Reporting of positions in closely correlated currencies (CRR Art. 354)

The prudential treatment of closely correlated currencies is provided in Article 354 of Regulation (EU) 575/2013 (CRR). Based on Article 354(3) CRR, Regulation (EU) 2015/2197 (ITS on closely correlated currencies) lists the currencies for which the treatment provided in article 354(1) CRR is allowed.  While Commission Implementing Regulation (EU) 2015/2197 does not explicitly address the issue of this question, Q&A 2015_2139 clarifies that “There is no restriction on the application of the provisions of Article 354 Regulation (EU) No 575/2013 (CRR) to currencies that are closely correlated to the reporting currency, as long as the pair of the reporting currency and the currency that is closely correlated to it, is listed in the Implementing Technical Standards (ITS) on closely correlated currencies (Commission Implementing Regulation (EU) 2015/2197).”  Therefore the prudential treatment provided in Article 354(1) CRR is applicable to currencies that are closely correlated to the reporting currency of the reporting institution. Institutions shall include that part of the open position in the reporting currency that is considered for the purposes of Article 354 CRR, i.e. that forms part of a matched position in two closely correlated currencies, in row 010 of template C 22.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). Template C 22.00 and the related instructions will be amended to reflect this.