EBA updates correlated currencies used to calculate CRR requirements for foreign exchange risk

The European Banking Authority (EBA) has updated the list of correlated currencies in accordance with the technical standards mandated by Article 354 of the EU Capital Requirements Regulation (Regulation (EU) No 575/2013) (CRR). Article 354 allows institutions to provide lower own funds requirements against positions in relevant closely correlated currencies.

The EBA updated the list by way of a draft Implementing Regulation amending the relevant technical standards (which are set out in Implementing Regulation (EU) 2015/2197), with an Annex confirming the revised list. The update is intended to ensure that the listed currency correlations continue to reflect actual market conditions and is based on the EBA's latest assessment using data up to 31 March 2025. The amendments do not introduce any methodological or substantive policy changes, but instead apply the existing framework in Implementing Regulation (EU) 2015/2197 to an updated data set. Once adopted, the Amending Implementing Regulation will replace the current Annex to Implementing Regulation (EU) 2015/2197 and will enter into force on the 20th day following publication in the Official Journal of the European Union. The revised list has been submitted to the European Commission for endorsement, as confirmed in the EBA's press release.

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