Guidelines on the treatment of structural FX under Article 352 ...

Guidelines on the treatment of structural FX under Article 352(2) of the CRR ... These Guidelines on the application of the structural FX provision aim at setting ... Skiptomaincontent Home» Regulationandpolicy» Market,counterpartyandCVArisk» GuidelinesOnTheTreatmentOfStructuralFxUnder3522OfTheCrr Followuson: GuidelinesonthetreatmentofstructuralFXunderArticle352(2)oftheCRR FinalandtranslatedintotheEUofficiallanguages TheseGuidelinesontheapplicationofthestructuralFXprovisionaimatsettingaregulatoryframeworkonStructuralFXasaresponsetotheobserveddiversityinitsapplicationacrosstheEU.Inparticular,theyidentifycriteriatoassistCompetentAuthoritiesintheirassessmentofthestructuralnatureofaforeign-exchangepositionandwhethersuchpositionhasbeendeliberatelytakenforhedgingthecapitalratio. Documents FinalGuidelinesonthetreatmentofstructuralFXunderArticle352(2)oftheCRR Compliancetable(Updated19 March 2021) Translationsfor: DownloadGuidelines bgбългарски csceština dadansk deDeutsch elΕλληνικά enEnglish esespañol eteestikeel fisuomi frfrançais hrhrvatski humagyar ititaliano ltlietuviukalba lvlatviešuvaloda mtMalti nlNederlands plPolski ptPortuguês roRomână skSlovencina slSlovenščina svsvenska Links Marketrisk PublicHearing PressReleaseConsultationPapers PressRelease EBApublishesfinalGuidelinesonthetreatmentofstructuralFXpositions 01July2020 TheEuropeanBankingAuthority(EBA)publishedtodayitsfinalGuidelinesonthetreatmentofstructuralFXpositions.TheaimoftheseGuidelinesistoestablishaharmonisedframeworkfortheapplicationofthestructuralFXwaiver,whichwillallowitsconsistentapplicationgoingforward.TheGuidelineswillbeapplicablefrom1January2022,oneyearlaterthanoriginallyenvisagedtoensurethatinstitutionshavetimetopreparefortheintroductionoftherequirements.ThestructuralFXprovision,aslaiddowninArticle352(2)oftheCapitalRequirementsRegulation(CRR),allowsCompetentAuthoritiestoauthorise,onanadhocbasis,theexclusionofFX-riskpositionsdeliberatelytakenbyfirmstohedgeagainsttheadverseeffectofexchangeratesoncapitalratiosfromthecalculationofthenetopencurrencypositionswherethosepositionsareofastructuralnature.Consideringthattheapplicationofthewaivercanhaveasignificantimpactoncapitalrequirements,theseGuidelinesidentifyobjectivecriteriatoassistCompetentAuthoritiesintheirassessmentofthestructuralnatureofaforeign-exchangepositionandtounderstandwhethersuchpositionhasbeendeliberatelytakenforhedgingthecapitalratio.TheGuidelineshavebeendevelopedconsideringalsochangestothemarketriskframeworkintroducedintheCRR2andthenewstructuralFXtreatmentenvisagedintheFundamentalReviewoftheTradingBook(FRTB)standards. Asaresult,theseGuidelineshavebeendesignedinawaythatinstitutionswillnotberequiredtoaskforanewpermissiononcetheywillswitchtotheFRTBframeworkforcomputingtheownfundsrequirementsformarketrisk.LegalBasisandbackgroundTheEBAhasdevelopedtheGuidelinesonitsowninitiative,inaccordancewithArticle16ofitsfoundingRegulation,whichmandatestheAuthoritytoissueguidelinesandrecommendationsaddressedtocompetentauthoritiesorfinancialinstitutionswithaviewtoestablishingconsistent,efficientandeffectivesupervisorypracticeswithintheESFS,andtoensuringthecommon,uniformandconsistentapplicationofUnionlaw.TheseGuidelinessetoutthecriteriaunderwhichapositionintheforeigncurrencyshouldbeconsideredasstructuralandtakenforthepurposeofhedgingthecapitalratioinaccordancewithArticle352(2)ofRegulation(EU)No575/2013(CRR).InJune2017,theEBApublishedaDiscussionPaperonStructuralFXtogatherfeedbackoncurrentstakeholders'practicesandinterpretationsoftheStructuralFXprovision.InJanuary2019,thefinalBaselFRTBstandardswerepublishedsettingoutanewprovisionwithrespecttotheStructuralFXtreatment.InOctober2019,theEBApublishedaConsultationPaperonwhichtheseGuidelinesarebased. EBAlaunchesconsultationonguidelinesontheapplicationofthestructuralFXprovision 16October2019 TheEuropeanBankingAuthority(EBA)launchedtodayaconsultationondraftGuidelinesontheapplicationoftheStructuralFXprovision.TheseGuidelinesaimatsettingaregulatoryframeworkonStructuralFXtoaddresstheobserveddiversityinitsapplicationacrosstheEU.Inparticular,theguidelinesidentifycriteriatoassistCompetentAuthoritiesintheirassessmentofthestructuralnatureofaforeign-exchangepositionandwhethersuchpositionhasbeendeliberatelytakenforhedgingthecapitalratio.Theconsultationrunsuntil17January2020.TheconceptandspecificapplicationoftheStructuralFXprovision,aslaiddownintheCapitalRequirementsRegulation(CRR),appearstobesubjecttoseveralinterpretations,acrossbothsupervisoryauthoritiesandinstitutions.Asaresult,theapplicationofthisprovisioncanhavesignificantimpactsoncapitalrequirements.Accordingly,theEBAisoftheviewthatamoreharmonisedapplicationandenforcementofthisprovisionisnecessaryandcanbeachievedthankstotheseGuidelines.ThisconsultationpaperissettingobjectivecriteriathatCompetentAuthoritiesshouldconsiderforthepurposeofassessingwhethertheconditionssetoutinarticle352(2)oftheCRRforreceivingthepermissiontoexcludeaforeign-exchangepositionfromthenetopenpositionintheforeigncurrencyaremet.TheseguidelinesintroduceforthefirsttimeadetailedregulatoryframeworkaroundtheStructuralFXprovisionandseveralquestionshavebeenincludedaspartoftheconsultationprocesstogatherfeedbackaroundtheproposedprovisions.ConsultationprocessCommentstothisconsultationcanbesenttotheEBAbyclickingonthe"sendyourcomments"buttonontheconsultationpage.Pleasenotethatthedeadlineforthesubmissionofcommentsis17January2020.Allcontributionsreceivedwillbepublishedfollowingthecloseoftheconsultation,unlessrequestedotherwise.ApublichearingwilltakeplaceattheEBApremisesinParison25November2019from16:00to17:30CETtime.LegalbasisandbackgroundTheEBAhasdevelopedthedraftGuidelinesonitsowninitiative,inaccordancewithArticle16ofitsfoundingRegulation,whichmandatestheAuthoritytoissueguidelinesandrecommendationsaddressedtocompetentauthoritiesorfinancialinstitutionswithaviewtoestablishingconsistent,efficientandeffectivesupervisorypracticeswithintheESFS,andtoensuringthecommon,uniformandconsistentapplicationofUnionlaw.InJune2017,theEBApublishedaDiscussionPaperonStructuralFXtogatherfeedbackoncurrentstakeholders'practicesandinterpretationsoftheStructuralFXprovision.InJanuary2019,thefinalBaselFRTBstandardswerepublishedsettingoutanewprovisionwithrespecttotheStructuralFXtreatment.Accordingly,theseGuidelineshavebeendevelopedinlightofboththefeedbackontheDiscussionPaperandthenewinternationalstandards. Presscontacts FrancaRosaCongiu [email protected]| +33186527052| Follow@EBA_News ConsultationPapers ConsultationpaperondraftGuidelinesonthetreatmentofstructuralFXunder352(2)oftheCRR(EBA/CP/2019/11) Summary 16/10/2019 TheEuropeanBankingAuthority(EBA)launchedtodayaconsultationondraftGuidelinesontheapplicationoftheStructuralFXprovision.TheseGuidelinesaimatsettingaregulatoryframeworkonStructuralFXtoaddresstheobserveddiversityinitsapplicationacrosstheEU.Inparticular,theguidelinesidentifycriteriatoassistCompetentAuthoritiesintheirassessmentofthestructuralnatureofaforeign-exchangepositionandwhethersuchpositionhasbeendeliberatelytakenforhedgingthecapitalratio.Theconsultationrunsuntil17January2020.TheconceptandspecificapplicationoftheStructuralFXprovision,aslaiddownintheCapitalRequirementsRegulation(CRR),appearstobesubjecttoseveralinterpretations,acrossbothsupervisoryauthoritiesandinstitutions.Asaresult,theapplicationofthisprovisioncanhavesignificantimpactsoncapitalrequirements.Accordingly,theEBAisoftheviewthatamoreharmonisedapplicationandenforcementofthisprovisionisnecessaryandcanbeachievedthankstotheseGuidelines.ThisconsultationpaperissettingobjectivecriteriathatCompetentAuthoritiesshouldconsiderforthepurposeofassessingwhethertheconditionssetoutinarticle352(2)oftheCRRforreceivingthepermissiontoexcludeaforeign-exchangepositionfromthenetopenpositionintheforeigncurrencyaremet.TheseguidelinesintroduceforthefirsttimeadetailedregulatoryframeworkaroundtheStructuralFXprovisionandseveralquestionshavebeenincludedaspartoftheconsultationprocesstogatherfeedbackaroundtheproposedprovisions.ConsultationprocessCommentstothisconsultationcanbesenttotheEBAbyclickingonthe"sendyourcomments"buttonontheconsultationpage.Pleasenotethatthedeadlineforthesubmissionofcommentsis17January2020.Allcontributionsreceivedwillbepublishedfollowingthecloseoftheconsultation,unlessrequestedotherwise.ApublichearingwilltakeplaceattheEBApremisesinParison25November2019from16:00to17:30CETtime.LegalbasisandbackgroundTheEBAhasdevelopedthedraftGuidelinesonitsowninitiative,inaccordancewithArticle16ofitsfoundingRegulation,whichmandatestheAuthoritytoissueguidelinesandrecommendationsaddressedtocompetentauthoritiesorfinancialinstitutionswithaviewtoestablishingconsistent,efficientandeffectivesupervisorypracticeswithintheESFS,andtoensuringthecommon,uniformandconsistentapplicationofUnionlaw.InJune2017,theEBApublishedaDiscussionPaperonStructuralFXtogatherfeedbackoncurrentstakeholders’practicesandinterpretationsoftheStructuralFXprovision.InJanuary2019,thefinalBaselFRTBstandardswerepublishedsettingoutanewprovisionwithrespecttotheStructuralFXtreatment.Accordingly,theseGuidelineshavebeendevelopedinlightofboththefeedbackontheDiscussionPaperandthenewinternationalstandards. ConsultationPaperondraftGuidelinesonthetreatmentofstructuralFXunder352(2)oftheCRR CPonGuidelinesonStructuralFX Presentation Responses AssociationForFinancialMarketsinEuropeAustrianFederalEconomicChamber,DivisionBankandInsuranceEuropeanSavingsandRetailBankingGroup(ESBG)FrenchBankingFederationIntesaSanpaoloSberbankEuropeAG PublicHearing Note:APublicHearingisrelatedtothisconsultationbutisnotvisibletopublicuserssincethedateispast