The European Banking Authority has published the 2026 update of the list of closely correlated currencies, used by banks to calculate capital requirements related to foreign exchange risk under the standardized approach, and has sent the revised list to the European Commission for approval.
In short
The European Banking Authority has published the 2026 update of the list of closely correlated currencies.
The list is used to calculate capital requirements for foreign exchange risk under the standardized approach.
The revised list has been sent to the European Commission for approval.
The Romanian leu is included in the list of closely correlated currencies with the euro.
The update uses March 31, 2025, as the final date for three- and five-year data series.
The European Banking Authority has published the 2026 update of the list of closely correlated currencies, a technical tool used in banking regulation to calculate capital requirements related to foreign exchange risk.
The update was made according to the methodology and procedure provided in the applicable technical standards for implementation. The revised list has been sent to the European Commission for approval.
The list is relevant for credit institutions that use the standardized approach in calculating foreign exchange risk. In this framework, identifying closely correlated currency pairs influences how capital requirements for foreign exchange exposures are determined.
The legal basis is Article 354 of the Capital Requirements Regulation, CRR, which mandates the European Banking Authority to develop technical standards for the implementation regarding closely correlated currencies, for calculating capital requirements for foreign exchange risk under the standardized approach.
The draft implementing regulation of the Commission modifies the Implementing Regulation (EU) 2015/2197 regarding closely correlated currencies. The text specifies that the update is necessary for the currency pairs in the annex to continue to reflect the real correlation between currencies.
The list uses March 31, 2025, as the final date for calculating the three- and five-year data series necessary for evaluating currency pairs, according to the draft regulation.
The Romanian leu is included in the list of closely correlated currencies with the euro. In the same category are the Bosnian convertible mark, the Canadian dollar, the Swiss franc, the Czech koruna, the British pound, the Moroccan dirham, the North Macedonian denar, the Serbian dinar, the Singapore dollar, and the Taiwanese dollar.
The annex also includes a specific list for the Romanian leu. The currencies closely correlated with RON are the Bosnian convertible mark, the Canadian dollar, the Swiss franc, the Czech koruna, the Danish krone, the British pound, the Moroccan dirham, the North Macedonian denar, the Serbian dinar, the Singapore dollar, the Taiwanese dollar, and the euro.
The draft regulation specifies that the amendments do not involve substantial changes but apply the already established methodology to a series of updated data. For this reason, the EBA did not organize an open public consultation and did not conduct a cost-benefit analysis, considering that such an endeavor would be disproportionate in relation to the scope and impact of the technical standards.
However, the European Banking Authority has requested the opinion of the banking stakeholders group.
The implementing regulation will enter into force on the twelfth day after its publication in the Official Journal of the European Union and will be mandatory in all its elements and directly applicable in all member states.
The list of closely correlated currencies is a technical tool used within the European Union's banking prudential framework. It does not set exchange rates and does not concern monetary policy, but rather how banks calculate capital requirements for foreign exchange risk.
Foreign exchange risk arises when a bank has exposures in different currencies, and exchange rate fluctuations can affect the value of these exposures. Under the CRR regime, the technical standards regarding closely correlated currencies contribute to the consistent application of capital requirements in member states.
The EBA states that its mission is to contribute to the stability and effectiveness of the European financial system through simple, coherent, transparent, and fair regulation and supervision, for the benefit of EU citizens.
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