PROVISION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of September 28, 2012 No. 387-P

About procedure of payments credit institutions of size of market risk

Based on the Federal Law of July 10, 2002 N 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, N 28, Art. 2790; 2003, N 2, Art. 157; N 52, of Art. 5032; 2004, N 27, Art. 2711; N 31, of Art. 3233; 2005, N 25, Art. 2426; N 30, of Art. 3101; 2006, N 19, Art. 2061; N 25, of Art. 2648; 2007, N 1, Art. 9, Art. 10; N 10, of Art. 1151; N 18, of Art. 2117; 2008, N 42, Art. 4696, Art. 4699; N 44, of Art. 4982; N 52, of the Art. 6229, Art. 6231; 2009, N 1, Art. 25; N 29, of Art. 3629; N 48, of Art. 5731; 2010, N 45, Art. 5756; 2011, N 7, Art. 907; N 27, of Art. 3873; N 43, of Art. 5973; N 48, of the Art. 6728), the Federal Law "About Banks and Banking Activity" (in edition of the Federal Law of February 3, 1996 N 17-FZ) (Sheets of the Congress of People's Deputies of RSFSR and the Supreme Council of RSFSR, 1990, N 27, Art. 357; Russian Federation Code, 1996, N 6, Art. 492; 1998, N 31, Art. 3829; 1999, N 28, Art. 3459, Art. 3469; 2001, N 26, Art. 2586; N 33, of Art. 3424; 2002, N 12, Art. 1093; 2003, N 27, Art. 2700; N 50, of Art. 4855; N 52, of the Art. 5033, Art. 5037; 2004, N 27, Art. 2711; N 31, of Art. 3233; 2005, N 1, Art. 18, Art. 45; N 30, of Art. 3117; 2006, N 6, Art. 636; N 19, of Art. 2061; N 31, of Art. 3439; N 52, of Art. 5497; 2007, N 1, Art. 9; N 22, of Art. 2563; N 31, of Art. 4011; N 41, of Art. 4845; N 45, of Art. 5425; N 50, of Art. 6238; 2008, N 10, Art. 895; N 15, of Art. 1447; 2009, N 1, Art. 23; N 9, of Art. 1043; N 18, of Art. 2153; N 23, of Art. 2776; N 30, of Art. 3739; N 48, of Art. 5731; N 52, of Art. 6428; 2010, N 8, Art. 775; N 19, of Art. 2291; N 27, of Art. 3432; N 30, of Art. 4012; N 31, of Art. 4193; N 47, of Art. 6028; 2011, N 7, Art. 905; N 27, of the Art. 3873, Art. 3880; N 29, of Art. 4291; N 48, of Art. 6730; N 49, of Art. 7069; N 50, of Art. 7351; 2012, N 27, the Art. 3588, N 31, the Art. 4333) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of September 26, 2012 N 18) this Provision establish procedure of payments credit institution of size of market risk, that is risk of origin at credit institution of financial losses (losses) owing to change of the current (fair) value of the financial instruments named in Item 1.1 of this provision, and also the foreign exchange rates and (or) book prices on precious metals.

Chapter 1. General provisions

1.1. This Provision extends:

on the securities (debt, equity) having the current (fair) value and classified according to appendix 10 to the Provision of the Bank of Russia of July 16, 2012 N 385-P "About rules of conducting financial accounting in the credit institutions located in the territory of the Russian Federation" registered by the Ministry of Justice of the Russian Federation on September 3, 2012 N 25350 ("the Bulletin of the Bank of Russia" of September 25, 2012 N 56-57), (further - the Provision of the Bank of Russia N 385-P) as estimated at fair value through profit or loss and acquired with sales objective in the short term determined according to internal documents of credit institution or as available for sale in the presence of the intention about realization in the short term reflected in internal documents of credit institution;

on obligations on the return delivery of the securities received on the transactions made on returnable basis if the specified securities were realized according to the purchase and sale agreement of securities and also if the specified securities were transferred on the transactions made on returnable basis on which non-execution by the partner of the obligations on the return delivery took place, or were transferred on the transactions made on returnable basis or to providing on the raised funds for the term exceeding the term of initial transaction;

on the open line items nominated in foreign currency and (or) precious metal and open line items in rubles which size depends on change of the foreign exchange rates established by the Bank of Russia in relation to ruble and (or) book prices on the precious metals determined according to the Instruction of the Bank of Russia of July 15, 2005 N 124-I "About establishment of the sizes (limits) of open foreign exchange positions, the technique of their calculation and features of implementation of supervision of their observance by credit institutions" registered by the Ministry of Justice of the Russian Federation on August 5, 2005 N 6889, on June 26, 2007 N 9703, on December 6, 2007 N 10636, on May 18, 2012 N 24222 ("the Bulletin of the Bank of Russia" of August 19, 2005 N 44, of July 4, 2007 N 38, of December 17, 2007 N 69, of May 25, 2012 N 27), (further - the Instruction of the Bank of Russia N 124-I);

on the derivative financial instruments determined according to the Federal Law of April 22, 1996 No. 39-FZ "About the security market" (The Russian Federation Code, 1996, No. 17, Art. 1918; 2001, No. 33, Art. 3424; 2002, No. 52, Art. 5141; 2004, No. 27, Art. 2711; No. 31, Art. 3225; 2005, No. 11, Art. 900; No. 25, Art. 2426; 2006, No. 1, Art. 5; No. 2, Art. 172; No. 17, Art. 1780; No. 31, Art. 3437; No. 43, Art. 4412; 2007, No. 1, Art. 45; No. 18, Art. 2117; No. 22, Art. 2563; No. 41, Art. 4845; No. 50, Art. 6247, Art. 6249; 2008, No. 52, Art. 6221; 2009, No. 1, Art. 28; No. 18, Art. 2154; No. 23, Art. 2770; No. 29, Art. 3642; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 17, Art. 1988; No. 31, Art. 4193; No. 41, Art. 5193; 2011, No. 7, Art. 905; No. 23, Art. 3262; No. 27, Art. 3880; No. 29, Art. 4291; No. 48, Art. 6728; No. 49, Art. 7040; No. 50, Art. 7357; 2012, No. 25, Art. 3269; No. 31, Art. 4334; No. 53, Art. 7607; 2013, No. 26, Art. 3207; No. 30, the Art. 4082, the Art. 4084) (further - the Federal Law "About the Security Market"), and agreements which are recognized derivative financial instruments according to the right of foreign state regulations of the international treaty or business customs which basic (basic) asset are the securities having the current (fair) value determined according to the procedure, established by appendix 10 to the Provision of the Bank of Russia No. 385-P, the indexes calculated based on set of the prices of securities (further - indexes of securities), foreign currency or precious metals, agreements under the terms of which relevant requirements and (or) obligations are calculated on the basis of interest rates, the foreign exchange rates, book prices on precious metals, and also on purchase and sale agreements of foreign currency, precious metals, the securities having the current (fair) value determined according to the procedure established by appendix 10 to the Provision of the Bank of Russia No. 385-P, the providing obligations listed regarding the twenty ninth article 2 of the Federal law "About the Security Market" but not containing specifying on the fact that such agreements are derivative financial instruments (further for the purpose of this provision - derivative financial instruments).

1.2. Chapters 2 and 3 of this provision do not extend to the following financial instruments:

investments in shares of mutual investment funds;

investments of credit institutions in the share and the bond of subordinated bonded loans included in structure of the indicators reducing the amount of capital sources taking into account procedure for their application established by the Provision of the Bank of Russia of December 28, 2012 No. 395-P "About technique of determination of size of own means (capital) of credit institutions ("Basel III")", the registered Ministry of Justice of the Russian Federation on February 22, 2013 No. 27259, on November 29, 2013 No. 30499 ("the Bulletin of the Bank of Russia" of February 27, 2013 No. 11, of November 30, 2013 No. 69) (further - the Provision of the Bank of Russia No. 395-P);

the securities transferred on the transactions made on returnable basis, including returned by the partner on the specified transactions and reflected in balance sheet accounts of credit institution if they were received on the transactions made on returnable basis.

In calculation of market risk the credit institutions performing functions of the central partner, corresponding to conditions of code 8846 of appendix 1 to the Instruction of the Bank of Russia of December 3, 2012 No. 139-I "About obligatory standard rates of banks" registered by the Ministry of Justice of the Russian Federation on December 13, 2012 No. 26104, on November 29, 2013 No. 30498, on June 18, 2014 No. 32735, on October 20, 2014 No. 34362, on December 11, 2014 No. 35134, on December 24, 2014 No. 35372, on December 29, 2014 No. 35453, on February 20, 2015 No. 36180, on July 16, 2015 No. 38029, on September 23, 2015 No. 38976 ("the Bulletin of the Bank of Russia" of December 21, 2012 No. 74, of November 30, 2013 No. 69, of July 9, 2014 No. 63, of October 23, 2014 No. 99, of December 22, 2014 No. 112, of December 31, 2014 No. 117 - 118, of March 4, 2015 No. 17, of July 22, 2015 No. 60, of October 12, 2015 No. 86) (further - the Instruction of the Bank of Russia No. 139-I), do not join the financial instruments and other line items specified in Item 1.1 of this provision formed when implementing clearing activities and functions of the central partner.

1.3. The cumulative size of market risk is calculated by formula:

                             RR = 12, x (PR + FR) + BP,

where:

RR - the cumulative size of market risk;

PR - the size of market risk on the securities and derivative financial instruments sensitive to interest rate realignments (further - interest risk);

FR - the size of market risk on the securities and derivative financial instruments sensitive to change of the current (fair) value on equity securities (further - equity risk);

BP - the size of market risk on the line items opened by credit institution in foreign currencies and precious metals (further - currency risk).

1.4. Measure calculation of interest risk and equity risk join the net line items representing difference between the amount of all long positions (balance sheet assets, off-balance requirements and requirements for the agreements which are derivative financial instruments, not providing delivery of basic (basic) asset) and the amount of all short positions (balance sheet liabilities, off-balance obligations and agreement obligations, being derivative financial instruments, not providing delivery of basic (basic) asset) on uniform financial instruments. Requirements and agreement obligations, being derivative financial instruments, not providing delivery of basic (basic) asset, join in settlement size according to Item 1.6 of this provision.

Securities are uniform if they at the same time meet the following conditions:

are issued by one issuer;

have identical current (fair) value;

have identical flat yield, that is profitability which level for settlement date of cumulative size of market risk differs no more than on 10 basis points (percent 0,1);

have identical repayment period (for the tools subject to interest risk).

If the received size of net line item has the sign "+", the net line item is long if sign" -", short.

For the purpose of calculation of interest risk and equity risk in case of determination of net line item on uniform securities the balance sheet assets or obligations and off-balance requirements and obligations on securities on derivative financial instruments calculated according to this Provision except for of off-balance requirements and obligations for the forward agreements which are not containing the built-in derivative financial instruments which are not separated the basic agreement in cases are not offset if rules of Item 1 of article 4.1 of the Federal Law of October 26, 2002 No. 127-FZ "About insolvency (bankruptcy)" are applied to the specified forward agreements (The Russian Federation Code, 2002, No. 43, Art. 4190; 2004, No. 35, Art. 3607; 2005, No. 1, Art. 18, Art. 46; No. 44, Art. 4471; 2006, No. 30, Art. 3292; No. 52, Art. 5497; 2007, No. 7, Art. 834; No. 18, Art. 2117; No. 30, Art. 3754; No. 41, Art. 4845; No. 49, Art. 6079; 2008, No. 30, Art. 3616; No. 49, Art. 5748; 2009, No. 1, Art. 4, Art. 14; No. 18, Art. 2153; No. 29, Art. 3632; No. 51, Art. 6160; No. 52, Art. 6450; 2010, No. 17, Art. 1988; No. 31, Art. 4188, Art. 4196; 2011, No. 1, Art. 41; No. 7, Art. 905; No. 19, Art. 2708; No. 27, Art. 3880; No. 29, Art. 4301; No. 30, Art. 4576; No. 48, Art. 6728; No. 49, Art. 7015, Art. 7024, Art. 7040, Art. 7061, Art. 7068; No. 50, Art. 7351, Art. 7357; 2012, No. 31, Art. 4333; No. 53, Art. 7607, Art. 7619; 2013, No. 23, Art. 2871; No. 26, Art. 3207; No. 27, Art. 3477, Art. 3481; No. 30, Art. 4084).

When calculating net line items the size of investments in ordinary shares of the legal entity, not being the financial organization, in case of excess of the limit of individual investments set by subitem 2.3.30 of Item 2.3 of the Instruction of the Bank of Russia No. 139-I decreases by the size of the specified excess in proportion to specific weight of investments in ordinary shares on which the size of market risk according to Item 1.1 of this provision, in total amount of investments in ordinary shares (shares) of the legal entity, not being the financial organization is calculated, to which subitem 2.3.30 of Item 2.3 of the Instruction of the Bank of Russia No. 139-I is applied (further - adjustment size). In case of excess by cumulative investments of bank in ordinary shares of legal entities, not being the financial organizations, the limit of cumulative investments set by subitem 2.3.30 of Item 2.3 of the Instruction of the Bank of Russia No. 139-I, the size of investments in the share of the separate legal entity decreases by the size of the adjustment calculated according to the approach established by this Item taking into account specific weight of investments in the share of the separate legal entity in the cumulative investments of bank in ordinary shares of legal entities which are not the financial organizations on which the market risk according to Item 1.1 of this provision is calculated and subitem 2.3.30 of Item 2.3 of the Instruction of the Bank of Russia No. 139-I is applied.

When calculating net line items the size of investments in ordinary shares of the separate legal entity which is the financial organization is adjusted according to Item 1.2 of this provision at size of the investments reducing the amount of capital sources in proportion to specific weight of investments in ordinary shares of the financial organizations on which the market risk according to Item 1.1 of this provision is calculated and to which the Provision of the Bank of Russia No. 395-P is applied, in the cumulative size of essential or insignificant investments in ordinary shares (shares) of the financial organizations according to the Provision of the Bank of Russia No. 395-P (in case of application of subitem 2.2.9.3 of Item 2 of the Provision of the Bank of Russia No. 395-P - in proportion to share of the specified investments in the cumulative size of investments in shares (shares) of the financial organizations and deferred tax assets), and also taking into account specific weight of investments in the share of the separate legal entity, being the financial organization, in the size of investments in the share of the financial organizations according to which the market risk according to Item 1.1 of this provision is calculated, to which the Provision of the Bank of Russia No. 395-P is applied.

1.5. Net line items are determined by securities taking into account the following.

For calculation of size of net line item securities are revaluated on the current (fair) value for settlement date of size of market risk.

If issue of security is performed by separate parts (tranches), then calculation of net line item can not join equal long and short positions on securities of one tranche.

Equal long (short) positions on uniform securities of different trenches can not join in calculation of net line item if: securities of different trenches at the same time address on organized trading floors within six months;

the direction of changes of sizes of the current (fair) values on securities of different trenches within the period stated above matches.

1.6. For the purpose of calculation of net line items the derivative financial instruments (which both are providing, and not providing delivery of basic (basic) asset including options) are considered as tools on which there are long and short line items expressed in the corresponding basic (basic) assets and in relevant requirements or obligations for delivery of money. On the derivative financial instruments which are not providing delivery of basic (basic) asset, the specified line items join in settlement size, to similarly deliverable derivative financial instruments. On each derivative financial instrument net line items on basic (basic) asset and net line items on delivery of money are calculated.

The line items expressed in the corresponding basic (basic) assets join in calculation of net line items proceeding from the current (fair) value of basic (basic) assets. The current (fair) value of securities is determined according to the procedure, provided by appendix 10 to the Provision of the Bank of Russia N 385-P. On derivative financial instruments which basic (basic) asset are interest rates and also on other derivative financial instruments on which in accordance with the terms of the agreement relevant requirements and (or) obligations are calculated on the basis of interest rates, as the size of long and short position the nominal sums determined by terms of the contract that is sizes proceeding from which interest payments in the corresponding currency are calculated are accepted.

Uniformity of the securities which are basic (basic) asset of derivative financial instruments is determined according to Item 1.4 of this provision.

Line items on options join in calculation of market risks taking into account coefficient the Delta according to Item 1.8 of the Instruction of the Bank of Russia N 124-I.

Line items on derivative financial instruments which basic (basic) asset are several various assets (basket of assets) join in calculation of market risks as line items on separate assets, in proportion to their share in basket. If on the derivative financial instruments providing delivery of securities, the choice of the delivered issues of securities it is performed just before execution of the contract, line items for the purpose of calculation of market risks are determined proceeding from what issues of securities would be delivered in case of execution of the contract for reporting date.

1.7. The size of currency risk is equal to the amount of open foreign exchange positions in the separate foreign currencies and separate precious metals calculated according to the Instruction of the Bank of Russia N 124-I. The size of currency risk is taken into consideration of size of market risk, when for settlement date of size of market risk the percentage ratio of the amount of open foreign exchange positions in separate foreign currencies and separate precious metals and sizes of own means (capital) of credit institution is equal in case or will exceed 2 percent. At the same time data on the amount of open foreign exchange positions in separate foreign currencies and separate precious metals reflected in the reporting under the form 0409634 "The report on open foreign exchange positions" established by appendix 1 to the Instruction of the Bank of Russia of November 12, 2009 N 2332-U "About the list, forms and procedure for creation and representation of forms of the reporting of credit institutions in the Central bank of the Russian Federation" registered by the Ministry of Justice of the Russian Federation on December 16, 2009 N 15615, on June 18, 2010 N 17590, on December 22, 2010 N 19313, on June 20, 2011 N 21060, on December 16, 2011 N 22650, on July 10, 2012 N 24863, on September 20, 2012 N 25499 are used ("the Bulletin of the Bank of Russia" of December 25, 2009 N 75-76, of June 25, 2010 N 35, of December 28, 2010 N 72, of June 28, 2011 N 34, of December 23, 2011 N 73, of July 19, 2012 N 41, of September 26, 2012 N 58), as of settlement date of cumulative size of market risk, and the size of own means (capital) calculated according to requirements of the Provision of the Bank of Russia N 215-P.

1.8. Calculation of cumulative size of market risk is perfromed with the frequency established by the Instruction of the Bank of Russia No. 139-I for calculation and observance of standard rates of sufficiency of own means (capital) of banks.

Chapter 2. Procedure of payments of interest risk

2.1. Calculation of interest risk is perfromed in the relation:

debt securities;

equity securities with the conversion right in debt securities;

inconvertible preferred shares, the dividend size by which is determined;

derivative financial instruments which basic (basic) asset are the securities specified in this Item, indexes of the securities specified in this Item, agreements under the terms of which relevant requirements and (or) obligations are calculated on the basis of interest rates;

requirements or obligations for delivery of money for derivative financial instruments (including on the derivative financial instruments which are not providing delivery of basic (basic) asset in settlement size to similarly deliverable derivative financial instruments) according to which the equity risk according to Chapter 3 this provision is calculated;

derivative financial instruments which basic (basic) asset are the foreign currency or precious metals, agreements under the terms of which relevant requirements and (or) obligations are calculated on the basis of the foreign exchange rates or book prices on precious metals.

2.2. The interest risk is calculated as the amount of two sizes on formula:

                                  PR = OPR + SPR,

where:

PR - interest risk;

OPR - general interest risk, that is risk of the adverse change of the current (fair) value of securities and derivative financial instruments connected with market interest rate fluctuations;

SPR - special interest risk, that is risk of adverse change of the current (fair) value of securities and derivative financial instruments under the influence of the factors connected with the issuer of securities, and also the terms which remained to the securities redemption, and currency in which securities are nominated and accumulated.

2.3. When calculating special interest risk all net long and short positions (without sign of line items) belong to one of the following groups with the corresponding coefficients of risk:

on securities without risk - 0 percent;

on securities with low risk:

having the term which remained before repayment

less than 6 months - percent 0,25;

having the term which remained before repayment

from 6 to 24 months - 1 percent;

having the term which remained before repayment

over 24 months - percent 1,6;

on securities with average risk - 8 percent;

on securities with high risk - 12 percent.

Net line items on the securities carried to securities with low risk on which the issuer accepts and publicly announces the decision on early repayment provided that consent to early repayment is the integral condition of their acquisition and (or) on which repayment of nominal value is performed by parts (securities with depreciation of debt) join in calculation of special interest risk in proportion to the size which is subject to early (partial) repayment using the coefficients of risk established by this Item depending on the term which remained before date of partial (early) repayment.

2.4. Securities without risk:

the securities emitted by the Government of the Russian Federation or the Central bank of the Russian Federation, nominated and accumulated in rubles (the procedure for reference of securities to category accumulated in rubles is established by subitem 2.3.8 of Item 2.3 of the Instruction of the Bank of Russia No. 139-I);

the securities nominated and accumulated in rubles, completely provided with the guarantees (bank guarantees) of the Government of the Russian Federation or the Central bank of the Russian Federation or securities emitted by the Government of the Russian Federation or the Central banks of the Russian Federation nominated in rubles;

the securities emitted by the governments or Central Banks of the countries having country estimates on classification of the Export Credit Agencies participating in the agreement of member countries of Organization for Economic Cooperation and Development (OECD) "About the basic principles of provision and use of the export loans having official support" (further - country estimates), "0", "1"", and also the countries with the high level of the income which is members of OECD and (or) the European Union, passed to single monetary unit of the European Union (further - the countries with the high level of the income which are members of OECD and (or) the Eurozone), the countries issuers nominated and accumulated in currency (for the purposes of this provision information on country estimates and the countries with the high level of the income which is members of OECD and (or) the Eurozone posted on the corresponding website by OECD on the Internet is used);

the securities nominated and accumulated in country issuer currency if they are completely provided with guarantees (bank guarantees) of the governments or Central Banks of the countries having country estimates "0", "1", and also the countries with the high level of the income which is members of OECD and (or) the Eurozone, or securities of the governments or Central Banks of the countries having country estimates "0", "1", and also the countries with the high level of the income which is the members of OECD and (or) the Eurozone nominated in country issuer currency.

2.5. Securities with low risk:

the securities emitted by the Government of the Russian Federation or the Central bank of the Russian Federation, nominated and (or) accumulated in foreign currency;

the securities nominated and (or) accumulated in foreign currency, completely provided with the guarantees (bank guarantees) of the Government of the Russian Federation or the Central bank of the Russian Federation or securities emitted by the Government of the Russian Federation or the Central bank of the Russian Federation;

the securities emitted by subjects of the Russian Federation and municipalities of the Russian Federation, nominated and accumulated in rubles;

the securities emitted by the governments or Central Banks of the countries having the country estimates "0", "1", and also the countries with the high level of the income which is members of OECD and (or) the Eurozone nominated and (or) accumulated in the currency other than country issuer currency;

the securities nominated and (or) accumulated in the currency other than country issuer currency if they are completely provided with guarantees (bank guarantees) of the governments or Central Banks of the countries having country estimates "0", "1", and also the countries with the high level of the income which is members of OECD and (or) the Eurozone or are completely provided with the securities emitted by the governments or Central Banks of the countries having country estimates "0", "1" and also the countries with the high level of the income which is members of OECD and (or) the Eurozone;

the securities emitted by the governments or Central Banks of the countries having country estimates "2" and "3";

the securities which are completely provided with guarantees (bank guarantees) of the governments or Central Banks of the countries having country estimates "2", "3" or securities of the governments or Central Banks of the countries having country estimates "2", "3";

the securities emitted by the banks created by the legislation of the country having country estimates "0", "1", and also the countries with the high level of the income, being the member of OECD and (or) the Eurozone, or completely provided with the bank guarantee of the bank created by the legislation of the country having country estimates "0", "1", and also the countries with the high level of the income, being the member of OECD and (or) the Eurozone;

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