Updated 01/07/2025
In force

Version from: 28/05/2025
Amendments (1)
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CRR ToolDelegated Regulation 2023/1577
Article 1

Article 1 - Delegated Regulation 2023/1577

Article 1

Calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk in accordance with the alternative standardised approach

1.  
When calculating the own funds requirements for non-trading book positions subject to foreign exchange risk under the sensitivities-based method in accordance with Part Three, Title IV, Chapter 1a, Section 2, of Regulation (EU) No 575/2013, institutions shall use as a basis the last available accounting value of those positions.
2.  
By way of derogation from paragraph 1, institutions may use the last available fair value of a non-trading book position that is subject to foreign exchange risk, provided that they measure all their non-trading book positions at fair value at least on a quarterly basis. When using this derogation, institutions shall apply it consistently to all non-trading book positions subject to foreign exchange risk.
3.  
Institutions shall update the last available value that is used as a basis for calculating the own funds requirements for foreign exchange risk in accordance with paragraphs 1 and 2 at least on a monthly basis, by reflecting the changes in the value of the foreign exchange risk factors.
4.  

Institutions shall identify the currency of denomination of the item as the foreign currency whose depreciation against their reporting currency would lead to the highest impairment of the item, where all of the following conditions are met:

(a) 

the item is not measured at fair value;

(b) 

the item is subject to the risk of impairment due to foreign exchange risk;

(c) 

the accounting value of the item is not updated at each reporting date to reflect the changes in the exchange rate between the foreign currency and the reporting currency.

Where institutions calculate the own funds requirements for market risk on a consolidated basis, they shall identify the currency of denomination of an item as the reporting currency of the institution which recognises that item in its individual financial statement, where all of the following conditions are met:

(a) 

the item is not measured at fair value;

(b) 

the item is subject to the risk of impairment due to foreign exchange risk;

(c) 

the institution’s reporting currency differs from the reporting currency of the institution that recognises the item in its individual financial statement;

(d) 

the accounting value of the item is not updated at each reporting date to reflect the changes in the exchange rate between the foreign currency and the reporting currency of the institution recognising the item in its individual financial statement.

5.  
The value of the delta foreign exchange risk sensitivity calculated in accordance with Article 325r(5) of Regulation (EU) No 575/2013 corresponding to the items referred to in paragraph 4 of this Article shall be equal to the value which those items have in the currency of denomination identified in accordance with that paragraph, multiplied by the spot exchange rate between the currency of denomination and the institution’s reporting currency.
6.  
When calculating the own funds requirements for market risk on a consolidated basis, in accordance with Article 325b of Regulation (EU) No 575/2013, institutions shall be able to identify, in their internal risk-management systems, the positions that have been included in the foreign exchange risk exposure of the institution due to the translation risk resulting when translating the positions of each institution or undertaking of the group into the same reporting currency in accordance with that Article.