+Artikel 383n risikogewichtete Positionsbeträge des Fremdwährungsrisikos
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---+Article 383n 2.
---+Article 383n 3.
---+Article 383n 4.
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Artikel 383n risikogewichtete Positionsbeträge des Fremdwährungsrisikos
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1. Übersicht
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Regulierung |
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Article 383n 1.
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The risk weights for all delta sensitivities to foreign exchange risk factor between an institution’s reporting currency and another currency shall be 11 %.
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Article 383n 2.
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The risk weight of the foreign exchange risk factors concerning currency pairs which are composed of the euro and the currency of a Member State participating in ERM II shall be one of the following:
(a)
the risk weight referred to in paragraph 1, divided by 3;
(b)
the maximum fluctuation within the fluctuation band formally agreed by the Member State and the ECB, if that fluctuation band is narrower than the fluctuation band defined under ERM II.
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Article 383n 3.
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Notwithstanding paragraph 2, the risk weight of the foreign exchange risk factors concerning currencies referred to in that paragraph which participate in ERM II with a formally agreed fluctuation band narrower than the standard band of plus or minus 15 % shall equal the maximum percentage fluctuation within that narrower band.
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Article 383n 4.
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The risk weights for all vega sensitivities to foreign exchange risk factor shall be 100 %.
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1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
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Anforderung |
3. Zugehörige Standards
Standards
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Anforderung |
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