Instructions regarding unmatched positions, Foreign Exchange Risk

The comment of the submitter is correct. An allocation of the residual open position in closely correlated currencies to columns 040 or 050 of C 22.00 template as currently described in the instructions (Annex II of the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsDraft ITS on Supervisory reporting) would lead to a double reporting of the open position in closely correlated currencies, because the amount in those columns would be reported in row 020 and in row 030, too. The residual open position of closely correlated currencies has to be considered when determining the net open position which is subject to capital charge (see Art 354 (5) of Regulation (EU) No. 575/2013 (CRR)). The instructions have to be amended accordingly. An example is provided to clarify the reporting of foreign currency risk (see Annex)   *As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.