The European Banking Authority (EBA) published an updated list of correlated currencies on 28 April 2026, revising the classification used by banks to calculate capital requirements for foreign-exchange risk under the Capital Requirements Regulation (CRR). The update affects institutions that apply the standardised approach for market risk, as the correlation status determines whether currency pairs qualify for lower capital charges.
The EBA's list distinguishes between currencies that are strongly correlated (e.g., EUR and DKK) and those that are not, based on historical exchange-rate data. Banks holding positions in correlated currencies benefit from reduced own-funds requirements, as the risk of adverse movements is considered lower. The revision reflects changes in exchange-rate volatility and economic convergence since the previous update.
Impact on stakeholders EU banks with significant foreign-exchange exposures must adjust their risk-weighting calculations to align with the new list. This may increase capital charges for some currency pairs that lost their correlated status, while reducing charges for newly correlated pairs. National competent authorities will use the list for supervisory reporting and Pillar 2 assessments.
Expected follow-up The EBA will continue to monitor currency correlations and update the list periodically. The revised list is effective from the date of publication, and institutions are expected to apply it in their next reporting period.
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