Treatment of interest rate book positions denominated in foreign currency.

I. According with paragraph 115 (l) of EBA Guideline 2018/02 should minor positions be included or excluded? II. When deciding whether a position is below or above 5% of total non-trading book financial assets or liabilities which value has to be used for the calculation (e.g. book, face or market value)?

Paragraph 115 (l) of EBA Guideline 2018/02 states that, “Institutions should calculate the change in EVE at least for each currency where the assets or liabilities denominated in that currency amount to 5% or more of the total non-trading book financial assets (excluding tangible assets) or liabilities, or less than 5% if the sum of assets or liabilities included in the calculation is lower than 90% of total non-trading book financial assets (excluding tangible assets) or liabilities (material positions).” There are two possible interpretations of this paragraph: 1) Include minor positions in a foreign currency (<5%) in the outlier test and calculate the change in EVE for these positions using the interest rate curve and shift of the domestic currency. As a result, only the currency specific calculation of shock scenarios due to annex III is waived, but all minor positions are reflected in the EVE calculation. 2) Exclude minor positions from the outlier test altogether. What was the intention? When deciding whether a position is below or above 5% of total non-trading book financial assets or liabilities, it unclear which value has to be used for the calculation (e.g. book, face or market value). This question would be even more relevant, if minor positions are completely excluded (question I, option 2).