Reporting on own funds and own funds requirements


C 22.00 - Market Risk: Standardised Approaches for Foreign Exchange Risk (MKR SA FX)



Download 1.36 Mb.
Page28/29
Date31.05.2016
Size1.36 Mb.
1   ...   21   22   23   24   25   26   27   28   29

C 22.00 - Market Risk: Standardised Approaches for Foreign Exchange Risk (MKR SA FX)

  1. General Remarks


139.This template request information on the positions in each currency (reporting currency included) and the corresponding own funds requirements for foreign exchange and treated under the standardised approach. The position is calculated for each currency (including euro), gold, and positions to CIUs.

140.The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.


      1. Instructions concerning specific positions


Columns

010

CURRENCYThe three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).

020-030


ALL POSITIONS (LONG AND SHORT)
Gross positions due to assets, amounts to be received and similar items referred to in Article 352 (1) of CRR.


040-050

NET POSITIONS (LONG AND SHORT)
Articles 352 (3) and 353 of CRR. The net positions are calculated by each currency, accordingly there may be simultaneous long and short positions.


060-080

POSITIONS SUBJECT TO CAPITAL CHARGE
Articles 352 (2) and (4), 353 and 354 of CRR.


060-070

POSITIONS SUBJECT TO CAPITAL CHARGE (LONG AND SHORT)

The long and short net positions for each currency are calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency are added to obtain the long net position in that currency.

Short net positions for each operation in a currency are added to obtain the short net position in that currency.

Unmatched positions are added to positions subject to capital charges for other currencies (row 030) in column (040) or (050) depending on their short or long arrangement.


080

POSITIONS SUBJECT TO CAPITAL CHARGE (MATCHED)
Matched positions for closely correlated currencies





RISK CAPITAL CHARGE (%)
As defined in Articles 351 and 354, the risk capital charges in percentage.


090

OWN FUNDS REQUIREMENTS
The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.


100

TOTAL RISK EXPOSURE AMOUNT
Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.



Rows

010

TOTAL POSITIONS IN NON REPORTING CURRENCIES
Positions in non-reporting currencies and their correspondent own funds requirements according to article 92 (3) point c) (i) and Article 352 (2) and (4) of CRR (for conversion into the reporting currency).


020

CURRENCIES CLOSELY CORRELATED
Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.


030

ALL OTHER CURRENCIES (including CIU´s treated as different currencies)
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.
Reporting of CIU´s treated as separate currencies according to Article 353 CRR :

There are two different treatments of CIU´s treated as separate currencies for calculating the capital requirements:



  1. The modified gold method, if the direction of the CIU´s investment is not available (those CIU´s shall be added to an institution´s overall net foreign-exchange position)

  2. If the direction of the CIU´s investment is available, those CIU´s shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU)

The reporting of those CIU´s follows the calculation of the capital requirements accordingly.

040

GOLD
Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Articles 351 and 352 (2) and (4) of CRR.


050 - 090

ADDITIONAL REQUIREMENTS FOR OPTIONS (NON-DELTA RISKS)

Article 352 (5) and (6) of CRR.


The additional requirements for options related to non-delta risks shall be reported in the method used for its calculation.



100-120

Breakdown of total positions (reporting currency included) by exposure types
Total positions shall be broken down according to derivatives, other assets and liabilities and off-balance sheet items.

100

Other assets and liabilities other than off-balance sheet items and derivatives
Positions not included in row 110 or 120 shall be included here.

110

Off-balance sheet items
Items included in Annex I of CRR except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

120


Derivatives
Positions valued according to Articles 352 CRR.

130-410


MEMORANDUM ITEMS : CURRENCY POSITIONS
The memorandum items of the template shall be filled out separately for All currencies of the member states of the European Union and the following currencies: USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.





    1. Share with your friends:
1   ...   21   22   23   24   25   26   27   28   29




The database is protected by copyright ©essaydocs.org 2020
send message

    Main page