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EBA consults on draft technical standards....

EBA consults on draft technical standards on closely correlated
currencies and on appropriately diversified indices under the CRD

The European Banking Authority (EBA) has published two consultation papers for implementing technical standards (ITS) to:

  • identify a list of relevant closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk: and
  • provide a list of relevant appropriately diversified indices for the purposes of calculating the capital requirements for equity risk.

Draft ITS on closely related currencies - this draft ITS provides a list of relevant closely correlated currencies.  Currencies are considered to be closely correlated if they meet the specific criteria set out in Article 354 of the Capital Requirements Regulation (CRR).  Positions in currency pairs that are deemed to be closely correlated are subject to lower capital requirements.

Draft ITS on appropriately diversified indices - this draft ITS, which is required under Article 344 of the CRR, lists relevant exchange traded and appropriately diversified indices for which specific risk incorporated in a stock index can be ignored.  The EBA expects to update this list on a yearly basis and to assess any additional indices identified as relevant by 30 September of each year.

Comments on both consultations are requested by 8 September 2013.  The EBA is requested to submit the final draft ITS to the European Commission by 1 January 2014

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