+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
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