How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs?

CESR guidelines (CESR/10-788) defines that the exposure for currency swaps is calculated based on the "Notional value of currency leg(s)". Is your understanding that both legs (spot and forward) should be taken into account? If this is true, does this mean that a currency swap generated twice the leverage compared to a FX forward of identical notionals?

Thanks! Ryko


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