9. Unless otherwise specified, terms used and defined in Regulation (EU) No 575/2013 have the same …
---+3. Implementation
------+Date of application
---------+10. These guidelines apply from 01.01.2022.
---------+11. Competent authorities should review, update or revoke permissions already granted at the date …
---+4. Overview of requirements
------+12. For the purpose of granting the permission referred to in Article 352(2) of Regulation (EU) No …
------+13. Following the granting of the permission referred to in Article 352(2) of Regulation (EU) No …
---+5. Procedural admissibility of a request under Article 352(2) of Regulation (EU) No 575/2013
------+14. Competent authorities should deem as acceptable the submission of more than one request for …
------+15. In their request to competent authorities, institutions should justify how the positions in the …
---+6. Substantive admissibility of a request under Article 352(2) of Regulation (EU) No 575/2013
------+16. An open position in a foreign currency should be considered to be hedging the ratio where it …
------+17. The request for the permission referred to in Article 352(2) of Regulation (EU) No 575/2013 …
------+18. The request by an institution to exempt positions should be made with regard to currencies that …
------+19. For the purpose of paragraph 18, currencies that should be considered relevant to the business …
------+20. Other currencies not meeting the condition referred to in paragraph 19 may be considered …
------+21. Where an institution seeks the permission referred to in Article 352(2) of Regulation (EU) No …
------+22. A position in the foreign currency stemming from an item that is held in the trading book …
------+23. In order for a position in a foreign currency to be considered eligible to be exempted, the …
------+24. In order for a position in a foreign currency to be considered eligible to be exempted, that …
------+25. Where the institution computes the own funds requirements of Regulation (EU) No 575/2013 for …
------+26. Where the institution computes the own funds requirements of Regulation (EU) No 575/2013 for …
---+7. Examination of the merits – assessment of the structural nature of the positions and of the intention to hedge the ratio
------+27. The following positions should be considered as positions of a structural nature: (a) where the …
------+28. Other positions not meeting the conditions referred to in paragraph 27 could be considered of a …
------+29. In order for the competent authorities to be able to establish that the position in the …
---+8. Size of the position to be excluded
------+30. The size of a position to be excluded in accordance with Article 352(2) of Regulation (EU) No …
------+31. The institution should calculate the maximum net open position in accordance with the following …
------+32. Institutions may apply simplifications when calculating the maximum net open position in …
------+33. Where the size of the position that the institution has taken for hedging the ratio is lower …
------+34. Where the size of the position that the institution has taken for hedging the ratio exceeds the …
------+35. Positions corresponding to non-monetary items that are held at historical cost, items that have …
---+9. Ongoing monitoring of the permission
------+36. Institutions should perform the calculation of the maximum net open position at least monthly. …
------+37. For each of the currencies for which institutions have the permission from the competent …
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Guidelines on the treatment of structural FX under Article 352(2) of the CRR (EBA/GL/2020/09)

Guidelines on the treatment of structural FX under Article 352(2) of the CRR (EBA/GL/2020/09)

https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/market-counterparty-and-cva-risk/guidelines-treatment-structural-fx-under-article-3522-crr – PDF

1. Overview

,
1. Compliance and reporting obligations

1. Compliance and reporting obligations
2. Subject matter, scope and definitions

2. Subject matter, scope and definitions
3. Implementation

3. Implementation
4. Overview of requirements

4. Overview of requirements
5. Procedural admissibility of a request under Article 352(2) of Regulation (EU) No 575/2013

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) No 575/2013

Hedging of a ratio
7. Examination of the merits – assessment of the structural nature of the positions and of the intention to hedge the ratio

Assessment of the structural nature of a position
8. Size of the position to be excluded

8. Size of the position to be excluded
9. Ongoing monitoring of the permission

9. Ongoing monitoring of the permission

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
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