Article 352 | European Banking Authority

Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 3 > Article 352. Title: Article 352. Description: Calculation of the overall net ... Skiptomaincontent Home» Regulationandpolicy» SingleRulebook» InteractiveSingleRulebook» CapitalRequirementsRegulation(CRR)» Article352 Followuson: Article352 ISRBToC ToC Path:CapitalRequirementsRegulation(CRR)>PARTTHREE>TITLEIV>CHAPTER3>Article352Title:Article352 Description:  Calculationoftheoverallnetforeignexchangeposition Maincontent:  1. Theinstitution'snetopenpositionineachcurrency(includingthereportingcurrency)andingoldshallbecalculatedasthesumofthefollowingelements(positiveornegative): (a)thenetspotposition(i.e.allassetitemslessallliabilityitems,includingaccruedinterest,inthecurrencyinquestionor,forgold,thenetspotpositioningold); (b)thenetforwardposition,whichareallamountstobereceivedlessallamountstobepaidunderforwardexchangeandgoldtransactions,includingcurrencyandgoldfuturesandtheprincipaloncurrencyswapsnotincludedinthespotposition; (c)irrevocableguaranteesandsimilarinstrumentsthatarecertaintobecalledandlikelytobeirrecoverable; (d)thenetdelta,ordelta-based,equivalentofthetotalbookofforeign-currencyandgoldoptions; (e)themarketvalueofotheroptions. Thedeltausedforpurposesofpoint(d)shallbethatoftheexchangeconcerned.ForOTCoptions,orwheredeltaisnotavailablefromtheexchangeconcerned,theinstitutionmaycalculatedeltaitselfusinganappropriatemodel,subjecttopermissionbythecompetentauthorities.Permissionshallbegrantedifthemodelappropriatelyestimatestherateofchangeoftheoption'sorwarrant'svaluewithrespecttosmallchangesinthemarketpriceoftheunderlying. Theinstitutionmayincludenetfutureincome/expensesnotyetaccruedbutalreadyfullyhedgedifitdoessoconsistently. Theinstitutionmaybreakdownnetpositionsincompositecurrenciesintothecomponentcurrenciesinaccordancewiththequotasinforce. 2. AnypositionswhichaninstitutionhasdeliberatelytakeninordertohedgeagainsttheadverseeffectoftheexchangerateonitsratiosinaccordancewithArticle92(1)may,subjecttopermissionbythecompetentauthorities,beexcludedfromthecalculationofnetopencurrencypositions.Suchpositionsshallbeofanon-tradingorstructuralnatureandanyvariationofthetermsoftheirexclusion,subjecttoseparatepermissionbythecompetentauthorities.Thesametreatmentsubjecttothesameconditionsmaybeappliedtopositionswhichaninstitutionhaswhichrelatetoitemsthatarealreadydeductedinthecalculationofownfunds. 3. Aninstitutionmayusethenetpresentvaluewhencalculatingthenetopenpositionineachcurrencyandingoldprovidedthattheinstitutionappliesthisapproachconsistently.4. Netshortandlongpositionsineachcurrencyotherthanthereportingcurrencyandthenetlongorshortpositioningoldshallbeconvertedatspotratesintothereportingcurrency.Theyshallthenbesummedseparatelytoformthetotalofthenetshortpositionsandthetotalofthenetlongpositionsrespectively.Thehigherofthesetwototalsshallbetheinstitution'soverallnetforeign-exchangeposition.5. Institutionsshalladequatelyreflectotherrisksassociatedwithoptions,apartfromthedeltarisk,intheownfundsrequirements.6. EBAshalldevelopdraftregulatorytechnicalstandardsdefiningarangeofmethodstoreflectintheownfundsrequirementsotherrisks,apartfromdeltarisk,inamannerproportionatetothescaleandcomplexityofinstitutions'activitiesinoptions. EBAshallsubmitthosedraftregulatorytechnicalstandardstotheCommissionby31December2013. PowerisdelegatedtotheCommissiontoadopttheregulatorytechnicalstandardsreferredtointhefirstsubparagraphinaccordancewithArticles10to14ofRegulation(EU)No1093/2010. Beforetheentryintoforceofthetechnicalstandardsreferredtointhefirstsubparagraph,competentauthoritiesmaycontinuetoapplytheexistingnationaltreatments,wherethecompetentauthoritieshaveappliedthosetreatmentsbefore31December2013.   Topic:  Market,counterpartyandCVArisk