Question
Are the FX Forward, FX Swap and CIRS to be taken into consideration when computing the General Risk using the maturity-based method?
Background on the question
According to the CRR, Annex II the FX Forward, FX Swaps and CIRS are considered as Foreign-exchange contracts and taken into consideration when computing the overall net foreign-exchange position. According to EU Regulation no.680/2014, Annex V - FINREP Art.10.1 - Classification of derivatives by type of risk, those contracts are specifically excluded from Interest rate category and considered belonging only into the Foreign-exchange products.
Answer
As FX Forwards, FX Swaps and CIRS have interest rate risk as well as FX risk, they should be taken into consideration when computing the General Risk using the maturity-based method under Chapter 2 Section 2 of Regulation (EU) No 575/2013 (CRR). The treatment of these instruments for the calculation of capital requirements under the CRR (reported in COREP) is irrespective of the classification of these contracts in FINREP.