Document from CIS Legislation database © 2003-2022 SojuzPravoInform LLC

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

(as amended of the Resolution of Board of the National Bank of Ukraine of 07.03.2022 No. 40)

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) to develop intra bank provisions by determination of the minimum extent of market risk according to requirements of the Provision no later than the 180th calendar day after the termination or cancellation of warlike situation;

2) to make calculation of the minimum extent of market risk in the test mode on reporting dates as of the first, the following:

behind the 240th calendar day after the termination or cancellation of warlike situation;

behind the 270th calendar day after the termination or cancellation of warlike situation;

3) to inform the National Bank of Ukraine in the form of calculation of the minimum extent of market risk established by it in the test mode to 21 dates following reporting;

4) since last working day of month, the following behind the 300th calendar day after the termination or cancellation of warlike situation to perfrom calculation of the minimum extent of market risk according to requirements of the Provision.

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.

Chairman

K. Shevchenko

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 which the bank shall receive in certain time in the future, 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 which the bank shall pay in certain time in the future, on which growth of its market cost/price leads to receipt of expenses;

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

15) the national market - the market of the countries/countries classified by territorial sign which includes separate customs area;

16) the derivative financial instrument (derivative) - is used in the value determined in the subitem 16 of Item 5 of the Section I of the Instruction No. 153;

17) the interest risk of the trade book - is used in the value determined in Item 255 of Chapter 39 of the Section V of the Provision No. 64;

Warning!!!

This is not a full text of document! Document shown in Demo mode!

If you have active License, please Login, or get License for Full Access.

With Full access you can get: full text of document, original text of document in Russian, attachments (if exist) and see History and Statistics of your work.

Get License for Full Access Now

Disclaimer! This text was translated by AI translator and is not a valid juridical document. No warranty. No claim. More info

Effectively work with search system

Database include more 50000 documents. You can find needed documents using search system. For effective work you can mix any on documents parameters: country, documents type, date range, teams or tags.
More about search system

Get help

If you cannot find the required document, or you do not know where to begin, go to Help section.

In this section, we’ve tried to describe in detail the features and capabilities of the system, as well as the most effective techniques for working with the database.

You also may open the section Frequently asked questions. This section provides answers to questions set by users.

Search engine created by SojuzPravoInform LLC. UI/UX design by Intelliants.