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  1. Point in time
    2019-02-13

This chapter includes rules that refer to provisions of the UK CRR in the form in which it stood at 31 December 2021. That version of the UK CRR can be found on legislation.gov.uk using this link.

IPRU-INV 5.16 Foreign exchange requirement

IPRU-INV 5.16.1RRP

  1. 1(1) A firm's foreign exchange requirement is determined by calculating the excess of its foreign exchange position (FEP) above 2 per cent of its own funds and multiplying this excess by 8 per cent.

  2. (2) The FEP is the greater of:

    1. (a) the total in the reporting currency of the net short positions in each currency other than the reporting currency; and

    2. (b) the total in the reporting currency of the net long positions in each currency other than the reporting currency;

    where the conversion to the reporting currency is performed using spot rates.

Note For this purpose, long and short positions in the same currency can be netted to produce the net position.

  1. (3) In calculating the FEP, a firm must include relevant foreign exchange items.

EXCHANGE POSITION FOR HEDGING PURPOSES

Any positions which the firm has taken in order to hedge against the adverse effect of exchange rates on an item already deducted in the calculation of liquid capital may not be excluded from the calculation of net open currency positions.