EBA · 2022_6357 Rejected question

Foreign Exchange Risk – Interest Rate Swaps and Forward Rate Agreements in C 22.00

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
352, para. 1
Topic
Market risk
Submitted by
Other
Submitted
2022-02-08
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Question

Are Interest Rate Swaps and Forward Rate Agreements, where only one currency is involved, relevant for reporting FX risk in the template C 22.00?

Background

In accordance with Article 352(1), point (b), of Regulation (EU) No 575/2013 (CRR), the net forward position for each currency shall include all amounts to be received less all amounts to be paid under forward exchange (and gold) transactions, including currency (and gold) futures. Are interest rate swaps and forward rate agreements, where only one currency is involved, perceived as part of those mentioned forward exchange transactions?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6357

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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