Explanatory notes on quarterly reporting requirements for structural FX positions under CRR Article 352(2)

Factsheet

Read aloud

The structural FX provision, as laid down in Article 352(2) of the Capital Requirements Regulation (CRR), allows Competent Authorities to authorise the exclusion of FX-risk positions deliberately taken by institutions to hedge against the adverse effect of exchange rates on capital ratios from the calculation of the net open currency positions, where those positions are of a structural nature. Institutions for which the exclusion of these structural FX positions has been granted are required to report on a quarterly basis the monitoring figures as specified in par. 37 of EBA/GL/2020/09). This page provides guidance to this reporting requirement. The excel template to be filled in and reported in DLR is provided at the bottom of this page.

Published: 22 June 2022

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).

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.

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.

Download

Structural FX_template

(22 June 2022 | 30KB XLSX)

Gerelateerde websites

EBA publishes final Guidelines on the treatment of structural FX positions (Refers to an external site)

Technical Standards on structural foreign exchange under CRR (Refers to an external site)

Discover related articles

Factsheet

Banks

Share:

Share on LinkedIn

Share on X

Share on Facebook

Share via Email

Interesting articles

Prudential rules do not hinder bank financing for EU priorities

17 July 2026

News item supervision

Europe faces historic investment challenges, in which banks will play an important financing role. Prudential requirements strengthen banks’ resilience, without posing a major obstacle to their financing. Unlocking more private finance requires better risk-sharing and deeper financial integration.

Read more
Prudential rules do not hinder bank financing for EU priorities

News item supervision

17 July 2026

DNB Inhouse Day for the Dutch banking sector: financial crime supervision

16 July 2026

News item supervision

Following last year’s successful event, De Nederlandsche Bank (DNB) will again host an Inhouse Day for AML/CFT professionals in the Dutch banking sector. The event is designed to encourage dialogue and provide further insight into DNB’s AML/CFT supervision.

Read more
DNB Inhouse Day for the Dutch banking sector: financial crime supervision

News item supervision

16 July 2026

Fine for ABN AMRO Bank N.V. for inadequate customer due diligence for high-risk customers

09 July 2026

Enforcement measures

De Nederlandsche Bank (DNB) imposed an administrative fine of €8.5 million on ABN AMRO Bank N.V. (ABN AMRO) on 6 July 2026 due to serious shortcomings in its anti-money laundering controls in the period from September 2023 through September 2024.

Read more
Fine for ABN AMRO Bank N.V. for inadequate customer due diligence for high-risk customers

Enforcement measures

09 July 2026

De Nederlandsche Bank publishes ‘Integrity Supervision in Focus 2026’

25 June 2026

News item supervision

In the third edition of ‘Integrity Supervision in Focus’ (ISF), we share the key insights from our integrity supervision.

Read more
De Nederlandsche Bank publishes ‘Integrity Supervision in Focus 2026’

News item supervision

25 June 2026

Necessary cookies

To ensure the proper operation of the website, De Nederlandsche Bank (DNB) uses functional cookies and analytics cookies, and has taken measures to ensure that these cookies have little or no impact on the privacy of website users.

Optional cookies

Some pages include embedded content from external websites. These websites may use proprietary (tracking) cookies. This allows third parties to track visitor statistics, show personalised content and display targeted ads, for example.

You can make your choice about allowing these optional cookies both when you first visit the website and when you navigate to a page with embedded content.