+31. The institution should calculate the maximum net open position in accordance with the following …

31. The institution should calculate the maximum net open position in accordance with the following …

The institution should calculate the maximum net open position in accordance with the following formulas:

  • (a) where the institution aims at hedging the CET1 ratio, in accordance with the following formula:

𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (1.01 ∙ 𝐹𝑋 𝐹𝐶 )−𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (𝐹𝑋 𝐹𝐶 ) 𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 = 𝐶𝐸𝑇1 ∙ 𝑅𝑊𝐴 0.01 𝑁𝑜𝐹𝑋 ∙ 𝐹𝐶 𝐹𝑋 (𝐹𝑋 𝐹𝐶 𝐹𝐶 )

where:

𝐹𝐶 = the currency of the structural position; 𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 = the maximum net open position expressed in the foreign currency 𝐹𝐶 ;

𝐶𝐸𝑇1 = the Common Equity Tier 1 of the institution expressed in the reporting currency;

𝐹𝑋 𝐹𝐶 = the spot exchange rate between the reporting currency and the foreign currency 𝐹𝐶 of the structural position;

𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (.) = the total risk exposure amount expressed in the reporting currency calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013, excluding the own funds requirements for foreign exchange risk for all positions that are in the foreign currency 𝐹𝐶 ;

  • (b) where the institution aims at hedging the Tier 1 ratio, in accordance with the following formula:

𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (1.01 ∙ 𝐹𝑋 𝐹𝐶 )−𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (𝐹𝑋 𝐹𝐶 ) 𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 =𝑇1∗ 𝑅𝑊𝐴 0.01 𝑁𝑜𝐹𝑋 ∙ 𝐹𝐶 𝐹𝑋 (𝐹𝑋 𝐹𝐶 𝐹𝐶 ) −𝐴𝑇1 𝐹𝐶

where:

𝐹𝐶 = the currency of the structural position;

𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 = the maximum net open position expressed in the foreign currency;

𝑇1 = the Tier 1 capital of the institution expressed in the reporting currency;

𝐹𝑋 𝐹𝐶 = the spot exchange rate between the reporting currency and the foreign currency 𝐹𝐶 ;

𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (.) = the total risk exposure amount expressed in the reporting currency calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013, excluding the own funds requirements for foreign exchange risk for all positions that are in the foreign currency 𝐹𝐶 ;

𝐴𝑇1 𝐹𝐶 = the value derived in accordance with the following formula:

𝐴𝑇1 𝐹𝐶 = 𝑉 𝐴𝑇1 ( 1.01∙𝐹𝑋 0.01∙𝐹𝑋 𝐹𝐶 ) −𝑉 𝐹𝐶 𝐴𝑇1 (𝐹𝑋 𝐹𝐶 )

where:

𝑉 𝐴𝑇1 = thevalue of the portfolio expressed in the reporting currency

constituted by all Additional Tier 1 instruments issued by the institution;

  • (c) where the institution aims at hedging the total capital ratio, in accordance with the following formula:
𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (1.01 ∙ 𝐹𝑋 𝐹𝐶 )−𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (𝐹𝑋 𝐹𝐶 )

𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 =𝑂𝐹∗ 𝑅𝑊𝐴 0.01 𝑁𝑜𝐹𝑋 ∙ 𝐹𝐶 𝐹𝑋 (𝐹𝑋 𝐹𝐶 𝐹𝐶 ) −𝐴𝑇1 𝐹𝐶 −𝑇2 𝐹𝐶

where:

𝑂𝐹 = the own funds of the institution expressed in the reporting currency;

𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 = the maximum net open position expressed in the foreign currency;

𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 (.) = the total risk exposure amount expressed in the reporting currency calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013, excluding the own funds requirements for foreign exchange risk for all positions that are in the foreign currency 𝐹𝐶 of the structural position;

𝐹𝑋 𝐹𝐶 = the spot exchange rate between the reporting currency and the foreign currency 𝐹𝐶 of the structural position;

𝐴𝑇1 𝐹𝐶 = the value derived in accordance with the following formula:

𝐴𝑇1 𝐹𝐶 = 𝑉 𝐴𝑇1 ( 1.01∙𝐹𝑋 0.01∙𝐹𝑋 𝐹𝐶 ) −𝑉 𝐹𝐶 𝐴𝑇1 (𝐹𝑋 𝐹𝐶 )

where:

𝑉 𝐴𝑇1 = the constituted byvalue of the portfolio expressed in the reporting currency all Additional Tier 1 instruments issued by the institution;

𝑇2 𝐹𝐶 = the value derived in accordance with the following formula:

𝑇2 𝐹𝐶 = 𝑉 𝑇2 ( 1.01∙𝐹𝑋 0.01∙𝐹𝑋 𝐹𝐶 ) −𝑉 𝐹𝐶 𝑇2 (𝐹𝑋 𝐹𝐶 )

where:

𝑉 𝑇2 = the value of the portfolio expressed in the reporting currency constituted by all Tier 2 instruments issued by the institution.

1. Forbhreathnú

,

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

Ceanglais

3. Caighdeáin ghaolmhara

Caighdeáin
  • EBA -

    EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

    DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.