What is Decree No. 64 / 2003 Coll.?

Decree No. 64 / 2003 Coll., on the capital adequacy of a securities dealer who is not a bank or branch of a foreign bank, on an individual basis — Ordinance on the capital adequacy of a securities dealer other than a bank or branch of a foreign bank, on an individual basis.

When it became Decree No. 64 / 2003 Coll. effectiveness?

Decree No. 64 / 2003 Coll. became effective 01.04.2003.

Is Decree No. 64 / 2003 Coll. still valid?

Yes, Decree No. 64 / 2003 Coll. is still valid and effective.

Decree No. 64 / 2003 Coll. - Ordinance on the capital adequacy of a s...

64

DECLARATION

of 25 February 2003

on the capital adequacy of a securities dealer that is not a bank or branch of a foreign bank on an individual basis

The Ministry of Finance, in agreement with the Securities Commission, provides pursuant to § 46d (3) of Act No. 591 / 1992 Coll., on Securities, as amended by Act No. 362 / 2000 Coll. and No. 308 / 2002 Coll.:

ČÁST PRVNÍ

INTRODUCTORY PROVISIONS

§ 1

Subject matter

This decree provides for:

(a) the structure of the capital of a securities dealer, (1) which is not a bank or branch of a foreign bank (hereinafter referred to as a trader);

(b) the procedure for calculating the capital requirement for:

1. the credit risk of the investment and trading book;

2. the exposure risk of the trading book;

3. market risk, in particular general interest rate, general equity, monetary and commodity risk,

4. options,

(c) the procedure for calculating solvency on an individual basis;

(d) the solvency limit on an individual basis;

(e) the net exposure limit of the investment portfolio.

§ 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 obligations 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; it is the second 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 entity and subordinated debts included in the capital of banks, securities dealers 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 = ITETC1 + rt ITEC1 + rt,

where:

C is the cash flow; r is the return to maturity in percentage; t is the age of 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

1. The European Investment Bank (EIB),

2. international development banks, namely African Development Bank (AfDB), Asian Development Bank (AsDB), Caribbean Development Bank (CDB), Council of Europe Resettlement Fund, Council of Europe Social Development Fund, European Bank for Reconstruction and Development (EBRD), European Investment Fund (EIF), Inter- American Development Bank (IADB), International Bank for Reconstruction and Development (IBRD), Nordic Investment Bank (NIB), International Finance Corporation (IFC), Inter-American Investment Corporation,

(n) the interim profit of the current period, the profit recorded in the interim financial statements;

(o) gold in negotiable alloys according to the London Bullion Market Association (LBMA) standard,

(p) 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),

(q) assets or liabilities;

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

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

(t) assets (long positions) or liabilities (short positions) resulting from the instrument. The tool contains one or more positions,

(u) the special drawing rights (SDR) currency used by the International Monetary Fund to express a member interest or, where applicable, the amount of borrowing by a Member State;

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

(z) spot transaction purchase or sale of financial assets with a normal delivery date (the period from trade to settlement is no longer than 2 days, or other period depending on market practice).

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

(a) 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 appropriate, more than another period according to the market practice;

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

(c) a recognised exchange, recognised by the competent authorities, which operates regularly, shall have rules issued or approved by the competent authorities of the country of registered office of the stock exchange defining the conditions under which the stock exchange operates, the conditions of access to the stock exchange and the conditions which the contract must meet in order to be able to be traded on the 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,

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

(e) 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,

(f) the Government of the State of the Ministry of Justice 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 State's territorial unit;

(g) 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, and

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,

3. National Property Fund of the Czech Republic,

4. The Land Fund of the Czech Republic,

5. Support and guarantee peasant and forestry fund,

6. Export Guarantee and Insurance Company, a. s., with the exception of obligations guaranteed by the State's express guarantee pursuant to § 8 (1) (a) of Act No. 58 / 1995 Coll., on Insurance and Financing of Exports with State Aid,

(h) a security which is linked to the right of its holder to purchase the instrument at an agreed price within the time-to-maturity or on the maturity date of the warning and which may be settled either by delivery of the instrument or cash;

(i) by a foreign securities dealer, a financial institution whose continuous activity is the provision of the main investment services to third parties. The financial institution shall have the authority of the competent authority in the State of its registered office to act and shall be subject to at least the regulation required by Directive 93 / 6 / EEC,

(j) Zone A all Member States of the European Economic Area (EEA) and all other countries which are full members of the OECD and countries which have concluded a credit agreement with the International Monetary Fund under the so-called General Arrangements to Borrow (GAB);

(k) zone B all countries not included in zone A.

§ 3

Capital requirements

(1) Capital requirement means the value in 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 (Part Three).

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

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

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

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

(d) general equity risk (part seven);

(e) currency risk (eighth part);

(f) commodity risk (part 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.

§ 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, 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 profit from price differences and changes in interest rates in the short term, generally up to 1 year, in quantities that cannot significantly affect prices in the public market;

(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;

(d) loans and units.

(4) In the classification of reverse repo transactions and repo transactions and securities and commodities lending 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 located 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 of securities (hereinafter referred to as "foreign trader ') having 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, (2) that 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 in accordance with the relevant legislation.3)

ČÁST DRUHÁ

CAPITAL DEFINITION

§ 7

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

(1) Tier 1 means the sum of items (a) to (f), less deductible items (g) to (k):

(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) the retained earnings from previous post-tax periods, where the profit of the relevant periods has been confirmed by the auditor in the audit of the accounts, the general meeting approved the accounts and decided on the amount of the retained earnings; 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) the interim profit of the current period established in the framework of the interim financial statements, to which the expected dividends and other payments have been reflected, provided that it has been agreed by the auditor and the Securities Commission has not refused the intention, supported by the approval of the auditor, to account for that profit as part of Tier 1 within one month of the date of the supporting document or has not informed of the extension of the deadline by a maximum of one month;

(g) outstanding losses from previous periods;

(h) loss of the current period;

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

(j) intangible assets other than goodwill;

(k) own participating securities and participation shares acquired.

(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 (4)

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 the subordinated debt A has been notified with documented effects on the trader's capital to the Securities Commission and the Securities Commission has not refused early repayment within one month of the date of the complete supporting document or has not informed the Securities Commission of an extension of no more than one month within that period,

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 documented to the Securities Commission and the Securities Commission has not rejected that intention within one month of its complete supporting document or has not informed the Commission of an extension of no more than one month within that period,

(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 step-up is agreed above 1,5% p.a., 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, with the exception of pledged real estate;

(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;

(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. In addition, subordinated debt B shall comply with the criteria laid down in paragraph 2 (b) (1), (2), (3) and (5) to (8) below.

(7) Subordinated debt B may be accounted for provided that both the principal and the ancillary assets of that debt cannot 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) The Tier 3 referred to in paragraph 6 may not exceed 250% of the capital referred to in paragraph 5, less the capital requirement A referred to in paragraph 3 (2).

(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 11.

ČÁST TŘETÍ

(-) 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 fair value-at-risk 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 amortised after deduction of the adjustments and adjustments that have been created for that asset, or 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 referred to 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 may be determined in accordance with paragraph 10.

(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) Following the conclusion of a bilateral final settlement agreement, the trader shall monitor the applicable legal order in order to ensure that such agreement is enforceable. Agreement

(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 Securities 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 Securities Commission has not refused this agreement within one month of the date of submission of the complete documents or has not notified the extension of the deadline by a maximum of one month. The Securities Commission may request comments on the enforceability of the agreement by the competent supervisory authority, with its negative opinion bound by it.

The criterion referred to in point (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.

(10) Where the conditions set out in paragraph 9 are met, the trader shall determine one credit equivalent of off-balance-sheet assets for all derivatives agreed with the partner, which are included in the trading and investment portfolio and which 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:

PCinet = 0,4. PCegross + 0.6. NGR.PCegross,

where

PCegross is the sum of the off-balance-sheet assets of derivatives and conversion factors as set out in Table 3 of the Annex to this Decree,

NGR is the share in which the numerator is

(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.

The credit equivalent of off-balance-sheet assets for derivatives contracted with a given partner shall be distributed by the trader to the part belonging to the investment portfolio and to the part belonging to the trading book in the same proportion as the ratio of the credit equivalents of the investment portfolio derivatives covered by the final settlement arrangements with that partner without the discretion of bilateral final settlement agreements and credit equivalents for trading book derivatives covered by the final settlement agreements with that partner without the discretion of bilateral final settlement agreements.

(11) A risk weight may be assigned to the balance sheet or off-balance sheet asset which is a claim or future claim and which is secured by the following means of collateral for the duration of the collateral and subject to the conditions set out in paragraph 2.

(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 negotiated

1. central governments of Zone A States and government-supported institutions,

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,

Citation	Decree No. 64 / 2003 Coll., on the capital adequacy of a securities dealer who is not a bank or branch of a foreign bank, on an individual basis
Regulation Type	-
Author	-
Collection	Code of Laws

Date of Promulgation	11.03.2003
Effective from	01.04.2003
Effective until	-
Status	Valid

Decree No. 64 / 2003 Coll.

Ordinance on the capital adequacy of a securities dealer other than a bank or branch of a foreign bank, on an individual basis

Contents

ČÁST PRVNÍ

§ 1

§ 2

§ 3

§ 4

§ 5

§ 6

ČÁST DRUHÁ

§ 7

ČÁST TŘETÍ

§ 8

§ 9

Contents

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