Art. 325q
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
Foreign exchange risk factors
6 changes recorded across 6 events, newest first.
in force 2025-01-01 MODIFIED+15 −59§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Paragraph 2 no longer refers to the currency pairs described in paragraph 1, instead referring simply to currency pairs, and it drops the phrase 'of exchange rates' when referring to the implied volatilities being mapped to maturities.
The list of maturities is also reworded slightly, replacing the comma before the final item with 'and'.
Cited: Art. 325q, v1 · Art. 325q, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325q
Foreign exchange risk factors
1. The foreign exchange delta risk factors to be applied by institutions to foreign exchange sensitive instruments shall be all the spot exchange rates between the currency in which an instrument is denominated and the institution’s reporting currency or the institution’s base currency where the institution is using a base currency in accordance with paragraph 7. There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity.
2. The foreign exchange vega risk factors to be applied by institutions to options with underlyings that are sensitive to foreign exchange shall be the implied volatilities of exchange rates between the currency pairs referred to in paragraph 1. pairs. Those implied volatilities of exchange rates shall be mapped to the following maturities in accordance with the maturities of the corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, years and 10 years.
3. The foreign exchange curvature risk factors to be applied by institutions to instruments with underlyings that are sensitive to foreign exchange shall be the foreign exchange delta risk factors referred to in paragraph 1.
4. Institutions shall not be … 345 unchanged words … use a base currency as set out in the first subparagraph shall convert the resulting own funds requirements for foreign exchange risk into the reporting currency using the prevailing spot exchange rate between the base currency and the reporting currency.
in force 2024-07-09 MODIFIED§
Amended by Regulation (EU) 2024/1623 32024R1623
applies from: unknown
Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.
No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.
text before / after, on the event page →
in force 2023-06-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.
No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.
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in force 2021-09-30 MODIFIED§
Amended by Regulation (EU) 2021/424 32021R0424
applies from: unchanged
Paragraph 1 now allows the spot exchange rate to be taken against the institution's base currency, where one is used under new paragraph 7, in addition to the reporting currency.
Paragraph 3 now applies the curvature risk factors to instruments (rather than only options) with foreign exchange sensitive underlyings, and defines those factors by reference to the delta risk factors in paragraph 1 rather than simply repeating paragraph 1's content.
Three new paragraphs, 5, 6 and 7, have been added covering adjustment of curvature risk components by a factor of 1,5 in certain currency-underlying situations and, subject to competent authority permission, the use of a designated base currency in place of the reporting currency under listed conditions, with conversion of resulting own funds requirements back into the reporting currency; none of this appears in the earlier text.
Cited: Art. 325q, v2 · Art. 325q, v1
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in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.
No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.
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in force 2019-06-27 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown (an inserted provision states its own application date only in prose)
Sources disagree — the text comparison and the amending act's instructions found this change; the EU's own amendment metadata does not list it. All are shown; none is overruled.
This is a newly added provision setting out foreign exchange risk factors, defining foreign exchange delta risk factors as the spot exchange rates between an instrument's currency and the institution's reporting currency, with one bucket per currency pair holding a single risk factor and net sensitivity.
It further defines foreign exchange vega risk factors as implied volatilities of exchange rates for those currency pairs, mapped to five specified maturities, and defines foreign exchange curvature risk factors as the same factors used for delta risk.
It also states that institutions are not required to distinguish between onshore and offshore variants of a currency for these delta, vega and curvature risk factors.
Cited: Art. 325q, v2
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