EBA updates correlated-currencies list for FX capital calculations
EU credit institutions must prepare to update FX capital calculation inputs
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.
Who is affected
- — Capital-calculation teams at EU credit institutions
- — Regulatory-reporting teams at EU credit institutions
- — Prudential-risk teams managing FX risk capital calculations
What to watch
- — EBA publication date: April 28, 2026
- — European Commission endorsement of the revised ITS
- — Updated closely correlated currencies list under CRR Article 354
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