Commission Implementing Regulation amending Implementing Technical Standards on closely correlated currencies under Capital Requirements Regulation published in the Official Journal of the European Union.

The Commission Implementing Regulation amending Implementing Technical Standards in respect of closely correlated currencies under the Capital Requirements Regulation was published in the Official Journal of the European Union.

The main change of the ‘ITS’ is the update of the list of closely correlated currencies which aims to ensure that the currency pairs referred to in the Annex to Implementing
‘CRR’ continue to reflect the actual correlation between the relevant currencies.

The Regulation will become effective on 29 December 2019.

Firms are advised to review the list of closely correlated currencies, identifying the likely impact upon their calculation of Capital Requirements for foreign-exchange risk, seeking input from Finance, Risk and Operational Teams, whilst appraising Senior Management / Executive Teams , Board and Audit Committee Members.

Further information:
To read more, please follow this link:

Official Journal of the European Union
https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32019R2091&from=EN

List of closely correlated currencies
https://ec.europa.eu/finance/docs/level-2-measures/crr-its-2019-8436-annex_en.pdf

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