Explanatory notes on the quarterly reporting requirements on structural FX positions for institutions with a CRR 352 (2) waiver

Institutions should report by the end of each quarter, by the ITS reporting date, the template with reference to the end of the quarter. Institutions should be able to deliver, upon request by the supervisor, the template with reference to each end of the month of the previous quarter, as specified in par. 36.

The excel reporting template has been designed with the objective of minimizing the burden of compliance with the reporting obligations set out by par. 37. Therefore, information that can be easily obtained from public sources or that has already been submitted to DNB (e.g. exchange rates as of the reporting date and ITS data) is not requested in the template.

Elaboration on the template

Identification Tab

Upper box: qualitative assessment including the reasons for changes in the amount of structural net open positions and the value taken by the sensitivity of column 0080 as required by par. 37 of the EBA GLs.
Bottom box (comment box): any relevant comments.

Template Structural FX
Column 0010: total net open position in the respective currency, regardless of any permission, also including contribution from the trading book. This is expected to be (no binding validation rule) the sum of columns 0020, 0030 and 0040.

Column 0020: includes non-structural positions, therefore trading book positions, but also banking book positions not deemed structural.

Column 0030: includes structural positions meeting all the requirements for the exemption, including the cap of the maximum open position.

Column 0040: includes structural positions not suitable for exemption (e.g. because they are net short or because of over-hedging).

Column 0050: Maximum Open according to the formula reported in Paragraph 31 of the EBA GLs. The RWA included in the formula of Maximum Open reported in Paragraph 31 of the EBA GLs is (converted in the reporting currency) the total RWA excluding the RWA for FX risk for the positions denominated in the currency for which the waiver is sought without considering any waivers, i.e. already granted or that could be granted for the currency under consideration and the other currencies in the same application process (see Paragraph 27(1) and 27(2) of the EBA GLs reported below).

1. 1. when calculating the maximum open position for a specific currency for which it seeks the waiver, the institution should not consider any exemption that has already been granted for FX positions in other currencies under the structural FX provision.
   2. it should be noted that, where the institution applies for a waiver in several currencies (i.e. for more than one currency) in the same application, the institution should calculate the maximum open position per currency without considering any waiver that could be granted for the other currencies in the same process.

Column 0060: includes all positions effectively exempted from FX capital requirements pursuant to art. 352(2) CRR. This might not coincide with the value in column 0030, for example if the waiver covers only a portion of the structural exposures suitable for exemption.

Column 0070: sensitivity of the capital ratio with respect to changes in the exchange rate according to the formula of par. 37e of the EBA GLs.

Column 0080: sensitivity of the capital ratio with respect to changes in the exchange rate calculated using internal methodologies. Though EBA GLs do not specify any methodology/unit for the sensitivity calculated with internal methodology, ideally this number should be directly comparable to the one reported in column 0070. If it is not the case, the bank should provide explanations in the comment box of the identification tab.

Column 0090: structural positions included in the sensitivity of column 0070. This information is required by par. 37 of the EBA GLs and can differ from what is reported in column 0030 due to several reasons (e.g. items deducted from own funds, non-monetary items held at historical cost, items that may lead to gains and losses that do not impact CET1 according to the CRR).

Column 0100: the percentage of total credit risk RWA denominated in the currency for which the waiver is sought to the total RWA.