#1936916
Ceanglas cistí dílse i gcomhair riosca cuaire
Own funds requirements for curvature risk
Scag na torthaí
Bailiúcháin
17 toradh i ndoiciméad amháin
#1936932
Kb = ceanglais cistí dílse maidir le riosca cuaire do bhuicéad b;
Kb = own funds requirements for curvature risk for bucket b;
#1937143
) agus glansuíomh riosca cuaire síos an fhachtóra riosca sin a ríomh (
) and the downward net curvature risk position of that risk factor (
#1936930
Chun ceanglas cistí dílse ar leibhéal an bhuicéid i gcomhair riosca cuaire a chinneadh, déanfaidh institiúidí na suíomhanna riosca cuaire aníos agus anuas, arna ríomh i gcomhréir le mír 2, a chomhiomlánú, i gcomhréir leis an bhfoirmle seo a leanas, maidir leis na fachtóirí riosca uile arna sannadh don bhuicéad sin i gcomhréir le FoRoinn 1 de Roinn 3:
In order to determine a bucket-level own funds requirement for curvature risk, institutions shall aggregate, in accordance with the following formula the upward and downward net curvature risk positions, calculated in accordance with paragraph 2, of all the risk factors assigned to that bucket in accordance with Subsection 1 of Section 3:
#1936938
Déanfaidh institiúidí na ceanglais cistí dílse ó aicmí riosca i gcomhair riosca cuaire (RCCR) a ríomh trí na ceanglais cistí dílse uile ar leibhéal an bhuicéid i gcomhair riosca cuaire a chomhiomlánú mar a leanas:
Institutions shall calculate the risk-class own funds requirements for curvature risk (RCCR) by aggregating all the bucket-level own funds requirements for curvature risk within a given risk class as follows:
#1936941
Is é a bheidh sa cheanglas cistí dílse i gcomhair riosca cuaire ná suim na gceanglas cistí dílse d’aicme riosca i gcomhair riosca cuaire arna ríomh i gcomhréir le mír 6 thar gach aicme riosca lena mbaineann fachtóir riosca amháin ar a laghad de na hionstraimí dá dtagraítear i mír 1.”;
The own funds requirement for curvature risk shall be the sum of the risk class own funds requirements for curvature risk calculated in accordance with paragraph 6 across all risk classes to which at least one risk factor of the instruments referred to in paragraph 1 belongs.’;
#1936871
Sonraítear i gceanglais íosta chaipitil CBMB i gcomhair riosca margaidh ríomh na gceanglas cistí dílse i gcomhair riosca cuaire i gcás ionstraimí lena ngabhann roghnaíocht.
The BCBS Minimum capital requirements for market risk specify the calculation of the own funds requirements for curvature risk for instruments with optionality.
#1936872
Is éard atá sa ríomh sin roinnt céimeanna, lena n-áirítear conas turraingí a chur i bhfeidhm maidir le fachtóirí riosca agus conas riosca cuaire a chomhiomlánú thar fhachtóirí riosca.
That calculation comprises a number of steps, including how to apply shocks to risk factors and how to aggregate curvature risk across risk factors.
#1936919
Maidir le fachtóir riosca k ar leith a áirítear in ionstraim amháin nó níos mó dá dtagraítear i mír 1, déanfaidh institiúidí suíomh riosca cuaire aníos an fhachtóra riosca sin (
For a given risk factor k included in one or more instruments referred to in paragraph 1, institutions shall calculate the upward net curvature risk position of that risk factor (
#1936875
Níor cheart ionstraimí gan roghnaíocht a bheith faoi réir ceanglas cistí dílse i gcomhair riosca deilte ach amháin i gcás ionstraim fholuiteach choimhthíoch/ionstraimí foluiteacha coimhthíocha na n-ionstraimí, ach ní i gcás riosca cuaire.
Instruments without optionality should only be subject to own funds requirements for delta risk for the non-exotic underlying(s) of the instruments, but not for curvature risk.
#1936876
Le ceanglais íosta chaipitil CBMB le haghaidh riosca margaidh, áfach, tugtar an rogha d’institiúidí gach ionstraim, lena n-áirítear iad siúd gan roghnaíocht, a chur faoi réir ceanglas cistí dílse i gcomhair riosca cuaire.
The BCBS Minimum capital requirements for market risk, however, gives institutions the option to subject all instruments, including those without optionality, to own funds requirements for curvature risk.
#1936917
Déanfaidh institiúidí na ríomhanna a leagtar síos i mír 2 maidir le fachtóirí riosca uile na n-ionstraimí atá faoi réir an cheanglais cistí dílse i gcomhair riosca cuaire, cé is moite de na fachtóirí riosca dá dtagraítear i mír 3.
Institutions shall perform the calculations laid down in paragraph 2 for each risk factor of the instruments subject to the own funds requirement for curvature risk, except for the risk factors referred to in paragraph 3.
#1936918
Maidir le fachtóir riosca ar leith, déanfaidh institiúidí na ríomhanna sin ar bhonn glan thar shuíomhanna uile na n-ionstraimí atá faoi réir an cheanglais cistí dílse i gcomhair riosca cuaire a bhfuil an fachtóir riosca sin ann.
For a given risk factor, institutions shall perform those calculations on a net basis across all the positions of the instruments subject to the own funds requirement for curvature risk that contain that risk factor.
#1936937
De mhaolú ar mhír 4, maidir leis na ceanglais cistí dílse ar leibhéal an bhuicéid maidir le riosca cuaire bhuicéad 18 d’Airteagal 325ah, de bhuicéad 18 d’Airteagal 325ak, de bhuicéad 25 d’Airteagal 325am agus de bhuicéad 11 d’Airteagal 325ap, úsáidfear an fhoirmle seo a leanas:
By way of derogation from paragraph 4, for the bucket-level own funds requirements for curvature risk of bucket 18 of Article 325ah, of bucket 18 of Article 325ak, of bucket 25 of Article 325am and of bucket 11 of Article 325ap the following formula shall be used:
#1936948
chun críocha ceanglais cistí dílse i gcomhair riosca deilte agus riosca cuaire a ríomh, measfaidh institiúidí go bhfuil suíomhanna aonair ina seilbh go díreach i gcomhpháirteanna foluiteacha an innéacs nó ionstraimí il-fholuiteacha eile, ach amháin maidir le suíomh in innéacs a áirítear san ACTP a ndéanfaidh siad íogaireacht aonair ar an innéacs a ríomh ina leith;
for the purposes of calculating the own funds requirements for delta and curvature risk, institutions shall consider that they hold individual positions directly in the underlying constituents of the index or other multi-underlying instruments, except for a position in an index included in the ACTP for which they shall calculate a single sensitivity to the index;
#1936994
Is é a bheidh sna fachtóirí riosca cuaire malairte eachtraí is ionchurtha i bhfeidhm ag institiúidí maidir le hionstraimí lena ngabhann ionstraimí foluiteacha atá íogair ar mhalairt eachtrach ná na fachtóirí riosca deilte malairte eachtraí dá dtagraítear i mír 1.”;
The foreign exchange curvature risk factors to be applied by institutions to instruments with underlyings that are sensitive to foreign exchange shall be the foreign exchange delta risk factors referred to in paragraph 1.’;
#1936997
an ní a leagan amach in Airteagal 325g(2) go comhsheasmhach le haghaidh fachtóirí riosca malairte eachtraí uile na n-ionstraimí a bhaineann le malairt eachtrach agus atá faoi réir ag ceanglas cistí dílse i gcomhair riosca cuaire, ar choinníoll, maidir le haon fhachtóirí riosca malairte eachtraí atá bunaithe ar airgeadra tuairiscithe na hinstitiúide nó ar bhunairgeadra na hinstitiúide, de réir mar is infheidhme, a áirítear i ríomh na gcomhpháirteanna sin, go ndéanfar iad a aistriú go comhuaineach.
set out in Article 325g(2) consistently for all the foreign exchange risk factors of instruments concerning foreign exchange and subject to own funds requirement for curvature risk, provided that any foreign exchange risk factors based on the institution’s reporting currency or the institution’s base currency, as applicable, that are included in the calculation of those components are shifted simultaneously.