37. For each of the currencies for which institutions have the permission from the competent …
For each of the currencies for which institutions have the permission from the competent authority to exclude some positions from the corresponding net open position, institutions should calculate the following figures on a monthly basis and report them to the competent authority on a quarterly basis: - (a) the net open position in the currency previous to any permission;
- (b) the net open position stemming from positions in the currency that are not structural;
- (c) the size of the net open position that is structural and which has been taken for hedging the ratio;
- (d) the maximum net open position ( 𝑀𝑎𝑥𝑂 ) calculated in accordance with paragraph 31;
- (e) both of the following sensitivities: P
- (i) 𝑠𝑒𝑛𝑠𝑖𝑡𝑖𝑣𝑖𝑡𝑦1 = 𝑆_𝑂𝑃− 𝑅𝑊𝐴 𝑀𝑎𝑥𝑂𝑃 𝑁𝑜𝐹𝑋𝐹𝐶 𝐹𝐶
where: 𝑆_𝑂𝑃 = the size of the net open position in the foreign currency that is structural and that the institution has taken for hedging the ratio, excluding positions corresponding to any of the following items: | -items that have been deducted from the institution’s own funds; -non-monetary items that are held at historical cost; -items that may lead to gains or losses that do not impact the CET1 capital in accordance with Regulation (EU) No 575/2013; |
𝑀𝑎𝑥𝑂𝑃 𝐹𝐶 = the maximum net open position calculated in accordance with paragraph 31; 𝐹𝐶 = the currency of the structural position; 𝑅𝑊𝐴 𝑁𝑜𝐹𝑋 𝐹𝐶 = the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU), excluding the own funds requirements for foreign exchange risk for all positions that are in the foreign currency 𝐹𝐶 ; - (ii) the sensitivity of the capital ratio with respect to changes in the exchange rate as calculated by the institution;
- (f) a qualitative assessment stating the reasons for any changes in the amount of the net open position referred to in point (c) and the values taken by the two sensitivities referred to in point (e);
- (g) the spot exchange rate between the reporting currency and the foreign currency 𝐹𝐶 on the reference date;
- (h) any planned changes relating to the request to the competent authority;
- (i) the percentage of total credit risk-weighted amounts in the foreign currency to the total risk-weighted amounts of the institution.
1. Forbhreathnú
1.1 Tagairtí
1.2 Ceanglais aitheanta
1.3 Caighdeáin ghaolmhara
2. Ceanglais aitheanta
Ceanglais
| Foinse |
Ceanglas |
3. Caighdeáin ghaolmhara
Caighdeáin
| Foinse |
Ceanglas |
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