EBA updates correlated-currencies list for FX capital calculations
EU credit institutions must prepare to update FX capital calculation inputs
EBA
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Change
EBA published the 2026 update of the closely correlated currencies list used to calculate foreign-exchange risk capital requirements under the CRR standardised approach.
Why it matters
The updated list changes the technical input used for standardised-approach foreign-exchange capital calculations once endorsed by the European Commission. Capital-calculation and regulatory-reporting teams must prepare to align FX risk systems with the endorsed correlated-currencies list.
Implications
- — EU credit-institution capital-calculation teams must prepare to use the endorsed 2026 closely correlated currencies list for standardised-approach FX risk calculations.
- — Regulatory-reporting teams must update FX capital calculation controls once the European Commission endorses the revised ITS.
- — Prudential-risk teams must check whether currency-pair treatment changes capital outcomes under the CRR standardised approach.
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