What is Decree No. 262 / 2004 Coll.?

Decree No. 262 / 2004 Coll., on rules for the calculation of the capital adequacy of a non-bank trader — Ordinance on rules for the calculation of the capital adequacy of a non-bank dealer on an individual basis.

When it became Decree No. 262 / 2004 Coll. effectiveness?

Decree No. 262 / 2004 Coll. became effective 01.05.2004.

Is Decree No. 262 / 2004 Coll. still valid?

Yes, Decree No. 262 / 2004 Coll. is still valid and effective.

How many times was it Decree No. 262 / 2004 Coll. amended?

Decree No. 262 / 2004 Coll. has 5 time versions of the text.

Decree No. 262 / 2004 Coll. - Ordinance on rules for the calculation o...

262

DECLARATION

of 19 March 2004

on rules for calculating the capital adequacy of a non-bank securities dealer on an individual basis

According to Section 199 (2) (b) in conjunction with Section 9 (2) of Act No. 256 / 2004 Coll., on Capital Market Business, the Securities Commission provides:

ČÁST PRVNÍ

INTRODUCTORY PROVISIONS

§ 1

Subject matter

This decree implements the relevant regulations of the European Community1), and provides for

(a) the solvency rules of the securities dealer (2), which is not a bank (hereinafter referred to as the trader), on an individual basis (Part Two);

(b) the solvency rules of the controlling trader on a consolidated basis (hereinafter referred to as the "controlling trader") and the solvency rules of the financial holding company on a consolidated basis (Part Three);

(c) the scope, manner and time limits for the transmission of information by the person included in the supervision on a consolidated basis (Part Four); and

(d) the scope and details of the internal control mechanisms of the persons forming the consolidation whole (part five).

§ 2

Definition of terms

(1) For the purposes of this decree:

(a) a bank in the State of the zone A person authorised to receive deposits from the public and to grant loans on the basis of a permit granted by an authority of a State located in zone A. The branch of such a person operating in zone B State shall be treated as a bank in zone A State,

(b) a bank in zone B State authorised to receive deposits from the public and to grant loans on the basis of an authorisation granted by an authority of a State located in zone B. The branch of such a person operating in zone A State shall be considered as a bank in zone B State,

(c) the central government of the Ministry and the department of central government offices and persons established or hired by the government serving public purposes whose liabilities are fully guaranteed by an unconditional, explicit and unlimited guarantee of the State;

(d) delta equivalent to the product of the fair value of the underlying instrument and delta option;

(e) the delta option ratio of the change in the fair value of the option and the change in the fair value of the underlying instrument concerned; it is the first derivative of the fair value of the option according to the fair value of the underlying,

(f) the gamma ratio of the change in the delta option and the change in the fair value of the underlying instrument concerned; is the derivative of the derivative of the fair value of the option according to the fair value of the underlying,

(g) a global deposit guarantee (GDR) security representing shares of other persons and the holding of which does not imply a voting right;

(h) capital investment in participating securities, other participation shares in a legal person and subordinated debts included in the capital of banks, traders or insurance undertakings;

(i) commodity commodity commodity or commodity derivative as underlying;

(j) the commodity physical product traded or may be traded on the secondary market;

(k) Macaulay's duration weighted average of the periods between the present and the maturities of each monetary liability where the weights are the fair values of their corresponding cash flows. Macaulay Durace D counts as

D = IUPAC Name

where:

C is the cash flow; r is the return to maturity in percentage; t is the period in years,

(l) the value of the financial instruments determined by the clearing centre that the person must transfer to the clearing house account as collateral for the duration of futures or stock options;

(m) international financial institutions European Investment Bank (EIB) and international development banks, namely the International Bank for Reconstruction and Development (IBRD), the International Financial Corporation (IFC), the Inter-American Development Bank (IADB), the Asian Development Bank (AsDB), the African Development Bank (AFDB), the Council of Europe Fund for Resettlement, the Nordic Investment Bank (NIB), the Caribbean Development Bank (CDB), the European Bank for Reconstruction and Development (EBRD), the European Investment Fund (EIF), the Corporation for InterAmerican Investment and the Multilateral Investment Guarantee Agency (MIGA) 2a),

(n) gold in gold in marketable alloys according to the London Bullion Market Association (LBMA) standard,

(o) modified duration (Dmod) the proportion in which the numerator is Macaulay duration (D) and in the denominator is the sum of one and the return to maturity (r);

(p) assets or liabilities as defined by international accounting standards;

(q) general risk of unfavourable price movement by market participants of instruments related to the assessment of the economic environment;

(r) the underlying instrument of the instrument from which the derivative is composed;

(s) the position of assets (long positions) or liabilities (short positions) resulting from the instrument; the instrument contains one or more positions;

(t) the special drawing rights (SDR) unit used by the International Monetary Fund to express a member interest or, where applicable, the amount of credit drawn by a Member State;

(u) the specific risk of unfavourable price movement for instruments related to the assessment of the issuer or debtor by market participants.

(2) For the purposes of this Order, the following definitions shall also apply:

(a) jointly managed by an associated company which is a trader or financial institution with the exception of an insurance undertaking, where:

1. a person who is part of a regulated consolidation entity together with at least one person not included in a regulated consolidation entity is involved in the management of such an associated company; and

2. the liability or liability of the person or persons not included in the regulated consolidation unit involved in the management of the affiliated company for the obligations of the affiliated company shall be limited to their share in the capital of that company;

(b) spot transactions for the purchase or sale of financial instruments or commodities with a delivery date such that the period from trade to settlement is not more than 2 days or, where applicable, longer than any other period according to the market practice;

(c) reserve provisions for standard credit claims established under a special law;

(d) a recognised stock exchange recognised by the competent authorities, which operates on a regular basis, shall have rules issued or approved by the competent authorities of the country where the stock exchange is established defining the conditions under which the stock exchange operates, the conditions of access to the stock exchange and the conditions which the contract must comply with in order to be able to be traded on that stock exchange contract. In the case of a derivative exchange, the clearing mechanism of that exchange provides that derivatives are subject to daily margin updates which, in the opinion of the competent authorities, provide appropriate protection for market participants,

(e) the weighted sum of modified durations of individual instruments weighted by the real values of those instruments;

(f) a vega change in the fair value of the option in the unit volatility change of the underlying; it is the first partial derivative of the fair value of the option according to the volatility of the underlying,

(g) the Government of the State of the Ministry and the Department of the Executive Offices of these Governments of the Territorial Units of the States (Republics, Cantons and the like) and other institutions and agencies whose obligations are fully guaranteed by an unconditional, explicit and unlimited guarantee of the Territorial Unit of the State;

(h) by a government-backed institution, any institution established or hired by a government serving public purposes whose liabilities are not unconditionally, explicitly and unrestricted by the central government. Such institutions are always, and this

1. state funds under special legislation, in particular the State Fund for Culture of the Czech Republic, the State Fund for the Promotion and Development of Czech Cinematography, the State Fund for the Environment of the Czech Republic, the State Agricultural Intervention Fund, the State Fund for Land Management, the State Fund for Housing Development, the State Fund for Transport Infrastructure,

2. Deposit Guarantee Fund, Cooperative Reserve Guarantee Fund, Securities Dealers Guarantee Fund,

3. Land Fund of the Czech Republic,

4. Support and guarantee peasant and forestry fund; and

5. Export guarantee and insurance company, a. s., with the exception of obligations guaranteed by an express guarantee from the State under special legislation, 3)

(i) an option note (warning) a security with which the right of its holder to purchase an instrument at an agreed price within the time to maturity or the maturity date of the warning may be settled either by delivery of the instrument or cash;

(j) by a foreign securities dealer (hereinafter referred to as "foreign trader"), a financial institution whose continuous activity is the provision of the main investment services to third parties, provided that that financial institution has the authority of the competent authority in its State of residence and is subject to at least the regulation required by European Community law, 1)

(k) Zone A all Member States of the European Economic Area (EEA) and all other countries that are full members of the OECD and have concluded a loan agreement with the International Monetary Fund under the so-called General Loan Agreement (GAB);

(l) Zone B all countries not included in zone A.

ČÁST DRUHÁ

TOTAL RISK EXPOSURE AMOUNT

HLAVA I

BASIC PROVISIONS

§ 3

Capital requirements

(1) Capital requirement means the value in Czech crowns calculated in accordance with the procedures set out in Part Three to Part Ten of this Decree expressing the need for adequate capital coverage of the risks to be taken. The capital requirement is composed of capital requirement A and capital requirement B.

(2) Capital requirement A is equal to the own funds requirement for the credit risk of the investment portfolio (Title 3).

(3) Capital requirement B is equal to the sum of the capital requirement

(a) the credit risk of the trading book (Title Four);

(b) the risk of the credit exposure of the trading book (Title Five);

(c) general interest rate risk (Title Six);

(d) general equity risk (Title 7);

(e) currency risk (Title 8); and

(f) commodity risk (Title Nine).

(4) The own funds requirement for options is attributed by the trader to the own funds requirement for specific and general interest risk, the own funds requirement for specific and general equity risk, the own funds requirement for currency risk and the own funds requirement for commodity risk according to Part Ten.

(5) However, where the rules on capital requirements referred to in paragraphs 1 to 4 are complied with, the capital of the trader shall not be less than one quarter of the trader's fixed overhead over the previous financial year.

§ 4

Trade and investment portfolio

(1) For the purposes of this decree, the trader shall classify all instruments recorded in the accounts and, where appropriate, in other demonstrable records in the trading book or investment portfolio. The criterion for the inclusion of instruments in the relevant portfolio shall be the purpose of their acquisition which is consistent with a trader's strategy approved by its statutory authority in accordance with the provisions of paragraphs 2 to 6. The trader shall keep a record showing all instruments in accordance with international accounting standards and shall subsequently appreciate them in accordance with Section 5.

(2) The trader classifies in the trading book

(a) own positions in financial and commodity instruments held for trading and gain on price differences and changes in interest rates in the short term, generally within 1 year, in quantities that cannot significantly affect their prices from trading on a regulated market; and

(b) outstanding transactions pursuant to § 12 (2) and free deliveries pursuant to § 12 (6).

(3) The trader classifies the investment portfolio

(a) own positions in financial and commodity instruments not included in the trading book, in particular instruments for which the trader has the intention and ability to hold them to maturity;

(b) securities for sale;

(c) loans with the exception of loans granted or received under reverse repo and repo transactions, securities and commodities lending, where such reverse repo transactions and repo transactions are included in the trading book in accordance with paragraph 4; and

(d) loans.

(4) For the classification of reverse repo transactions and repo transactions, securities and commodities lending transactions in individual portfolios, the trader shall:

(a) repos and loans of securities and commodities where the trader lends such instruments shall be included in the trading book where the underlying is included in the trading book. A trader also classifies a repo in the trading book if the underlying instrument has been accepted in the reverse repo. Other repo transactions and securities and commodities lending are included in the investment portfolio by the trader,

(b) reverse repo transactions, securities and commodities lending where the trader borrows such instruments may be included in the trading book if the conditions set out in points 1, 2 and 4 or points 3 and 4 are met:

1. the value of the transferred instruments is adapted to subsequent changes in the fair values of those instruments;

2. the contract ensures that, in the event of a default of the counterparty [Paragraph 9 (9) (b)], the claims are automatically and immediately offset by the claims of the partner from these operations;

3. The contract is concluded with the central bank of the zone State A or a bank established in Zone A State which has a risk weight of 0,2 according to Table 1 of the Annex to this Order, a trader or a foreign trader established in Zone A State which has a risk weight of 0,2 according to Table 1 of the Annex to this Order,

4. the contract is concluded under the conditions prevailing on the relevant financial market.

(5) A trader classifies derivatives in the investment portfolio, 4) which have been negotiated for the purpose of providing the instruments included in the investment portfolio only. Derivatives agreed for the purpose of hedging are derivatives that meet the following conditions:

(a) comply with the risk management strategy;

(b) the hedging relationship is documented in writing at the beginning of the hedge. The documentation shall include the identification of the hedged and hedging instruments, the definition of the risk that is the subject of the hedge, and the methods for assessing whether the hedge is effective,

(c) the collateral is effective if, during the course of the hedging relationship, changes in the fair value or cash flows of the hedging instruments are between minus 80% and minus 125% of the changes in the fair value or cash liabilities of the hedged instruments.

Other derivatives, including those agreed for the purpose of hedging instruments included in the trading book, are included in the trading book by the trader. Credit derivatives that are considered collateral under accounting procedures shall be included by the trader in the investment portfolio.

(6) Movements of instruments from the investment portfolio to the trading book and vice versa are possible provided that the accounting procedures are complied with and are consistent with the strategy under this provision.

§ 5

Valuation of instruments and positions

(1) The trading book instruments are revalued daily by the trader with real values.

(2) The instruments of the investment portfolio are valued by the trader in accordance with international accounting standards, unless they are commodity instruments of the investment portfolio which are valued on a daily basis at fair value.

(3) For the purpose of determining the own funds requirement for foreign exchange risk, the instruments of the investment portfolio in foreign currencies may be measured at fair value.

(4) The trading book's interest, equity, currency and commodity positions are measured by the trader at fair value.

§ 6

Conversion of instruments in foreign currencies into crowns

Individual instruments in foreign currencies shall be converted by the trader into crowns at the exchange rate according to the relevant legislation. 5)

HLAVA II

CAPITAL DEFINITION

§ 7

The amount to be reported in column 060 of this row:

(1) Tier 1 means the sum of items (a) to (e) minus deductible items (f) to (j):

(a) paid-up capital entered in the Commercial Register;

(b) paid-up emission premium;

(c) compulsory reserves;

(d) other reserves created from profit after tax, with the exception of reserves earmarked for:

(e) undistributed profits from previous post-tax periods where the profit of the relevant periods has been confirmed by an auditor or an audit firm (hereinafter referred to as "auditor") in the financial statements audit, the general meeting approved the financial statements and decided on the amount of the undistributed profit; Furthermore, the economic result in the approval procedure, provided that this result agreed by the auditor represents the profit to which the expected dividends and other payments from the expected profit distribution were reflected,

(f) outstanding losses from previous periods;

(g) loss of the current period;

(h) goodwill according to international accounting standards (hereinafter referred to as goodwill);

(i) intangible assets other than goodwill;

(j) own participating securities acquired and shares in a legal person.

(2) Tier 2 is composed of:

(a) provisions covering general risks up to 1,25% of the risk-weighted assets of the investment portfolio;

(b) subordinated debt A up to a maximum of 50% of Tier 1. Subordinated debt A represents a subordinated bond issued, a loan received or a loan. For the purposes of counting subordinated debt into Tier 2, the following criteria shall be met:

1. subordinated debt contract A or the emission conditions of a subordinated bond include a condition of subordination under a special law, 6)

2. amount of subordinated debt A has been fully transferred to the relevant trader's account with a bank located in Zone A State. The subordinated debt does not include subordinated bonds acquired by the issuer before its maturity,

3. subordinated debt And it's unsecured,

4. subordinated debt A has a maturity period of at least 5 years from the date of its transfer to the relevant trader's account with a bank located in Zone A State, the principal of the subordinated debt is one-off. If the subordinated debt contract A includes a provision under which the debt may be repaid before the specified maturity date (call option), this right may be exercised at the earliest five years after the date of the transfer of the subordinated debt into the relevant account,

5. subordinated debt A may be repaid or paid before the specified maturity date if the intention to repay or pay a subordinated debt A has been notified with documented effects on the trader's capital to the Securities Commission (hereinafter referred to as "the Commission ') and the Commission has not refused early repayment within one month of the date of complete supporting evidence or has not informed the Commission of an extension of the deadline by a maximum of one month,

6. subordinated debt contract A or the terms and conditions of the subordinated bond shall include an arrangement between the parties that the creditor's debt on the subordinated debt may not be set off against his obligations to the trader,

7. subordinated debt And cannot be accepted by the trader as collateral,

8. Subordinated debt A is reported as part of Tier 2 if the intention to report subordinated debt as part of Tier 2, including the terms and conditions of that debt, has been notified and supported by the Commission and the Commission has not rejected that intention within one month of its complete supporting document, or has not informed within that period of an extension of not more than one month; and

(c) other equity funds.

(3) Subordinated debt A trader shall, for the purposes of determining the capital referred to in paragraph 5, gradually reduce by 20% annually over the last 5 years before the due date, unless otherwise specified in paragraph 4. The trader starts to reduce the day following the end of the fifth year before his due date, which means that in the last year before the due date, the trader accounts for 20% of the total amount of that debt for the purposes of determining the capital. Part of subordinated debt A not included in Tier 2 shall not be included in Tier 3 in accordance with paragraph 6.

(4) If the subordinated debt contract A contains a call option, the subordinated debt is reduced by the trader for the purposes of determining Tier 2 over the last five years before the agreed maturity date only if the increase in the interest rate of the subordinated debt (step-up) in the case of non-use of the call option is up to 1,5% p. a. If an increase in the interest rate of subordinated debt above 1,5% is agreed, the amount of subordinated debt for the purposes of determining Tier 2 shall be reduced by the trader during the last five years before the date on which the call option can be used for the first time. In both cases, the subordinated debt shall be reduced by the trader in accordance with paragraph 3.

(5) The amount to be reported in column 060 of this row:

(a) capital investments in banks and other financial institutions of the investment portfolio where such capital investments exceed 10% of the capital of the individual banks or financial institutions invested in;

(b) the sum of the capital investments in banks and other financial institutions of the investment portfolio exceeding 10% of the capital of the trader before deduction of the items referred to in (a) and (b), where the individual equity investments represent a share of up to 10%, including the capital of each financial institution in which the investment is invested;

(c) capital investments of the investment portfolio in persons other than banks and financial institutions, where such investments are not readily convertible into liquid assets;

(d) tangible property;

(e) stocks,

(f) deposits with a residual maturity of more than 90 days, except deposits composed as collateral for transactions in derivatives traded on recognised exchanges and deposits which are shares in a legal person; and

(g) loans and other claims with a residual maturity of more than 90 days.

(6) Tier 3 consists of subordinated debt B, which is the subordinated bond issued, the loan granted or the loan granted to the reporting trader by the creditor. Subordinated debt B must have a fixed maturity of at least 2 years from the date of its transfer to the relevant trader's account with a bank located in Zone A State, the principal of the subordinated debt being one-off. Subordinated debt B shall also meet the criteria for subordinated debt A referred to in paragraph 2 (b) (1), (2), (3) and (5) to (8).

(7) Subordinated debt B may be accounted for provided that both the principal and the ancillary assets of that debt must not be repaid, even at maturity, if such payment would mean a capital adequacy reduction below the limit laid down in Article 53 (3), or if it would mean a further reduction in the value of the capital adequacy below the limit laid down in Article 53.

(8) The sum of Tier 2 referred to in paragraph 2 and Tier 3 referred to in paragraph 6 may not exceed Tier 1 referred to in paragraph 1.

(9) Tier 3 referred to in paragraph 6 may not exceed 200% of the sum of Tier 1 and Tier 2 minus the deductible items referred to in paragraph 5.

(10) The eligible Tier 3 shall mean Tier 3 referred to in paragraph 6, subject to the restricted conditions set out in paragraphs 8 and 9.

(11) Unusable Tier 3 shall be equal to the difference in Tier 3 referred to in paragraph 6 and the available Tier 3 referred to in paragraph 10.

(12) The use of Tier 3 shall be understood to mean 0,714 times the capital requirement B referred to in Article 3 (3), up to a maximum of the applicable Tier 3 referred to in paragraph 10.

(13) The unused Tier 3 shall be equal to the difference between the available Tier 3 referred to in paragraph 10 and the used Tier 3 referred to in paragraph 12.

(14) The Czech consolidation agency does not reduce capital by the deductible items referred to in points (c), (d), (f) and (g) of paragraph 5 and it will include them in risk-weighted assets according to the usual risk weights.

HLAVA III

(-) CREDIT RISK

§ 8

The capital requirement for the credit risk of the investment portfolio shall be determined by the trader only from the instruments included in the investment portfolio.

§ 9

Risk-weighted assets of the investment portfolio

(1) The risk-weighted assets of the investment portfolio represent the sum of on-balance-sheet and off-balance-sheet risk-weighted assets.

(2) The balance sheet risk-weighted assets of the investment portfolio, including account taken of spot transactions, shall be determined by the trader as the sum of the products of the balance sheet asset after deduction of the adjustments, for the assets to be written off after deduction of the adjustments and the adjustments which have been created for that asset, and the relevant risk weights as set out in Table 1 of the Annex to this Regulation.

(3) In the case of reverse repo transactions and repo transactions, securities and commodities lending transactions do not change the original positions of the transferred interest, equity, currency and commodity instruments. In the case of reverse securities repo, the trader appreciates the credit provided by a lower risk weight from the issuer's risk weights of the accepted security and the borrower (the admitted security is valued by a zero risk weight). In the case of repo transactions, the trader shall appreciate the credit provided by the borrower's risk weight (the accepted commodity is valued by the trader's zero risk weight). In the case of securities repo transactions, the trader shall value the security provided by the issuer's risk weight. In the case of repurchase transactions with commodities, the trader shall value the commodity at a risk weight of 1,00. In the case of securities and commodities lending, the creditor or debtor shall choose a higher risk weight for the original instruments from the risk weights of the original instrument and the instrument adopted.

(4) The off-balance-sheet risk-weighted assets shall be determined by the trader as the sum of the product of the credit equivalents of off-balance-sheet assets referred to in paragraphs 5 and 6 and the relevant risk weights as set out in Table 1 of the Annex to this Decree. In the case of loan equivalents of deposit claims and loans from fixed-term transactions and delta-equivalent of deposit and loan claims, in the case of loan equivalents of bonds, notes and shares from fixed-term transactions, and delta-equivalent of bonds, notes and shares from options in accordance with Table 2 of the Annex to this Regulation, the trader shall apply the relevant risk weight of the issuer of the bond or notes in accordance with Table 1 of the Annex to this decree.

(5) The credit equivalent of the off-balance-sheet assets listed in Table 2 of the Annex to this Regulation is determined by the trader as the product of the off-balance-sheet asset or delta equivalent of the debt claim, notes and shares from options and conversion factors as defined in Table 2 of the Annex to this Regulation. From this product, the trader deducts reserves where those reserves have been created for a specific off-balance sheet asset but only up to the amount of that product.

(6) The credit equivalent of off-balance-sheet assets of derivatives, with the exception of derivatives referred to in paragraph 8, shall be determined by the trader as the sum of the fair value of the derivative and the product of the off-balance-sheet asset and the conversion factor as set out in Table 3 of the Annex to this Decree. If the fair value of the derivative is negative, the trader puts it equal to 0 for the purpose of calculating the credit equivalent. From that sum, the trader deducts provisions where those provisions have been created for a specific off-balance sheet asset but only up to the amount of that sum. The credit equivalent for options sold is zero from the time of the last instalment of the option premium. Where a trader has concluded a final settlement agreement by a double party pursuant to paragraph 9 with a counterparty with which he has concluded a derivative, the credit equivalent of the off-balance-sheet asset for those derivatives may be determined in accordance with paragraphs 11 and 12.

(7) For derivatives where the risk weight according to Table 1 of the Annex to this Decree is 1,00, the trader shall apply a risk weight of 0,50.

(8) The credit equivalent for derivatives traded on recognised exchanges is zero.

(9) A trader may conclude a bilateral final settlement agreement and monitor the applicable legal order in order to ensure the legal enforceability of such an agreement which:

(a) provide that, in the event of a counterparty's default, the positive and negative fair values of the individual derivatives covered by the agreement shall be set off and the trader shall have a single claim or liability in relation to the partner concerned;

(b) defines the default of the counterparty, meaning the terms and conditions defined by contract, such as entry into liquidation, bankruptcy or settlement,

(c) is not part of another agreement allowing both partners to be entitled to not pay or to pay only part of the net amount in the event of counterparty default;

(d) it has been submitted to the Commission, together with a statement by the person authorised to provide legal services that provides long-term services in this field, confirming that, in the event of a counterparty's failure, a netting takes place in accordance with point (a), and the Commission has not refused this agreement within one month of the date of submission of the complete documents, or has not informed it of the extension of the deadline by a maximum of one month. The Commission may request comments on the enforceability of the agreement from the supervisory authority concerned, with a negative opinion bound by it.

(10) The criteria referred to in paragraph 9 (d) need not be met if the legal statement already exists and is registered with a specialist, such as International Swaps and Derivatives Association, Inc.

(11) Where a trader progresses in accordance with paragraph 9, he shall determine one credit equivalent of off-balance-sheet assets for all derivatives agreed with that partner that are included in the trading and investment portfolio and that are subject to a bilateral settlement agreement. This credit equivalent is equal to the sum of net fair value and potential future exposures. The net fair value is equal to the sum of the fair values of derivatives agreed with the partner. If the net fair value is negative, the trader puts it equal to 0 for the purpose of calculating the credit equivalent. The potential future exposure of the trader shall be determined by the formula:

PCENET = 0.4. PCEGROSS + 0.6. NGR. PCEGROSS,

where

PCE_gross

je součtem součinů podrozvahových aktiv derivátů a konverzních faktorů podle tabulky č. 3 v příloze k této vyhlášce,

NGR	je podílem, v jehož čitateli je

(a) the net fair value of derivatives covered by a bilateral final settlement agreement with a given partner (if this value is negative, the trader puts it equal to 0) and the denominator has a gross fair value of such derivatives which is equal to the sum of the positive fair values of derivatives; or

(b) the sum of the net fair values of derivatives covered by bilateral final settlement agreements with all partners and the denominator shall be the gross fair value of such derivatives with all partners equal to the sum of the positive fair values of derivatives with all partners.

(12) The credit equivalent of off-balance-sheet assets for derivatives agreed with the partner shall be divided by the trader into the part belonging to the investment portfolio and the part belonging to the trading book in the same proportion as the ratio of the credit equivalents for the investment portfolio derivatives covered by the final settlement arrangements with the partner without the discretion of the bilateral final settlement agreements and the credit equivalents for the trading book derivatives covered by the final settlement agreements with the partner without the discretion of the bilateral final settlement agreements.

(13) A risk weight may be assigned for the duration of the collateral and subject to the conditions laid down in paragraph 16 to a balance sheet asset that is a claim or future claim and which is ensured by the following means of collateral:

(a) the protection provider or counterparty of fixed-term operations with credit instruments in the case of collateral provided or fixed-term operations with credit instruments agreed

1. central governments of Zone A States,

2. the central banks of Zone A States,

3. the European Communities,

4. Governments of Zone A territorial units,

5. regional authorities of zone A States,

6. international financial institutions,

7. central governments and central banks of zone states B provided that the claim is denominated and financed in a national currency common to both the debtor and the provider of the collateral,

8. banks located in zone A states,

9. banks established in zone B States, where the claim has an original maturity of up to and including 1 year;

10. traders and foreign traders established in zone A States,

Citation	Decree No. 262 / 2004 Coll., on rules for the calculation of the capital adequacy of a non-bank trader
Regulation Type	Order
Author	-
Collection	Code of Laws

Date of Promulgation	30.04.2004
Effective from	01.05.2004
Effective until	-
Status	Valid

Decree No. 262 / 2004 Coll.

Ordinance on rules for the calculation of the capital adequacy of a non-bank dealer on an individual basis

Contents

ČÁST PRVNÍ

§ 1

§ 2

ČÁST DRUHÁ

HLAVA I

§ 3

§ 4

§ 5

§ 6

HLAVA II

§ 7

HLAVA III

§ 8

§ 9

Contents

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