A firm's net FX open position is calculated as follows:
only take into account an asset, liability or other position that:
for each foreign currency:
sum all short positions and sum all long positions;
the largest figure from (5) is the firm's net FX open position.
For the purposes of determining the currency in which a position is denominated, a firm must apply the following principles:
A firm's absolute FX exposure limit is, at any time, the amount by which, at that time, the firm's own funds exceed 2.5% of its e-money outstandings. If there is no such excess, the firm's absolute FX exposure limit is zero.
If the firm'sown funds are between 2.5% and 3% of its e-money outstandings, it should not in general have any FX exposure, but may occasionally have an FX exposure as long as it does so no more frequently than set out in ELM 3.4.2 R. The FX exposure must not exceed the amount by which its own funds exceed 2.5% of its e-money outstandings.