Division 5.5.2 Instructions concerning specific positionsF1

Gross positions due to assets, amounts to be received and similar items referred to in Article 352(1) CRR

In accordance with Article 352(2) CRR and subject to permission from competent authorities, positions taken to hedge against the adverse effect of the exchange rate on their ratios in accordance with Article 92(1) CRR and positions related to items that are already deducted in the calculation of own funds shall not be reported.

Article 352(3), the first two sentences of Article 352(4), and Article 353 CRR

The net positions are calculated by each currency in accordance with Article 352(1) CRR. Consequently, both long and short positions may be reported at the same time.

The third sentence of Article 352(4) and Articles 353 and 354 CRR

The long and short net positions for each currency shall be calculated by deducting the total of short positions from the total of long positions.

Long net positions for each operation in a currency shall be added to obtain the long net position in that currency.

Short net positions for each operation in a currency shall be added to obtain the short net position in that currency.

Unmatched positions in non-reporting currencies shall be added to positions subject to capital charges for other currencies (row 030) in column 060 or 070, depending on their short or long arrangement.

Matched positions for closely correlated currencies.

The capital charge for any relevant position in accordance with Chapter 3 of Title IV of Part Three CRR

Point (b) of Article 92(4) CRR.

Result of the multiplication of the own funds requirements by 12,5 .

All positions in non-reporting currencies and those positions in the reporting currency that are considered for the purposes of Article 354 CRR as well as their correspondent own funds requirements for the foreign-exchange risk referred to in point (c)(i) of Article 92(3), taking into account paragraphs 2 and 4 of Article 352 CRR (for conversion into the reporting currency).

Positions and their correspondent own funds requirements for closely correlated currencies as referred to in Article 354 CRR.

Positions in the reporting currency which contribute to the calculation of the capital requirements in accordance with Article 354 CRR.

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR.

Reporting of CIU’s treated as separate currencies in accordance with Article 353 CRR:

There are two different treatments of CIUs treated as separate currencies for calculating the capital requirements:

1. 1..

   The modified gold method, where the direction of the CIUs investment is not available (those CIUs shall be added to an institution’s overall net foreign-exchange position);

2. 2..

   Where the direction of the CIU’s investment is available, those CIUs shall be added to the total open foreign exchange position (long or short, depending on the direction of the CIU).

The reporting of those CIU’s shall follow the calculation of the capital requirements.

Positions and their correspondent own funds requirements for currencies subject to the general procedure referred to in Article 351 and paragraphs 2 and 4 of Article 352 CRR

Paragraphs 5 and 6 of Article 352 CRR

The additional requirements for options related to non-delta risks shall be reported broken down by the method used for their calculation.

Total positions shall be broken down into derivatives, other assets and liabilities, and off-balance sheet items.

Positions not included in row 110 or 120 shall be included here.

Items within the scope of Article 352 CRR, irrespective of the currency of denomination, which are included in Annex I to CRR, except those included as Securities Financing Transactions & Long Settlement Transactions or from Contractual Cross Product Netting.

Positions valued in accordance with Article 352 CRR.

The memorandum items of the template shall be filled in separately for all currencies of the Member States of the Union, USD, CHF, JPY, RUB, TRY, AUD, CAD, RSD, ALL, UAH, MKD, EGP, ARS, BRL, MXN, HKD, ICK, TWD, NZD, NOK, SGD, KRW, CNY and all other currencies.