CRR Tool
Capital Requirements Regulation (CRR)
Article 325av
Article 325av - Risk weights for foreign exchange risk
Table of content
Article 387 - Subject matterArticle 389 - DefinitionQ&AArticle 390 - Calculation of the exposure valueITS/RTSQ&AArticle 391 - Definition of an institution for large exposures purposesITS/RTSQ&AArticle 392 - Definition of a large exposureQ&AArticle 393 - Capacity to identify and manage large exposuresArticle 394 - Reporting requirementsITS/RTSQ&AArticle 395 - Limits to large exposuresQ&AOPGLArticle 396 - Compliance with large exposures requirementsGLArticle 397 - Calculating additional own funds requirements for large exposures in the trading bookArticle 398 - Procedures to prevent institutions from avoiding the additional own funds requirementArticle 399 - Eligible credit mitigation techniquesQ&AArticle 400 - ExemptionsQ&AArticle 401 - Calculating the effect of the use of credit risk mitigation techniquesQ&AOPArticle 402 - Exposures arising from mortgage lendingQ&AArticle 403 - Substitution approachQ&AGL
Article 429 - Calculation of the leverage ratioQ&AArticle 429a - Exposures excluded from the total exposure measureQ&ADCArticle 429b - Calculation of the exposure value of assetsQ&AArticle 429c - Calculation of the exposure value of derivativesQ&AArticle 429d - Additional provisions on the calculation of the exposure value of written credit derivativesQ&AArticle 429e - Counterparty credit risk add-on for securities financing transactionsQ&AArticle 429f - Calculation of the exposure value of off-balance-sheet itemsQ&AArticle 429g - Calculation of the exposure value of regular-way purchases and sales awaiting settlementQ&A
Article 430 - Reporting on prudential requirements and financial informationITS/RTSQ&AArticle 430a - Specific reporting obligationsQ&AArticle 430b - Specific reporting requirements for market riskITS/RTSArticle 430c - Feasibility report on the integrated reporting system
Article 456 - Delegated actsQ&AOPArticle 457 - Technical adjustments and correctionsArticle 458 - Macroprudential or systemic risk identified at the level of a Member StateOPArticle 459 - Prudential requirementsArticle 460 - LiquidityITS/RTSQ&AArticle 461 - Review of the phasing-in of the liquidity coverage requirementArticle 461a - Alternative standardised approach for market riskArticle 462 - Exercise of the delegationArticle 463 - Objections to regulatory technical standardsArticle 464 - European Banking Committee
Article 325av
Risk weights for foreign exchange risk
1.
A risk weight of 15 % shall be applied to all sensitivities of foreign exchange risk factors.
2.
The risk weight of the foreign exchange risk factors concerning currency pairs which are composed of the euro and the currency of a Member State participating in the second stage of the economic and monetary union (ERM II) shall be one of the following:
(a)
the risk weight referred to in paragraph 1, divided by 3;
(b)
the maximum fluctuation within the fluctuation band formally agreed by the Member State and the European Central Bank, if that fluctuation band is narrower than the fluctuation band defined under ERM II.
3.
Notwithstanding paragraph 2, the risk weight of the foreign exchange risk factors concerning currencies referred to in paragraph 2 which participate in the ERM II with a formally agreed fluctuation band narrower than the standard band of plus or minus 15 % shall equal the maximum percentage fluctuation within that narrower band.
4.
The risk weight of the foreign exchange risk factors included in the most liquid currency pairs sub-category as referred to in point (c) of 325bd(7) shall be the risk weight referred to in paragraph 1 of this Article divided by √2.
5.
Where the daily exchange-rate data for the preceding three years show that a currency pair composed of euro and a non-euro currency of a Member State is constant and that the institution is always able to face a zero bid/ask spread on the respective trades related to that currency pair, the institution may apply the risk weight referred to in paragraph 1 divided by 2, provided that it has the express permission of its competent authority to do so.