RESOLUTION OF BOARD OF THE NATIONAL BANK OF UKRAINE

of December 30, 2021 No. 162

About approval of the Regulations on procedure for determination by banks of Ukraine for the minimum extent of market risk

According to Articles 7, of 15, 56 Laws of Ukraine "About the National Bank of Ukraine", to Articles 44, 66 Laws of Ukraine "About banks and banking activity", for the purpose of determination by banks of Ukraine of the minimum extent of market risk the Board of the National Bank of Ukraine DECIDES:

1. Approve Regulations on procedure for determination by banks of Ukraine for the minimum extent of market risk (further - the Provision) which are applied.

2. To banks of Ukraine:

1) till October 01, 2023 to develop intra bank provisions by determination of the minimum extent of market risk according to requirements of the Provision;

2) as of January 01, on February 01, on March 01 and on April 01, 2024 to perfrom calculation of the minimum extent of market risk in the test mode and till January 22, on February 21, on March 21 and on April 22, 2024 respectively to provide information on results of such calculation through the web portal of the National Bank of Ukraine in the file with indicators of the statistical reporting of 7SX "Data on the Minimum Extent of Market Risk" determined by the regulatory legal act of the National Bank of Ukraine concerning the organization of the statistical reporting which moves in the National Bank of Ukraine;

3) since April 30, 2024 to perfrom calculation of the minimum extent of market risk according to requirements of the Provision and to submit data on the minimum extent of market risk according to the regulatory legal act of the National Bank of Ukraine concerning the organization of the statistical reporting submitted to the National Bank of Ukraine.

3. To department of methodology of regulation of activities of banks (Natalya Ivanenko) after official publication to inform banks of Ukraine information on adoption of this resolution.

4. The resolution becomes effective from the date of, its official publication following behind day.

Approved by the Resolution of Board of National Bank of December 30, 2021 No. 162

Regulations on procedure for determination by banks of Ukraine for the minimum extent of market risk

I. General provisions

1. This Provision is developed according to the Laws of Ukraine "About banks and banking activity", "About the National Bank of Ukraine".

The approaches determined by this Provision are based on the Basic principles of effective banking supervision of Basel Committee on Banking Supervision (further - BKBN) approved by bank supervisory authorities at the 17th International conference of bank supervisory authorities (Core principles for effective banking supervision, on September 13-14, 2012), and recommendations of BKBN "The Minimum Requirements to the Capital on Covering of Market Risks (Minimum Capital Requirements for Market Risk, January 2019)".

2. This Provision establishes procedure for determination by banks of Ukraine (further - bank) the minimum extent of market risk for accounting when calculating capital adequacy ratios according to requirements of the Instruction about procedure for regulation of activities of banks in Ukraine approved by the resolution of Board of the National Bank of Ukraine of August 28, 2001 No. 368, registered in the Ministry of Justice of Ukraine on September 26, 2001 for No. 841/6032 (with changes) (further - the Instruction No. 368).

3. Terms in this Provision are used in such value:

1) the underlying asset of the derivative contract (further - underlying asset) - is used in the value determined in article 32 of the Law of Ukraine "About the capital markets and the organized goods markets";

2) the basic indicator of the derivative contract (further - basic indicator) - is used in the value determined in article 32 of the Law of Ukraine "About the capital markets and the organized goods markets";

3) the bank book - is used in the value determined in the subitem 4 of Item 3 of Chapter 1 of the Section I of the Regulations on the organization of risk management system in banks of Ukraine and banking groups approved by the resolution of Board of the National Bank of Ukraine of June 11, 2018 No. 64 (with changes) (further - No. Provision 64);

4) gross risk line item - the amount long and short risk line items (without sign);

5) the currency risk - is used in the value determined in Item 255 of Chapter 39 of the Section V of the Provision No. 64;

6) open long risk line item - the amount of excess long risk line item over short risk line item;

7) open short risk line item - the amount of excess short risk line item over long risk line item;

8) the internal cost of the option - is used in the value determined in subitems 7 and 8 of Item 5 of the Section I of the Instruction for financial accounting of transactions with derivative financial instruments in banks of Ukraine approved by the resolution of Board of the National Bank of Ukraine of December 26, 2018 No. 153 (with changes) (further - the Instruction No. 153);

9) the delta, scale, Vega - the coefficients designating option change in value depending on the factors influencing the cost of the option;

10) long risk line item - risk line item on the tool(s) considered on the active balance sheet/off-balance account (am) of the Chart of accounts or risk line item in basic asset / basic indicator on which growth of its market cost/price leads to income acquisition;

11) all-market risk - risk which arises owing to market interest rate realignments and the prices of equity securities and is calculated as a part of interest risk of the trade book and equity risk;

12) tools - financial instruments, means in foreign currencies and tools in goods which are considered by bank according to balance and off-balance sheet accounts of the Chart of accounts of the financial accounting of banks of Ukraine approved by the resolution of Board of the National Bank of Ukraine of September 11, 2017 No. 89 (with changes) (further - the Chart of accounts);

13) short risk line item - risk line item on the tool(s) which is considered (yutsyatsya) on the passive balance sheet/off-balance account (am) of the Chart of accounts, or risk line item in basic asset / basic indicator on which growth of its market cost/price leads to receipt of expenses;

14) method of computing standards - requirements about calculation of the prudential standard rates established by the Instruction No. 368 and other regulatory legal acts of the National Bank of Ukraine (further - National Bank), the prudential standard rates determining procedure of payments;

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