PROVISION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of December 3, 2015 No. 511-P

About procedure of payments credit institutions of size of market risk

Based on the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348; No. 41, the Art. 5639), the Federal Law "About Banks and Banking Activity" (in edition of the Federal Law of February 3, 1996 No. 17-FZ) (Sheets of the Congress of People's Deputies of RSFSR and the Supreme Council of RSFSR, 1990, No. 27, Art. 357; Russian Federation Code, 1996, No. 6, Art. 492; 1998, No. 31, Art. 3829; 1999, No. 28, Art. 3459, Art. 3469; 2001, No. 26, Art. 2586; No. 33, Art. 3424; 2002, No. 12, Art. 1093; 2003, No. 27, Art. 2700; No. 50, Art. 4855; No. 52, Art. 5033, Art. 5037; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 1, Art. 18, Art. 45; No. 30, Art. 3117; 2006, No. 6, Art. 636; No. 19, Art. 2061; No. 31, Art. 3439; No. 52, Art. 5497; 2007, No. 1, Art. 9; No. 22, Art. 2563; No. 31, Art. 4011; No. 41, Art. 4845; No. 45, Art. 5425; No. 50, Art. 6238; 2008, No. 10, Art. 895; 2009, No. 1, Art. 23; No. 9, Art. 1043; No. 18, Art. 2153; No. 23, Art. 2776; No. 30, Art. 3739; No. 48, Art. 5731; No. 52, Art. 6428; 2010, No. 8, Art. 775; No. 27, Art. 3432; No. 30, Art. 4012; No. 31, Art. 4193; No. 47, Art. 6028; 2011, No. 7, Art. 905; No. 27, Art. 3873, Art. 3880; No. 29, Art. 4291; No. 48, Art. 6728, Art. 6730; No. 49, Art. 7069; No. 50, Art. 7351; 2012, No. 27, Art. 3588; No. 31, Art. 4333; No. 50, Art. 6954; No. 53, Art. 7605, Art. 7607; 2013, No. 11, Art. 1076; No. 19, Art. 2317, Art. 2329; No. 26, Art. 3207; No. 27, Art. 3438, Art. 3477; No. 30, Art. 4084; No. 40, Art. 5036; No. 49, Art. 6336; No. 51, Art. 6683, Art. 6699; 2014, No. 6, Art. 563; No. 19, Art. 2311; No. 26, Art. 3379, Art. 3395; No. 30, Art. 4219; No. 40, Art. 5317, Art. 5320; No. 45, Art. 6144, Art. 6154; No. 49, Art. 6912; No. 52, Art. 7543; 2015, No. 1, Art. 37; No. 17, Art. 2473; No. 27, Art. 3947, Art. 3950; No. 29, the Art. 4355, the Art. 4385) 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 November 27, 2015 No. 35) 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 fair value of the financial instruments and goods 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 fair value and classified according to the Provision of the Bank of Russia of October 2, 2017 No. 606-P "About procedure for reflection on accounts of financial accounting by credit institutions of transactions with securities", the registered Ministry of Justice of the Russian Federation on December 12, 2017 No. 49215, on July 18, 2018 No. 51630 (further - the Provision of the Bank of Russia No. 606-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 estimated at fair value through other comprehensive income in the presence of the intention about realization in the short term reflected in internal documents of credit institution including the securities transferred on the transactions made on returnable basis and also delivered in trust management or acquired by the trustee for the benefit of credit institution for carrying out transactions for the purpose of making of transactions of purchase and sale in the short term;

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 and also for obligations which size depends on fair value debt and (or) equity securities (in part, not covered with balance sheet investments and (or) off-balance requirements for delivery of securities, excellent from specified in the paragraph the second this Item);

on the foreign exchange positions in separate foreign currencies and gold determined according to Item 2.13 of the Instruction of the Bank of Russia of January 10, 2024 No. 213-I "About open line items of credit institutions by currency risk" (it is registered by the Ministry of Justice of the Russian Federation on April 18, 2024, registration No. 77929) (further - the Instruction of the Bank of Russia No. 213-I);

on the goods which are not traded on the organized market regarding gemstones (the processed natural diamonds), and on the goods which are traded on the organized market: regarding the balance sheet assets and liabilities nominated in precious metals (except gold) or in rubles which size depends on change of the book prices on precious metals (except gold) established by the Bank of Russia according to the paragraph the second Item 5 of article 10 of the Federal Law of March 26, 1998 No. 41-FZ "About precious metals and gemstones" (further - book prices on precious metals) regarding the balance sheet assets expressed in gemstones (the processed natural diamonds) and balance sheet requirements and obligations for supply of gemstones (the processed natural diamonds), regarding off-balance requirements and obligations for delivery of goods, including precious metals (except gold), under agreements under which date of the conclusion of the agreement does not match date of its execution, on which action of the Provision of the Bank of Russia of July 4, 2011 No. 372-P "On procedure for financial accounting of derivative financial instruments" does not expatiate (it is registered by the Ministry of Justice of the Russian Federation on July 22, 2011, registration No. 21445) with the changes made by Instructions of the Bank of Russia of November 6, 2013 No. 3106-U (it is registered by the Ministry of Justice of the Russian Federation on December 6, 2013, registration No. 30553), of November 30, 2015 No. 3864-U (it is registered by the Ministry of Justice of the Russian Federation on December 18, 2015, registration No. 40165), of November 16, 2017 No. 4611-U (it is registered by the Ministry of Justice of the Russian Federation on December 8, 2017, registration No. 49187), of June 6, 2023 No. 6438-U (it is registered by the Ministry of Justice of the Russian Federation on July 10, 2023, registration No. 74181) (further - the Provision of the Bank of Russia No. 372-P), and also regarding the pledge received in providing on balance sheet assets and (or) off-balance obligations, including in the form of precious metals (except gold);

on derivative financial instruments and other agreements to which action of the Provision of the Bank of Russia No. 372-P which basic (basic) asset are the securities having the fair value determined according to the procedure extends, established by the Provision of the Bank of Russia No. 606-P, the indexes calculated based on set of the prices of securities (further - indexes of securities), foreign currency or gold, goods (including the precious metals (except gold) specified in paragraph five of this Item, approach of the circumstance which is credit event, 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 gold, goods prices (including the precious metals (except gold) specified in paragraph five of this Item (further for the purpose of this provision - derivative financial instruments).

To derivative financial instruments which basic asset is approach of the circumstance which is credit event (further - credit derivative financial instruments), for the purpose of this provision belong also:

the financial instruments representing combination of the debt security and the credit derivative financial instrument (further - credit notes),

derivative financial instruments on which the buyer under the agreement of swap (the buyer of protection) performs payments in the amount of, equal to total income on the basic (basic) asset including the percent and payments connected with increase in fair value of basic (basic) asset and the seller under the agreement of swap (the seller of protection) performs payments for the certain fixed or floating rate taking into account fixed spread to this rate if the spread is provided by terms of the contract (contract), and also the payment connected with reduction of fair value of basic (basic) asset (further - swaps on comprehensive income).

For the purpose of calculation of market risk of investment in the securities specified in the paragraph the second this Item are determined taking into account off-balance requirements and obligations for delivery of securities for purchase and sale agreements of securities according to which date of initial recognition and derecognition of securities did not step on settlement date of market risk and to which action of the Provision of the Bank of Russia No. 372-P does not extend.

The off-balance requirements for delivery of securities specified in paragraph ten of this Item join in calculation of market risk if after initial recognition of investment in securities will correspond to provisions of paragraph two of this Item and the period of settlement date of market risk to the planned credit institution of securities sale corresponds to the period of short-term outlook determined by credit institution concerning transactions of purchase and sale of securities according to the paragraph the second this Item (further - the period of short-term outlook). The off-balance obligations on delivery of securities specified in paragraph ten of this Item join in calculation of market risk in case completion date of agreements is in limits of the period of short-term outlook, and also in cases when completion date of agreements exceeds this period if off-balance obligations are not covered with balance sheet investments and (or) off-balance requirements for delivery of securities, excellent from specified in the paragraph the second this Item.

1.2. In calculation of market risk according to Chapters 2 and 3 of this provision the following financial instruments are not subject to inclusion:

investments in shares of mutual investment funds;

investments in the shares which are not admitted to trading in the organized market of securities;

investments in the share and the bond of subordinated bonded loans in the part included in structure of the indicators reducing the amount of capital sources of credit institution according to the Provision of the Bank of Russia of July 4, 2018 in No. 646-P "About technique of determination of own means (capital) of credit institutions ("Basel III")" (it is registered by the Ministry of Justice of the Russian Federation on September 10, 2018, registration No. 52122) with the changes made by Instructions of the Bank of Russia of November 27, 2018 No. 4987-U (it is registered by the Ministry of Justice of the Russian Federation on December 19, 2018, registration No. 53064), of June 6, 2019 No. 5163-U (it is registered by the Ministry of Justice of the Russian Federation on September 30, 2019, registration No. 56084), of June 30, 2020 No. 5492-U (it is registered by the Ministry of Justice of the Russian Federation on July 30, 2020, registration No. 59121), of April 10, 2023 No. 6408-U (it is registered by the Ministry of Justice of the Russian Federation on July 17, 2023, registration No. 74322) (further - the Provision of the Bank of Russia No. 646-P);

derivative financial instruments which basic (basic) assets are the securities specified in paragraphs second and third this Item - regarding line item on basic (basic) asset;

derivative financial instruments of bank portfolio, including credit derivative financial instruments of bank portfolio, except residual share of line items which size is calculated according to paragraphs the eighth - the twelfth Item 1.6 of this provision.

For the purpose of calculation of market risk the agreements which are derivative financial instruments, signed by credit institution for achievement of one of the following purposes belong to derivative financial instruments of bank portfolio:

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