Question ID
2015_2285
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex II
Type of submitter
Competent authority
Subject matter
C 22.00 (Market Risk FX) - Scope of Memorandum Items
Question

Please clarify whether the Memorandum Items on COREP template C 22.00 (Market Risk FX) which are to be reported on rows 130 and below should include all of an institution's gross and net FX positions, regardless of the approach used for capital requirements of these positions. Please also clarify whether these items should be reported by all institutions with the relevant COREP reporting requirement, or only by those institutions which meet (i.e. exceed) the 'de minimis' threshold defined in Article 351 CRR.

Background on the question

In order to verify compliance with Article 351 CRR, we are looking for the appropriate reference in regulatory reporting to determine the 'de minimis' treshhold above which an own funds requirement calculation for FX market risk is required.

Submission date
Final publishing date
Final answer

Paragraph 152 of Annex II to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting, as amended by Regulation (EU) 2016/1702) clarifies that rows 100 of template C 22.00 of Annex I to the ITS on Supervisory Reporting and the rows below it have to be reported even if institutions are not required to calculate own funds requirements for foreign exchange risk according to Article 351 of Regulation (EU) No 575/2013 (CRR), i.e. those rows have to be filled in irrespective of whether the institution’s foreign exchange positions meet the ‘de minimis’ threshold or not.

Template C 22.00 is dedicated to the standardised approach for calculating own funds requirements for foreign exchange risk, thus items treated under an internal model approved for the calculation of own funds requirements for foreign exchange risk shall not be reported there.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.