EBA final draft RTS on structural foreign exchange under CRR

The European Banking Authority (EBA) has published its final report on draft regulatory technical standards (RTS) on the treatment of structural foreign exchange (FX) positions under the Capital Requirements Regulation (CRR). The draft RTS, developed under Article 104c of the CRR (inserted by the CRR III), build on the EBA's 2020 guidelines and were consulted on in October 2024. Most provisions from the existing EBA 2020 guidelines are retained, with a few notable changes including: (i) allowing institutions to consider only credit risk own funds requirements when determining the maximum open position that neutralises sensitivity to capital ratios, where credit risk is the main driver of ratio variability; (ii) providing further guidance on how institutions should remove FX risk positions from own funds requirements; and (iii) introducing dedicated provisions for currencies that are illiquid in the market, including those impacted by EU restrictive measures. The final draft RTS will be submitted to the European Commission for endorsement, following which they will enter into force on the 20th day following publication in the Official Journal of the European Union.

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