Regulatory Alerts2007-09-13
Guidelines for Calculation and Reporting of Foreign Exchange Exposures of Banks
The Bank of Mauritius mandates that all licensed banks calculate and report daily foreign exchange exposures using a standardized shorthand method combining net spot and forward positions. Banks must submit a signed daily return to the Banking Supervision Department before noon on the subsequent business day, translating foreign currency balances into rupees at mid-point TT rates and expressing overall exposure as a percentage of Tier 1 capital. The framework details specific reporting columns for balance sheet and off-balance sheet items, permits structural positions to be footnoted, and requires individual currency disclosure for net long or short positions exceeding Rs 1 million.
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