EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
Several banks disclosed a surge in their foreign exchange market risk charges in the second half of last year, following the European Banking Authority’s (EBA) decision to reduce the number of so-called correlated currencies.
UniCredit and BNP Paribas reported €3.4 billion ($3.6 billion) and €2.8 billion, respectively, in new standardised risk-weighted assets (RWAs) for currency risk. In absolute terms, these increments represented the most significant increases among 17 EU dealers during the
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