Interest Rates and Exchange Rates


Closely Correlated Currencies

Table    Publication schedule

Notes:

This table shows whether selected currencies are closely correlated pursuant to Article 223 paragraph 2 SolvaV. Two currencies are deemed to be proven to be closely correlated if the probability that a loss occurring on equal and opposite positions in such currencies over the following ten working days does not exceed 4% of the value of the matched position appears to be at least 99% if calculated on the basis of daily exchange rate data for the preceding three years.

Source:

OeNB, ECB.

Definitions and terms:

Solvency, regulatory capital requirements, risk category of the securities trading book, open foreign exchange position, regulatory capital requirement for the open foreign exchange position.

Legal basis:

Article 223 paragraph 2 SolvaV.

Methodology:

Census; data updated monthly (last day of the month).

Reporting institutions:

ECB.

Standards and codes:

Austrian Banking Act, ISO codes.

Keywords:

Open foreign exchange position, regulatory capital requirement for the open foreign exchange position, currency pair.