EBA · 2021_6270 Rejected question

Trading book business for the purposes of Article 94 CRR

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
94, para. 3
Topic
Market risk
Submitted by
Consultancy firm
Submitted
2021-11-10
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Question

What is meant by "positions concerning foreign currency"? Any derivative contract that has a currency pairs as underlyng (e.g. forex swap, forward foreign exchange contracts, cross-currency interest rate swaps, option currency)? Also contracts settled in currencies other than the reporting currency?

Background

Article 94(3) states that all the positions assigned to the trading book in accordance with Article 104(3) shall be included in the calculation of the size of Institution's on- and off-balance- sheet trading book business except for positions concerning foreign exchange.  There is not any definition abut positions concerning foreign exchange in CRR.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6270

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.

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