A new consolidated version of Commission Implementing Regulation (EU) 2015/2197 specifying those currencies that are deemed to be closely correlated for purposes of determining market risk to assess own fund requirements of institutions was published in the Official Journal (OJ) of the EU.
This latest consolidated version includes the modification made by Commission Implementing Regulation (EU) 2023/1718 which replaced the list of closely correlated currencies set out in Annex I to reflect current currency interdependencies. The list is updated from time to time to reflect current market conditions. Please see EventID 22763 in this context for more information.
Other Features
assessment
banks
CMU
investment firms
own funds
risk
Date Published: 2023-09-30
Date Taking Effect: 2023-10-01
Regulatory Framework: Capital Requirements Regulation (CRR)
Regulatory Type: information
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