EBA · 2014_1356 Final Q&A

Maturity-based calculation of general risk

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
339, para. 1
Topic
Market risk
Submitted by
Credit institution
Submitted
2014-07-10
Answered
2014-10-24
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

Are the FX Forward, FX Swap and CIRS to be taken into consideration when computing the General Risk using the maturity-based method?

Background

According to the CRR, Annex II the FX Forward, FX Swaps and CIRS are considered as Foreign-exchange contracts and taken into consideration when computing the overall net foreign-exchange position. According to EU Regulation no.680/2014, Annex V - FINREP Art.10.1 - Classification of derivatives by type of risk, those contracts are specifically excluded from Interest rate category and considered belonging only into the Foreign-exchange products.

Answer

As FX Forwards, FX Swaps and CIRS have interest rate risk as well as FX risk, they should be taken into consideration when computing the General Risk using the maturity-based method under Chapter 2 Section 2 of Regulation (EU) No 575/2013 (CRR). The treatment of these instruments for the calculation of capital requirements under the CRR (reported in COREP) is irrespective of the classification of these contracts in FINREP.

Original source: European Banking Authority, Q&A ID 2014_1356

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

1424

Answered 2019-09-06

Correlation parameter for Intra-bucket correlations for credit spread risk for non-securitisations

Answered 2023-06-16

Calculation of the own funds requirements for market risk for positions in specific instruments, e.g. weather derivatives, emission certificates and inflation-linked products

Answered 2014-09-19

Calculation of the net open position for capital requirements for structural FX risk

Answered 2024-11-15

C 22.00 (Market Risk FX) - Scope of Memorandum Items

Answered 2017-08-04

More Q&As on this topic

Application of Article 207(2) of the CRR to financial collateral under the counterparty credit risk framework

Answered 2026-05-29

SPV repack transactions

Answered 2026-05-29

Exclusion of back-to-back positions from RRAO

Answered 2025-10-31

Sources for external classification that is commonly used in the market for grouping issuers by sector, for the purpose of CRR Article 325ah.

Answered 2025-10-17

Multilateral development banks classification for the purpose of article 325ah

Answered 2025-06-27

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.