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.
Instructions concerning specific positions
CURRENCYThe three-letter currency unit code according to ISO 4217 shall be reported under the block Memorandum of items (currency 6 onwards).
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.
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.
RISK CAPITAL CHARGE (%) As defined in Articles 351 and 354, the risk capital charges in percentage.
OWN FUNDS REQUIREMENTS The capital charge for any relevant position according to Part 3 Title IV Chapter 3 of CRR.
TOTAL RISK EXPOSURE AMOUNT Article 92 (4) lit. b of CRR. Result of the multiplication of the own funds requirements by 12.5.
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).
CURRENCIES CLOSELY CORRELATED Positions and their correspondent own funds requirements for currencies referred to in Article 354 of CRR.
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:
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)
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.
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.
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.
Other assets and liabilities other than off-balance sheet items and derivatives Positions not included in row 110 or 120 shall be included here.
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.
Derivatives Positions valued according to Articles 352 CRR.
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.