| 30.6.2006 | EN | Official Journal of the European Union | L 177/201 | 30.6.2006 | SL | Uradni list Evropske unije | L 177/201 |
| DIRECTIVE 2006/49/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL | DIREKTIVA 2006/49/ES EVROPSKEGA PARLAMENTA IN SVETA |
| of 14 June 2006 | z dne 14. junija 2006 |
| on the capital adequacy of investment firms and credit institutions (recast) | o kapitalski ustreznosti investicijskih podjetij in kreditnih institucij (preoblikovano) |
| THE EUROPEAN PARLIAMENT AND THE COUNCIL OF THE EUROPEAN UNION, | EVROPSKI PARLAMENT IN SVET EVROPSKE UNIJE STA – |
| Having regard to the Treaty establishing the European Community, and in particular Article 47(2) thereof, | ob upoštevanju Pogodbe o ustanovitvi Evropske skupnosti in zlasti člena 47(2) Pogodbe, |
| Having regard to the proposal from the Commission, | ob upoštevanju predloga Komisije, |
| Having regard to the Opinion of the European Economic and Social Committee (1), | ob upoštevanju mnenja Evropskega ekonomsko-socialnega odbora (1), |
| Having regard to the Opinion of the European Central Bank (2), | ob upoštevanju mnenja Evropske centralne banke (2), |
| After consulting the Committee of the Regions, | po posvetovanju z Odborom regij, |
| Acting in accordance with the procedure laid down in Article 251 of the Treaty (3), | v skladu s postopkom, določenim v členu 251 Pogodbe (3), |
| Whereas: | ob upoštevanju naslednjega: |
| (1) | Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investment firms and credit institutions (4) has been significantly amended on several occasions. Now that new amendments are being made to the said Directive, it is desirable, in order to clarify matters, that it should be recast. | (1) | Direktiva Sveta 93/6/EGS z dne 15. marca 1993 o kapitalski ustreznosti investicijskih družb in kreditnih institucij (4) je bila nekajkrat znatno spremenjena. Ker so potrebne nadaljnje spremembe navedene direktive, jo je treba zaradi jasnosti preoblikovati. |
| (2) | One of the objectives of Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments (5) is to allow investment firms authorised by the competent authorities of their home Member State and supervised by the same authorities to establish branches and provide services freely in other Member States. That Directive accordingly provides for the coordination of the rules governing the authorisation and pursuit of the business of investment firms. | (2) | Eden od ciljev Direktive 2004/39/ES Evropskega parlamenta in Sveta z dne 21. aprila 2004 o trgih finančnih instrumentov (5) je, da investicijskim podjetjem, ki so jih pooblastili pristojni organi matične države članice in so pod njihovim nadzorom, omogoči ustanavljanje podružnic in prosto zagotavljanje storitev v drugih državah članicah. Ta direktiva predvideva uskladitev pravil o pooblastitvi in opravljanju dejavnosti investicijskih podjetij. |
| (3) | Directive 2004/39/EC does not, however, establish common standards for the own funds of investment firms nor indeed does it establish the amounts of the initial capital of such firms or a common framework for monitoring the risks incurred by them. | (3) | Direktiva 2004/39/ES ne vzpostavlja skupnih standardov za lastna sredstva investicijskih podjetij niti ne določa zneskov ustanovitvenega kapitala takšnih podjetij; niti ne vzpostavlja skupnega okvira za spremljanje tveganj, izhajajočih iz poslovanja navedenih podjetij. |
| (4) | It is appropriate to effect only the essential harmonisation that is necessary and sufficient to secure the mutual recognition of authorisation and of prudential supervision systems; in order to achieve mutual recognition within the framework of the internal financial market, measures should be laid down to coordinate the definition of the own funds of investment firms, the establishment of the amounts of their initial capital and the establishment of a common framework for monitoring the risks incurred by investment firms. | (4) | Primerno je, da se vpliva samo na bistveno uskladitev, ki je potrebna in zadostna za zagotovitev vzajemnega priznavanja dovoljenj in nadzornih sistemov; da bi dosegli vzajemno priznavanje v okviru notranjega finančnega trga, je treba določiti ukrepe za uskladitev opredelitve lastnih sredstev investicijskih podjetij, določitev zneskov njihovega ustanovitvenega kapitala in vzpostavitev skupnega okvira za spremljanje nevarnosti, ki izhajajo iz poslovanja investicijskih podjetij. |
| (5) | Since the objectives of this Directive, namely the establishment of the capital adequacy requirements applying to investment firms and credit institutions, the rules for their calculation and the rules for their prudential supervision, cannot be sufficiently achieved by the Member States and can therefore, by reason of the scale and the effects of the proposed action, be better achieved at Community level, the Community may adopt measures, in accordance with the principle of subsidiarity as set out in Article 5 of the Treaty. In accordance with the principle of proportionality, as set out in that Article, this Directive does not go beyond what is necessary in order to achieve its objectives. | (5) | Ker ciljev te direktive, in sicer določitve zahtev kapitalske ustreznosti, ki se uporabljajo za investicijska podjetja in kreditne institucije, pravil za njihov izračun in pravil za njihov bonitetni nadzor, države članice same ne morejo v zadostni meri doseči same in jih je zaradi obsega in učinkov predlaganih ukrepov mogoče bolje doseči na ravni Skupnosti, lahko Skupnost sprejme ukrepe v skladu z načelom subsidiarnosti iz člena 5 Pogodbe. V skladu z načelom sorazmernosti iz istega člena ta direktiva ne presega tistega, kar je potrebno za dosego teh ciljev. |
| (6) | It is appropriate to establish different amounts of initial capital depending on the range of activities that investment firms are authorised to undertake. | (6) | Ustrezno je določiti različne zneske ustanovitvenega kapitala, odvisne od obsega dejavnosti, za opravljanje katerih so investicijska podjetja pooblaščena. |
| (7) | Existing investment firms should be permitted, under certain conditions, to continue their business even if they do not comply with the minimum amount of initial capital fixed for new investment firms. | (7) | Obstoječim investicijskim podjetjem bi moralo biti pod določenimi pogoji dovoljeno nadaljevanje njihovega poslovanja, čeprav ne dosegajo minimalnega zneska ustanovitvenega kapitala, določenega za nova investicijska podjetja. |
| (8) | Member States should be able to establish rules stricter than those provided for in this Directive. | (8) | Države članice bi morale imeti možnost, da določijo strožja pravila od tistih, ki jih predvideva ta direktiva. |
| (9) | The smooth operation of the internal market requires not only legal rules but also close and regular cooperation and significantly enhanced convergence of regulatory and supervisory practices between the competent authorities of the Member States. | (9) | Za nemoteno delovanje notranjega trga sta poleg zakonskih pravil potrebna tudi tesno in stalno sodelovanje ter znatno okrepljena konvergenca regulatornih in nadzorniških praks med pristojnimi organi držav članic. |
| (10) | The Commission Communication of 11 May 1999 entitled ‘Implementing the framework for financial markets: Action Plan’ listed a number of goals that need to be achieved in order to complete the internal market in financial services. The Lisbon European Council of 23 and 24 March 2000 set the goal of implementing the action plan by 2005. Recasting of the provisions on own funds is a key element of the action plan. | (10) | V sporočilu Komisije z dne 11. maja 1999 z naslovom ”Izvajanje okvira za finančni trg: akcijski načrt”, so navedeni različni cilji, ki jih je treba uresničiti za dokončno vzpostavitev notranjega trga. Evropski svet je v Lizboni dne 23. in 24. marca 2000 določil cilj, da je treba akcijski načrt uresničiti do leta 2005. Nova različica določb o lastnih sredstvih je bistvena sestavina akcijskega načrta. |
| (11) | Since investment firms face in respect of their trading book business the same risks as credit institutions, it is appropriate for the pertinent provisions of Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (6) to apply equally to investment firms. | (11) | Ker se investicijska podjetja pri svojih poslih trgovanja soočajo z enakimi tveganji kot kreditne institucije, je ustrezno, da se zadevne določbe Direktive 2006/48/ES Evropskega parlamenta in Sveta z dne 14. junij 2006 o začetku opravljanja in opravljanju dejavnosti kreditnih institucij (6) na enak način uporabljajo tudi za investicijska podjetja. |
| (12) | The own funds of investment firms or credit institutions (hereinafter referred to collectively as ‘institutions’) can serve to absorb losses which are not matched by a sufficient volume of profits, to ensure the continuity of institutions and to protect investors. The own funds also serve as an important yardstick for the competent authorities, in particular for the assessment of the solvency of institutions and for other prudential purposes. Furthermore, institutions, engage in direct competition with each other in the internal market. Therefore, in order to strengthen the Community financial system and to prevent distortions of competition, it is appropriate to lay down common basic standards for own funds. | (12) | Lastna sredstva investicijskih podjetij ali kreditnih institucij (v nadaljevanju skupaj ”institucije”) omogočajo absorpcijo izgub, ki niso pokrite z zadostnim dobičkom, za zagotovitev kontinuitete institucij in zaščito investitorjev. Lastna sredstva se tudi uporabljajo kot pomembno merilo za pristojne organe, predvsem pri ocenjevanju solventnosti institucij in za druge namene preudarnega ravnanja. Poleg tega si na notranjem trgu institucije neposredno konkurirajo druga drugi. Zato je zaradi krepitve finančnega sistema Skupnosti in preprečevanja izkrivljanja konkurence ustrezno določiti skupne osnovne standarde za lastna sredstva . |
| (13) | For the purposes of recital (12), it is appropriate for the definition of own funds as laid down in Directive 2006/48/EC to serve as a basis, and to provide for supplementary specific rules which take into account the different scope of market risk related capital requirements. | (13) | Za namene iz uvodne izjave 12 je ustrezno, da se opredelitev lastnih sredstev uporabi kot podlaga v Direktivi 2006/48/ES, in da se določijo posebna dopolnilna pravila, ki upoštevajo različne sklope tržnega tveganja, povezane s kapitalskimi zahtevami. |
| (14) | As regards credit institutions, common standards have already been established for the supervision and monitoring of different types of risks by Directive 2000/12/EC. | (14) | V zvezi s kreditnimi institucijami so bili že določeni skupni standardi za nadzor in spremljanje različnih vrst tveganj z Direktivo 2000/12/ES. |
| (15) | In that respect, the provisions on minimum capital requirements should be considered in conjunction with other specific instruments which also harmonise the fundamental techniques of the supervision of institutions. | (15) | S tega vidika bi bilo treba določbe o minimalnih kapitalskih zahtevah upoštevati v povezavi z drugimi posebnimi instrumenti, ki so prav tako namenjeni usklajevanju temeljnih tehnik nadzora institucij. |
| (16) | It is necessary to develop common standards for market risks incurred by credit institutions and provide a complementary framework for the supervision of the risks incurred by institutions, in particular market risks, and more especially position risks, counterparty/settlement risks and foreign-exchange risks. | (16) | Treba je razviti skupne standarde za tveganja na trgu, ki izhajajo iz poslovanja kreditnih institucij, in določiti dopolnilni okvir za nadzor nad tveganji, ki izhajajo iz poslovanja institucij, zlasti tveganj na trgu, in podrobneje pozicijskih tveganj, tveganj neizpolnitve nasprotne stranke in valutnih tveganj. |
| (17) | It is necessary to provide for the concept of a ‘trading book’ comprising positions in securities and other financial instruments which are held for trading purposes and which are subject mainly to market risks and exposures relating to certain financial services provided to customers. | (17) | Potrebno je določiti pristop ”trgovalne knjige”, ki vključuje pozicije v vrednostnih papirjih in ostalih finančnih instrumentih za namene trgovanja, in ki so predmet zlasti tveganj na trgu in izpostavljenosti v zvezi z določenimi finančnimi storitvami za stranke. |
| (18) | With a view to reducing the administrative burden for institutions with negligible trading-book business in both absolute and relative terms, such institutions should be able to apply Directive 2006/48/EC, rather than the requirements laid down in Annexes I and II to this Directive. | (18) | S ciljem zmanjšati upravne ovire institucij z zanemarljivimi trgovinskimi posli tako v absolutnem kot relativnem pomenu, naj bi te institucije namesto zahtev iz Prilog I in II k tej direktivi uporabile Direktivo 2006/48/ES. |
| (19) | It is important that monitoring of settlement/delivery risks should take account of the existence of systems offering adequate protection reducing those risks. | (19) | Pomembno je, da naj bi spremljanje tveganj izpolnitve upoštevalo obstoj sistemov z ustrezno zaščito, ki zmanjšuje ta tveganja. |
| (20) | In any case, institutions should comply with this Directive as regards the coverage of the foreign-exchange risks on their overall business. Lower capital requirements should be imposed for positions in closely correlated currencies, whether statistically confirmed or arising out of binding intergovernmental agreements. | (20) | Institucije naj bi v vsakem primeru upoštevale določbe te direktive glede kritja valutnih tveganj celotnega poslovanja. Uvedle naj bi se nižje kapitalske zahteve za pozicije v tesno soodvisnih valutah, ki so bodisi statistično potrjene bodisi izhajajo iz medvladnih sporazumov. |
| (21) | The capital requirements for commodity dealers, including those dealers currently exempt from the requirements of Directive 2004/39/EC, will be reviewed as appropriate in conjunction with the review of that exemption as set out in Article 65(3) of that Directive. | (21) | Kapitalske zahteve za trgovce z blagom, vključno s tistimi trgovci, ki so trenutno izvzeti iz zahtev Direktive 2004/39/ES, bodo po potrebi skupaj s pregledom zgoraj omenjenega izvzetja pregledane v skladu s členom 65(3) navedene direktive. |
| (22) | The goal of liberalisation of gas and electricity markets is both economically and politically important for the Community. With this in mind, the capital requirements and other prudential rules to be applied to firms active in those markets should be proportionate and should not unduly interfere with achievement of the goal of liberalisation. This goal should, in particular, be kept in mind when the reviews referred to in recital 21 are carried out. | (22) | Cilj liberalizacije trgov plina in električne energije je tako gospodarsko kot tudi politično pomemben za Skupnost. Zato morajo biti kapitalske zahteve in druga pravila nadzora, ki jih morajo upoštevati podjetja, dejavna na teh trgih, sorazmerna in ne smejo zavirati uresničevanja cilja liberalizacije. Ta cilj je treba upoštevati zlasti pri izvajanju pregledov iz uvodne izjave 21. |
| (23) | The existence of internal systems for monitoring and controlling interest-rate risks on all business of institutions is a particularly important way of minimising such risks. Consequently, such systems should be supervised by the competent authorities. | (23) | Obstoj notranjih sistemov za spremljanje in nadzor tveganj sprememb obrestne mere celotnega poslovanja institucij je posebej pomemben način zmanjševanja takšnih tveganj. Takšne sisteme naj bi nadzorovali pristojni organi. |
| (24) | Since Directive 2006/48/EC does not establish common rules for the monitoring and control of large exposures in activities which are principally subject to market risks, it is therefore appropriate to provide for such rules. | (24) | Ker Direktiva 2006/48/ES ne vzpostavlja skupnih pravil za spremljanje in nadzor velikih izpostavljenosti v dejavnostih, ki so zlasti predmet tveganj na trgu, bi bilo ustrezno določiti taka pravila. |
| (25) | Operational risk is a significant risk faced by institutions and requires coverage by own funds. It is essential to take account of the diversity of institutions in the EU by providing alternative approaches. | (25) | Operativno tveganje je pomembno tveganje, s katerim se soočajo kreditne institucije, in zahteva kritje z lastnimi sredstvi. Ob tem je pomembno upoštevati raznolikost institucij v EU tako, da se zagotovijo različni pristopi. |
| (26) | Directive 2006/48/EC states the principle of consolidation. It does not establish common rules for the consolidation of financial institutions which are involved in activities principally subject to market risks. | (26) | Direktiva 2006/48/ES določa načelo konsolidacije. Ne vzpostavlja skupnih pravil za konsolidacijo finančnih institucij, ki se ukvarjajo z dejavnostmi, ki so pretežno predmet tveganj na trgu. |
| (27) | In order to ensure adequate solvency of institutions within a group, it is essential that the minimum capital requirements apply on the basis of the consolidated financial situation of the group. In order to ensure that own funds are appropriately distributed within the group and are available to protect investments where needed, the minimum capital requirements should apply to individual institutions within a group, unless this objective can be effectively achieved by other means. | (27) | Za zagotovitev primerne solventnosti institucij znotraj skupine, je bistveno, da se minimalne kapitalske zahteve upoštevajo na podlagi konsolidiranega finančnega stanja skupine. Za zagotovitev ustrezne razporeditve in razpoložljivosti lastnih sredstev znotraj skupine za namene zavarovanje investicij tam, kjer je potrebno, bi morale minimalne kapitalske zahteve veljati za posamezne institucije znotraj skupine, razen če je ta cilj možno učinkovito doseči na drugačen način. |
| (28) | Directive 2006/48/EC does not apply to groups which include one or more investment firms but no credit institutions. A common framework for the introduction of the supervision of investment firms on a consolidated basis should therefore be provided for. | (28) | Direktiva 2006/48/ES se ne uporablja za skupine, ki vključujejo eno ali več investicijskih podjetij in nobene kreditne institucije. Zato naj se določi skupni okvir za uvedbo nadzora investicijskih podjetij na konsolidirani osnovi. |
| (29) | Institutions should ensure that they have internal capital which, having regard to the risks to which they are or might be exposed, is adequate in quantity, quality and distribution. Accordingly, institutions should have strategies and processes in place for assessing and maintaining the adequacy of their internal capital. | (29) | Institucije bi morale zagotoviti notranji kapital, ki je glede na tveganja, katerim so ali bi lahko bile izpostavljene, primeren po obsegu, kvaliteti in razporejenosti. V skladu s tem bi institucije morale imeti strategije in procese za ocenjevanje in ohranjevanje ustreznosti svojega notranjega kapitala. |
| (30) | Competent authorities should evaluate the adequacy of own funds of institutions, having regard to the risks to which the latter are exposed. | (30) | Pristojni organi naj bi ocenili ustreznost lastnih sredstev institucij, ob upoštevanju tveganj, katerim so slednje izpostavljene. |
| (31) | In order for the internal banking market to operate effectively, the Committee of European Banking Supervisors should contribute to the consistent application of this Directive and to the convergence of supervisory practices throughout the Community, and should report on a yearly basis to the Community Institutions on progress made. | (31) | Da bi notranji bančni trg učinkovito deloval, bi moral Odbor evropskih bančnih nadzornikov prispevati k dosledni uporabi te direktive in zbliževanju nadzornih praks na celotnem ozemlju Skupnosti ter institucijam Skupnosti vsako leto poročati o napredku. |
| (32) | In order for the internal market to operate with increasing effectiveness it is essential that there should be significantly enhanced convergence in the implementation and application of the provisions of harmonising Community legislation. | (32) | Da bi notranji trg deloval vedno bolj učinkovito je bistvena znatna okrepitev konvergence pri izvajanju in uporabi določb usklajevalne zakonodaje Skupnosti. |
| (33) | For the same reason, and to ensure that Community institutions which are active in several Member States are not disproportionately burdened as a result of the continued responsibilities of individual Member State competent authorities for authorisation and supervision, it is essential significantly to enhance the cooperation between competent authorities. In this context the role of the consolidating supervisor should be strengthened. | (33) | Iz istega razloga ter zato, da se zagotovi, da institucije Skupnosti, ki so dejavne v več državah članicah, niso nesorazmerno obremenjene zaradi neprekinjenih pristojnosti pristojnih organov posameznih držav članic za izdajanje dovoljenj in nadzor, je nujno, da se znatno okrepi sodelovanje med pristojnimi organi. V tem okviru bi bilo treba okrepiti vlogo konsolidiranega nadzornika. |
| (34) | In order for the internal market to operate with increasing effectiveness and for citizens of the Union to be afforded adequate levels of transparency, it is necessary that competent authorities disclose publicly and in a way which allows for meaningful comparison the manner in which the requirements of this Directive are implemented. | (34) | Da bi notranji trg deloval vedno bolj učinkovito in da bi bile državljanom Unije zagotovljene primerne stopnje preglednosti morajo pristojni organi javno in na način, ki omogoča smiselno primerjavo, razkriti način izvajanja zahtev te direktive. |
| (35) | In order to strengthen market discipline and stimulate institutions to improve their market strategy, risk control and internal management organisation, appropriate public disclosures by institutions should be provided for. | (35) | Da bi okrepili tržno disciplino in spodbujali institucije, naj izboljšajo svojo tržno strategijo, kontrolo tveganj in notranjo upravno organizacijo, bi bilo treba predvideti primerno javno razkritje institucij. |
| (36) | The measures necessary for the implementation of this Directive should be adopted in accordance with Council Decision 1999/468/EC of 28 June 1999 laying down the procedures for the exercise of implementing powers conferred on the Commission (7). | (36) | Ukrepe, potrebne za izvajanje te direktive, je treba sprejeti v skladu s Sklepom Sveta 1999/468/ES z dne 28. junija 1999 o določitvi postopkov za uresničevanje Komisiji podeljenih izvedbenih pooblastil (7). |
| (37) | In its Resolution of 5 February 2002 on the implementation of financial services legislation (8), the Parliament requested that the Parliament and the Council should have an equal role in supervising the way in which the Commission exercises its executive role in order to reflect the legislative powers of Parliament under Article 251 of the Treaty. In the solemn declaration made before the Parliament the same day, by its President, the Commission supported this request. On 11 December 2002, the Commission proposed amendments to Decision 1999/468/EC and then submitted an amended proposal on 22 April 2004. The Parliament considers that this proposal does not preserve its legislative prerogatives. In the Parliament's view, the Parliament and the Council should have the opportunity of evaluating the conferral of implementing powers on the Commission within a determined period. It is therefore appropriate to limit the period during which the Commission may adopt implementing measures. | (37) | V Resoluciji z dne 5. februarja 2002 o izvajanju zakonodaje o finančnih storitvah (8) je Parlament izrazil željo, da bi Parlament in Svet imela enakovredno vlogo pri nadzoru delovanja Komisije kot izvršnega organa, s čemer bi bilo Parlamentu omogočeno izvajanje zakonodajnih pooblastil, opredeljenih v členu 251 Pogodbe. V slovesni izjavi, ki jo je istega dne pred Parlamentom podal njegov predsednik, je Komisija podprla izraženo željo Parlamenta. 11. decembra 2002 je Komisija predlagala spremembe Sklepa 1999/468/ES in nato predložila spremenjeni predlog 22. aprila 2004. Parlament meni, da njegova zakonodajna pooblastila v tem predlogu niso zagotovljena. Parlament meni, da bi Parlament in Svet morala imeti možnost, da v opredeljenem obdobju opravita oceno prenosa izvršnih pooblastil na Komisijo. V tem smislu je primerno, da se omeji obdobje, v katerem Komisija lahko sprejema izvedbene ukrepe. V tem smislu je primerno, da se omeji obdobje, v katerem Komisija lahko sprejema izvedbene ukrepe. |
| (38) | The Parliament should be given a period of three months from the first transmission of draft amendments and implementing measures to allow it to examine them and to give its opinion. However, in urgent and duly justified cases, it should be possible to shorten this period. If, within that period, a resolution is adopted by the Parliament, the Commission should re-examine the draft amendments or measures. | (38) | Evropski parlament bi moral imeti tri mesece časa od prvega prejema osnutka predlogov sprememb in izvedbenih ukrepov za njihovo preučitev in oblikovanje mnenja. V nujnih in ustrezno utemeljenih primerih bi bilo možno ta čas skrajšati. Če pa Parlament v tem času sprejme resolucijo, bi morala Komisija osnutek predlogov ali ukrepov ponovno preučiti. |
| (39) | In order to avoid disruption to markets and to ensure continuity in overall levels of own funds, it is appropriate to provide for specific transitional arrangements. | (39) | Za preprečevanje motenj na trgih in zagotavljanje kontinuitete v skupnih stopnjah lastnih sredstev je primerno, da se predvidijo posebne prehodne ureditve. |
| (40) | This Directive respects fundamental rights and observes the principles recognised in particular by the Charter of Fundamental Rights of the European Union as general principles of Community law. | (40) | Ta direktiva upošteva temeljne pravice in spoštuje načela, priznana zlasti z Listino temeljnih pravic Evropske unije, kot splošna načela zakonodaje Skupnosti. |
| (41) | The obligation to transpose this Directive into national law should be confined to those provisions that represent a substantive change compared to earlier directives. The obligation to transpose the provisions that remain unchanged exists under the earlier directives. | (41) | Obveznost prenosa te direktive v nacionalno zakonodajo bi morala biti omejena na tiste določbe, ki predstavljajo znatno spremembo v primerjavi s predhodnimi direktivami. Obveznost prenosa določb, ki ostajajo nespremenjene, izhaja iz predhodnih direktiv. |
| (42) | This Directive should be without prejudice to the obligations of the Member States relating to the time-limits for transposition into national law of the Directives set out in Part B of Annex VIII, | (42) | Ta direktiva ne bi smela posegati v obveznosti držav članic v zvezi z roki za prenos direktiv v nacionalno zakonodajo, ki so navedeni v delu B Priloge VIII – |
| HAVE ADOPTED THIS DIRECTIVE: | SPREJELA NASLEDNJO DIREKTIVO: |
| CHAPTER I | POGLAVJE I |
| Subject matter, scope and definitions | Predmet urejanja, področje uporabe in opredelitev pojmov |
| Section 1 | Oddelek 1 |
| Subject matter and scope | Predmet urejanja in področje uporabe |
| Article 1 | Člen 1 |
| 1. This Directive lays down the capital adequacy requirements applying to investment firms and credit institutions, the rules for their calculation and the rules for their prudential supervision. Member States shall apply the requirements of this Directive to investment firms and credit institutions as defined in Article 3. | 1. Ta direktiva določa zahteve kapitalske ustreznosti, ki se uporabljajo za investicijska podjetja in kreditne institucije, pravila za njihov izračun in pravila za njihov bonitetni nadzor. Države članice zahteve iz te direktive uporabljajo za investicijska podjetja in kreditne institucije, kakor so opredeljene v členu 3. |
| 2. A Member State may impose additional or more stringent requirements on those investment firms and credit institutions that it has authorised. | 2. Država članica lahko investicijskim podjetjem in kreditnim institucijam, ki jih je pooblastila, naloži dodatne ali strožje zahteve. |
| Article 2 | Člen 2 |
| 1. Subject to Articles 18, 20, 22 to 32, 34 and 39 of this Directive, Articles 68 to 73 of Directive 2006/48/EC shall apply mutatis mutandis to investment firms. In applying Articles 70 to 72 of Directive 2006/48/EC to investment firms, every reference to a parent credit institution in a Member State shall be construed as a reference to a parent investment firm in a Member State and every reference to an EU parent credit institution shall be construed as a reference to an EU parent investment firm. | 1. V skladu s členi 18, 20, 22 do 32, 34 in 39 te direktive se členi 68 do 73 Direktive 2006/48/ES smiselno uporabljajo za investicijska podjetja. Pri uporabi členov 70 do 72 Direktive 2006/48/ES o investicijskih podjetjih se vsako sklicevanje na nadrejeno kreditno institucijo v državi članici razume kot sklicevanje na nadrejeno investicijsko podjetje v državi članici in vsako sklicevanje na nadrejeno kreditno institucijo EU kot sklicevanje na nadrejeno investicijsko podjetje EU. |
| Where a credit institution has as a parent undertaking a parent investment firm in a Member State, only that parent investment firm shall be subject to requirements on a consolidated basis in accordance with Articles 71 to 73 of Directive 2006/48/EC. | Kadar ima kreditna institucija kot nadrejena družba nadrejeno investicijsko podjetje v državi članici, potem zahteve na konsolidirani osnovi v skladu s členi 71 do 73 Direktive 2006/48/ES veljajo izključno za to nadrejeno investicijsko podjetje. |
| Where an investment firm has as a parent undertaking a parent credit institution in a Member State, only that parent credit institution shall be subject to requirements on a consolidated basis in accordance with Articles 71 to 73 of Directive 2006/48/EC. | Kadar ima investicijsko podjetje kot nadrejena družba nadrejeno kreditno institucijo v državi članici, potem zahteve na konsolidirani osnovi v skladu s členi 71 do 73 Direktive 2006/48/ES veljajo izključno za to nadrejeno kreditno institucijo. |
| Where a financial holding company has as a subsidiary both a credit institution and an investment firm, requirements on the basis of the consolidated financial situation of the financial holding company shall apply to the credit institution. | Kadar ima finančni holding kot podrejena družba tako kreditno institucijo kot investicijsko podjetje, se za kreditno institucijo uporabljajo zahteve na podlagi konsolidiranega finančnega stanja finančnega holdinga. |
| 2. When a group covered by paragraph 1 does not include a credit institution, Directive 2006/48/EC shall apply, subject to the following: | 2. Če skupina iz odstavka 1 ne vključuje kreditne institucije, se uporabi Direktiva 2006/48/ES v skladu z naslednjim: |
| (a) | every reference to credit institutions shall be construed as a reference to investment firms; | (a) | vsako sklicevanje na kreditne institucije se nadomesti s sklicevanjem na investicijska podjetja; |
| (b) | in Articles 125 and 140(2) of Directive 2006/48/EC, each reference to other articles of that Directive shall be construed as a reference to Directive 2004/39/EC; | (b) | v členih 125 in 140(2) Direktive 2006/48/ES se vsako sklicevanje na druge člene navedene direktive razlaga kot sklicevanje na Direktivo 2004/39/ES; |
| (c) | for the purposes of Article 39(3) of Directive 2006/48/EC, references to the European Banking Committee shall be construed as references to the Council and the Commission; and | (c) | za namene člena 39(3) Direktive 2006/48/ES se sklicevanje na Evropski odbor za bančništvo razlaga kot sklicevanje na Svet in Komisijo; in |
| (d) | by way of derogation from Article 140(1) of Directive 2006/48/EC, where a group does not include a credit institution, the first sentence of that Article shall be replaced by the following: ‘Where an investment firm, a financial holding company or a mixed-activity holding company controls one or more subsidiaries which are insurance companies, the competent authorities and the authorities entrusted with the public task of supervising insurance undertakings shall cooperate closely’. | (d) | z odstopanjem od člena 140(1) Direktive 2006/48/ES in kadar skupina ne vključuje kreditne institucije, se prvi stavek navedenega člena nadomesti z naslednjim: ”Če investicijsko podjetje, finančni holding ali mešani holding obvladuje eno ali več podrejenih družb, ki so zavarovalne družbe, pristojni organi in organi, pooblaščeni za izvajanje naloge nadzorovanja zavarovalnih družb, tesno sodelujejo.”. |
| Section 2 | Oddelek 2 |
| Definitions | Opredelitev pojmov |
| Article 3 | Člen 3 |
| 1. For the purposes of this Directive the following definitions shall apply: | 1. V tej direktivi se uporabljajo naslednje opredelitve pojmov: |
| (a) | ‘credit institutions’ means credit institutions as defined in Article 4(1) of Directive 2006/48/EC; | (a) | ”kreditne institucije” pomenijo kreditne institucije, kakor so opredeljene v členu 4(1) Direktive 2006/48/ES; |
| (b) | ‘investment firms’ means institutions as defined in Article 4(1)(1) of Directive 2004/39/EC, which are subject to the requirements imposed by that Directive, excluding: | (i) | credit institutions; | (ii) | local firms as defined in point (p); and | (iii) | firms which are only authorised to provide the service of investment advice and/or receive and transmit orders from investors without holding money or securities belonging to their clients and which for that reason may not at any time place themselves in debt with those clients; | (b) | ”investicijska podjetja” pomenijo institucije, kakor so opredeljene v členu 4(1)(1) Direktive 2004/39/ES, za katere veljajo zahteve, določene z navedeno direktivo, z izjemo: | (i) | kreditnih institucij; | (ii) | lokalnih podjetij, kakor so opredeljene v točki (p); in | (iii) | podjetij, ki so zgolj pooblaščena za opravljanje storitve investicijskega svetovanja in/ali sprejemajo in posredujejo naročila investitorjev, brez posedovanja denarja ali vrednostnih papirjev strank, in ki zaradi tega ne morejo stopiti v dolžniško razmerje s svojimi strankami; |
| (c) | ‘institutions’ means credit institutions and investment firms; | (c) | ”institucije” pomenijo kreditne institucije in investicijska podjetja; |
| (d) | ‘recognised third-country investment firms’ means firms meeting the following conditions: | (i) | firms which, if they were established within the Community, would be covered by the definition of investment firm; | (ii) | firms which are authorised in a third country; and | (iii) | firms which are subject to and comply with prudential rules considered by the competent authorities as at least as stringent as those laid down by this Directive; | (d) | ”priznana investicijska podjetja tretje države” pomenijo podjetja, ki izpolnjujejo naslednje pogoje: | (i) | podjetja, ki bi, če bi bile ustanovljene znotraj Skupnosti, spadale v okvir opredelitve investicijskega podjetja; | (ii) | podjetja, ki so pridobila dovoljenje za opravljanje storitev v tretji državi; in | (iii) | podjetja, za katere veljajo pravila, ki so pred pristojnimi organi vsaj tako stroga kot tista, določena v tej direktivi; |
| (e) | ‘financial instruments’ means any contract that gives rise to both a financial asset of one party and a financial liability or equity instrument of another party; | (e) | ”finančni instrumenti” pomenijo pogodbe, ki eni stranki prinašajo finančno terjatev, drugi stranki pa finančno obveznost ali lastniški instrument; |
| (f) | ‘parent investment firm in a Member State’ means an investment firm which has an institution or financial institution as a subsidiary or which holds a participation in one or both such entities, and which is not itself a subsidiary of another institution authorised in the same Member State or of a financial holding company set up in the same Member State; | (f) | ”nadrejeno investicijsko podjetje v državi članici” pomeni investicijsko podjetje, ki ima kot podrejeno družbo institucijo ali finančno institucijo ali udeležbo v eni ali obeh takih družbah, in ki sama ni podrejena družba druge institucije z dovoljenjem za opravljanje storitev v isti državi članici, ali finančni holding, ustanovljen v isti državi članici; |
| (g) | ‘EU parent investment firm’ means a parent investment firm in a Member State which is not a subsidiary of another institution authorised in any Member State or of a financial holding company set up in any Member State; | (g) | ”nadrejeno investicijsko podjetje EU” pomeni nadrejeno investicijsko podjetje v državi članici, ki ni podrejena družba druge institucije z dovoljenjem za opravljanje storitev v kateri koli državi članici, ali finančni holding, ustanovljen v kateri koli državi članici; |
| (h) | ‘over-the-counter (OTC) derivative instruments’ means the items falling within the list in Annex IV to Directive 2006/48/EC other than those items to which an exposure value of zero is attributed under point 6 of Part 2 of Annex III to that Directive; | (h) | ”izvedeni finančni instrumenti, s katerimi se trguje izven organiziranega trga (OTC)” pomenijo finančne instrumente, ki spadajo v seznam Priloge IV k Direktivi 2006/48/ES, razen tistih, katerim se dodeli vrednost izpostavljenosti nič v skladu z odstavkom 6 dela 2 Priloge III k navedeni direktivi; |
| (i) | ‘regulated market’ means a market as defined in Article 4(1)(14) of Directive 2004/39/EC; | (i) | ”organizirani trg” pomeni trg, kakor je opredeljen v členu 4(1)(14) Direktive 2004/39/ES; |
| (j) | ‘convertible’ means a security which, at the option of the holder, may be exchanged for another security; | (j) | ”zamenljiv vrednostni papir” pomeni vrednostni papir, ki se lahko po izbiri imetnika zamenja za drugi vrednostni papir; |
| (k) | ‘warrant’ means a security which gives the holder the right to purchase an underlying asset at a stipulated price until or at the expiry date of the warrant and which may be settled by the delivery of the underlying itself or by cash settlement; | (k) | ”nakupni bon” pomeni vrednostni papir, ki imetniku daje pravico, da do dne ali na dan zapadlosti nakupnega bona po vnaprej določeni ceni kupi osnovni instrument . Poravnava se lahko izvede bodisi z izročitvijo osnovnega instrumenta bodisi z denarnimi sredstvi; |
| (l) | ‘stock financing’ means positions where physical stock has been sold forward and the cost of funding has been locked in until the date of the forward sale; | (l) | ”financiranje zalog” pomeni pozicije, ko se zaloge terminsko prodajo in se stroški financiranja vežejo do dne terminske prodaje; |
| (m) | ‘repurchase agreement’ and ‘reverse repurchase agreement’ mean any agreement in which an institution or its counterparty transfers securities or commodities or guaranteed rights relating to title — to securities or commodities where that guarantee is issued by a recognised exchange which holds the rights to the securities or commodities and the agreement does not allow an institution to transfer or pledge a particular security or commodity to more than one counterparty at one time, subject to a commitment to repurchase them — or substituted securities or commodities of the same description — at a specified price on a future date specified, or to be specified, by the transferor, being a repurchase agreement for the institution selling the securities or commodities and a reverse repurchase agreement for the institution buying them; | (m) | ”posel začasne prodaje” in ”začasnega nakupa” pomenita vsak posel, s katerim institucija ali njena nasprotna stranka prenese vrednostne papirje ali blago ali zajamčene pravice do vrednostnih papirjev ali blaga, če to jamstvo izda priznana borza, s pravicami do teh vrednostnih papirjev in blaga in če dogovor ne dopušča instituciji, da bi prenesla ali zastavila določen vrednostni papir ali določeno blago več kot eni nasprotni stranki hkrati, pod obvezo, da jih ponovno odkupi – ali nadomestne vrednostne papirje ali blago iste vrste – po določeni ceni na določen dan v prihodnosti, ali ki bo določen s strani prenosnika, pri čemer gre v primeru institucije, ki prodaja vrednostne papirje ali blago za pogodbo o prodaji in povratnem nakupu, in v primeru institucije, ki kupuje vrednostne papirje, za pogodbo o odkupu in povratni prodaji; |
| (n) | ‘securities or commodities lending’ and ‘securities or commodities borrowing’ mean any transaction in which an institution or its counterparty transfers securities or commodities against appropriate collateral, subject to a commitment that the borrower will return equivalent securities or commodities at some future date or when requested to do so by the transferor, that transaction being securities or commodities lending for the institution transferring the securities or commodities and being securities or commodities borrowing for the institution to which they are transferred; | (n) | ”posel posoje vrednostnih papirjev ali blaga” in ”posel izposoje vrednostnih papirjev ali blaga” pomenita transakciji, pri kateri institucija ali njena nasprotna stranka prenese vrednostne papirje ali blago ob pridobitvi ustreznega zavarovanja in kjer se izposojevalec zaveže vrniti enakovredne vrednostne papirje ali enakovredno blago na dogovorjen dan v prihodnosti ali na zahtevo prenosnika, pri čemer gre s strani institucije, ki prenaša vrednostne papirje ali blago za posojo vrednostnih papirjev ali blaga, in s strani institucije, na katero se ti prenesejo, za izposojo vrednostnih papirjev ali blaga; |
| (o) | ‘clearing member’ means a member of the exchange or the clearing house which has a direct contractual relationship with the central counterparty (market guarantor); | (o) | ”klirinški član” pomeni člana borze ali klirinške družbe, ki je v neposrednem pogodbenem odnosu s centralno nasprotno stranko (tržni garant); |
| (p) | ‘local firm’ means a firm dealing for its own account on markets in financial futures or options or other derivatives and on cash markets for the sole purpose of hedging positions on derivatives markets, or dealing for the accounts of other members of those markets and being guaranteed by clearing members of the same markets, where responsibility for ensuring the performance of contracts entered into by such a firm is assumed by clearing members of the same markets; | (p) | ”lokalno podjetje” pomeni podjetje, ki trguje za svoj račun s terminskimi pogodbami ali opcijami ali z drugimi izvedenimi finančnimi instrumenti ter na gotovinskih trgih izključno z namenom varovanja pred tveganji na trgih izvedenih finančnih instrumentov, ali ki posluje za račune drugih članov teh trgov in za katero jamčijo klirinški člani istih trgov, če odgovornost za zagotavljanje izvajanja sklenjenih pogodb takšnih podjetij prevzamejo klirinški člani istih trgov; |
| (q) | ‘delta’ means the expected change in an option price as a proportion of a small change in the price of the instrument underlying the option; | (q) | ”delta” pomeni pričakovano spremembo cene opcije kot dela majhne spremembe cene osnovnega finančnega instrumenta, na katerega se opcija nanaša; |
| (r) | ‘own funds’ means own funds as defined in Directive 2006/48/EC; and | (r) | ”lastna sredstva” pomenijo lastna sredstva, kakor so opredeljena v Direktivi 2006/48/ES; in |
| (s) | ‘capital’ means own funds. | (s) | ”kapital” pomeni lastna sredstva. |
| For the purposes of applying supervision on a consolidated basis, the term ‘investment firm’ shall include third-country investment firms. | Za uporabo nadzora na konsolidirani osnovi izraz ”investicijsko podjetje” vključuje investicijska podjetja iz tretjih držav. |
| For the purposes of point (e), financial instruments shall include both primary financial instruments or cash instruments and derivative financial instruments the value of which is derived from the price of an underlying financial instrument, a rate, an index or the price of another underlying item, and include as a minimum the instruments specified in Section C of Annex I to Directive 2004/39/EC. | Za namene točke (e), finančni instrumenti vključujejo tako osnovne finančne instrumente ali denarne instrumente kot izvedene finančne instrumente, katerih vrednost je vezana na ceno osnovnega finančnega instrumenta ali tečaj ali indeks ali ceno druge osnovne postavke, in vključuje najmanj instrumente, navedene v oddelku C Priloge I k Direktivi 2004/39/ES. |
| 2. The terms ‘parent undertaking’, ‘subsidiary undertaking’, ‘asset management company’ and ‘financial institution’ shall cover undertakings defined in Article 4 of Directive 2006/48/EC. | 2. Izrazi ”nadrejena družba”, ”podrejena družba”, ”družba za upravljanje” in ”finančna institucija” zajemajo podjetja, opredeljena kot taka v členu 4 Direktive 2006/48/ES. |
| The terms ‘financial holding company’, ‘parent financial holding company in a Member State’, ‘EU parent financial holding company’ and ‘ancillary services undertaking’ shall cover undertakings defined in Article 4 of Directive 2006/48/EC, save that every reference to credit institutions shall be read as a reference to institutions. | Izrazi ”finančni holding”, ”nadrejeni finančni holding v državi članici”, ”nadrejeni finančni holding EU” in ”družba za pomožne storitve” zajemajo podjetja, opredeljena kot taka v členu 4 Direktive 2006/48/ES, pri čemer se vsako sklicevanje na kreditne institucije razume kot sklicevanje na institucije. |
| 3. For the purposes of applying Directive 2006/48/EC to groups covered by Article 2(1) which do not include a credit institution, the following definitions shall apply: | 3. Za namene uporabe Direktive 2006/48/ES za skupine, zajete v členu 2(1), ki ne vključujejo kreditne institucije, se uporabljajo naslednje opredelitve pojmov: |
| (a) | ‘financial holding company’ means a financial institution the subsidiary undertakings of which are either exclusively or mainly investment firms or other financial institutions, at least one of which is an investment firm, and which is not a mixed financial holding company within the meaning of Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate (9); | (a) | ”finančni holding” pomeni finančno institucijo, katere podrejene družbe so izključno ali pretežno investicijska podjetja ali druge finančne institucije, med katerimi je najmanj ena investicijsko podjetje, in ki ni mešani finančni holding v smislu Direktive 2002/87/ES Evropskega parlamenta in Sveta z dne 16. decembra 2002 o dopolnilnem nadzoru kreditnih institucij, zavarovalnic in investicijskih podjetij v finančnem konglomeratu (9); |
| (b) | ‘mixed-activity holding company’ means a parent undertaking, other than a financial holding company or an investment firm or a mixed financial holding company within the meaning of Directive 2002/87/EC, the subsidiaries of which include at least one investment firm; and | (b) | ”mešani poslovni holding” pomeni nadrejeno družbo, ki ni finančni holding ali investicijsko podjetje ali mešani finančni holding v smislu Direktive 2002/87/ES, katerega podrejene družbe zajemajo najmanj eno investicijsko podjetje; in |
| (c) | ‘competent authorities’ means the national authorities which are empowered by law or regulation to supervise investment firms. | (c) | ”pristojni organi” pomenijo nacionalne organe, ki so z zakonom ali podzakonskim aktom pooblaščeni za nadzorovanje investicijskih podjetij. |
| CHAPTER II | POGLAVJE II |
| Initial capital | Ustanovitveni kapital |
| Article 4 | Člen 4 |
| For the purposes of this Directive, ‘initial capital’ shall be comprised of the items referred to in Article 57(a) and (b) of Directive 2006/48/EC. | V tej direktivi ”začetni kapital” vključuje postavke iz člena 57(a) in (b) Direktive 2006/48/ES. |
| Article 5 | Člen 5 |
| 1. An investment firm that does not deal in any financial instruments for its own account or underwrite issues of financial instruments on a firm commitment basis, but which holds clients' money and/or securities and which offers one or more of the following services, shall have initial capital of EUR 125 000: | 1. Investicijsko podjetje, ki ne posluje s finančnimi instrumenti za lasten račun ali prevzema izdajo finančnih instrumentov z obveznostjo nakupa, vendar ki upravljajo z denarjem strank in/ali vrednostnimi papirji in ki ponujajo eno ali več izmed naslednjih storitev, ima ustanovitveni kapital v višini 125 000 EUR za: |
| (a) | the reception and transmission of investors' orders for financial instruments; | (a) | sprejemanje in prenos naročil vlagateljev za finančne instrumente; |
| (b) | the execution of investors' orders for financial instruments; or | (b) | izvedbo naročil vlagateljev za finančne instrumente; ali |
| (c) | the management of individual portfolios of investments in financial instruments. | (c) | upravljanje posameznih portfeljev naložb v finančnih instrumentih. |
| 2. The competent authorities may allow an investment firm which executes investors' orders for financial instruments to hold such instruments for its own account if the following conditions are met: | 2. Pristojni organi lahko investicijskemu podjetju, ki izvaja naročila investitorjev za finančne instrumente, dovolijo, da ima takšne instrumente na lasten račun, če so izpolnjeni naslednji pogoji: |
| (a) | such positions arise only as a result of the firm's failure to match investors' orders precisely; | (a) | takšne pozicije nastanejo zgolj kot posledica neuspeha družbe, da popolnoma natančno izpolni naročila investitorjev; |
| (b) | the total market value of all such positions is subject to a ceiling of 15 % of the firm's initial capital; | (b) | skupna tržna vrednost vseh takšnih pozicij je predmet praga, ki znaša 15 % ustanovitvenega kapitala družbe; |
| (c) | the firm meets the requirements laid down in Articles 18, 20 and 28; and | (c) | družba izpolnjuje zahteve, določene v členih 18, 20 in 28; in |
| (d) | such positions are incidental and provisional in nature and strictly limited to the time required to carry out the transaction in question. | (d) | takšne pozicije so po naravi naključni in začasni ter strogo omejeni na čas, ki je potreben za izvedbo transakcije. |
| The holding of non-trading-book positions in financial instruments in order to invest own funds shall not be considered as dealing in relation to the services set out in paragraph 1 or for the purposes of paragraph 3. | Posedovanje pozicij, ki ne izhajajo iz trgovalne knjige, v finančnih instrumentih za namen investiranja lastnih sredstev se ne šteje za opravljanje storitev iz odstavka 1 ali storitev iz odstavka 3. |
| 3. Member States may reduce the amount referred to in paragraph 1 to EUR 50 000 where a firm is not authorised to hold clients' money or securities, to deal for its own account, or to underwrite issues on a firm commitment basis. | 3. Države članice lahko znižajo znesek iz odstavka 1 na 50 000 EUR, če družba ni pooblaščena za upravljanje z denarjem ali vrednostnimi papirji strank, za opravljanje storitev na lasten račun ali izvedbo izdaje vrednostnih papirjev z obveznostjo odkupa. |
| Article 6 | Člen 6 |
| Local firms shall have initial capital of EUR 50 000 insofar as they benefit from the freedom of establishment or to provide services specified in Articles 31 and 32 of Directive 2004/39/EC. | Lokalne družbe imajo ustanovitveni kapital 50 000 EUR v kolikor uživajo svobodo ustanavljanja ali opravljanja storitev, določenih v členih 31 in 32 Direktive 2004/39/ES. |
| Article 7 | Člen 7 |
| Coverage for the firms referred to in Article 3(1)(b)(iii) shall take one of the following forms: | Družbe iz člena 3(1)(b)(iii) morajo imeti: |
| (a) | initial capital of EUR 50 000; | (a) | ustanovitveni kapital 50 000 EUR; |
| (b) | professional indemnity insurance covering the whole territory of the Community or some other comparable guarantee against liability arising from professional negligence, representing at least EUR 1 000 000 applying to each claim and in aggregate EUR 1 500 000 per year for all claims; or | (b) | zavarovanje poklicne odgovornosti, ki velja za celo ozemlje Skupnosti, ali kakšno drugo primerljivo jamstvo proti odgovornosti za poklicno malomarnost, ki pomeni vsaj 1 000 000 EUR za vsak zahtevek in skupaj 1 500 000 EUR na leto za vse zahtevke; ali |
| (c) | a combination of initial capital and professional indemnity insurance in a form resulting in a level of coverage equivalent to that referred to in points (a) or (b). | (c) | kombinacijo ustanovitvenega kapitala in zavarovanja poklicne odgovornosti v obliki, ki omogoča stopnjo kritja, enakovredno točkam (a) ali (b). |
| The amounts referred to in the first sub-paragraph shall be periodically reviewed by the Commission in order to take account of changes in the European Index of Consumer Prices as published by Eurostat, in line with and at the same time as the adjustments made under Article 4(7) of Directive 2002/92/EC of the European Parliament and of the Council of 9 December 2002 on insurance mediation (10). | Komisija periodično revidira zneske iz prvega pododstavka, da bi upoštevala spremembe evropskega indeksa cen življenjskih potrebščin, kakor ga objavlja Eurostat, v skladu in hkrati s prilagoditvami po členu 4(7) Direktive 2002/92/ES Evropskega parlamenta in Sveta z dne 9. decembra 2002 o zavarovalnem posredovanju (10). |
| Article 8 | Člen 8 |
| If a firm as referred to in Article 3(1)(b)(iii) is also registered under Directive 2002/92/EC, it shall comply with Article 4(3) of that Directive and have coverage in one of the following forms: | Če je družba iz člena 3(1)(b)(iii) registrirana tudi v skladu z Direktivo 2002/92/ES, mora izpolnjevati zahteve iz člena 4(3) navedene direktive in mora poleg tega kritje v eni od naslednjih oblik: |
| (a) | initial capital of EUR 25 000; | (a) | ustanovitveni kapital v višini 25 000 EUR; |
| (b) | professional indemnity insurance covering the whole territory of the Community or some other comparable guarantee against liability arising from professional negligence, representing at least EUR 500 000 applying to each claim and in aggregate EUR 750 000 per year for all claims; or | (b) | zavarovanje poklicne odgovornosti, ki velja za celo ozemlje Skupnosti, ali kakšno drugo primerljivo jamstvo proti odgovornosti za poklicno malomarnost, ki pomeni vsaj 500 000 EUR za vsak zahtevek in skupaj 750 000 EUR na leto za vse zahtevke; ali |
| (c) | a combination of initial capital and professional indemnity insurance in a form resulting in a level of coverage equivalent to that referred to in points (a) or (b). | (c) | kombinacijo ustanovitvenega kapitala in zavarovanja poklicne odgovornosti v obliki, ki omogoča stopnjo kritja, enakovredno točkam (a) ali (b). |
| Article 9 | Člen 9 |
| All investment firms other than those referred to in Articles 5 to 8 shall have initial capital of EUR 730 000. | Vsa investicijska podjetja, razen teh iz členov 5 do 8, imajo ustanovitveni kapital v višini 730 000 EUR. |
| Article 10 | Člen 10 |
| 1. By way of derogation from Articles 5(1), 5(3), 6 and 9, Member States may continue an authorisation of investment firms and firms covered by Article 6 which was in existence before 31 December 1995, the own funds of which firms or investment firms are less than the initial capital levels specified for them in Articles 5(1), 5(3), 6 and 9. | 1. Z odstopanjem od členov 5(1), 5(3), 6 in 9, države članice lahko še naprej izdajajo pooblastila investicijskim podjetjem in družbam iz člena 6, ki so obstajala pred 31. decembrom 1995, in katerih lastna sredstva so manjša od nivoja ustanovitvenega kapitala, ki je zanje določen v členih 5(1), 5(3), 6 in 9. |
| The own funds of such firms or investment firms shall not fall below the highest reference level calculated after the date of notification contained in Directive 93/6/EEC. That reference level shall be the average daily level of own funds calculated over a six-month period preceding the date of calculation. It shall be calculated every six months in respect of the corresponding preceding period. | Lastna sredstva takšnih družb ali investicijskih podjetij ne smejo pasti pod najvišjo referenčno stopnjo, izračunano po dnevu uradnega obvestila iz te direktive. Referenčna stopnja je povprečna dnevna stopnja lastnih sredstev, izračunana za obdobje šestih mesecev pred dnem izračuna. Referenčna stopnja se izračuna vsakih šest mesecev za ustrezno predhodno obdobje. |
| 2. If control of a firm covered by paragraph 1 is taken by a natural or legal person other than the person who controlled it previously, the own funds of that firm shall attain at least the level specified for them in Articles 5(1), 5(3), 6 and 9, except in the case of a first transfer by inheritance made after 31 December 1995, subject to the competent authorities' approval and for a period of not more than 10 years from the date of that transfer. | 2. Če obvladovanje podjetja iz odstavka 1 prevzame fizična ali pravna oseba, ki ni oseba, ki jo je predhodno obvladovala, morajo lastna sredstva tega podjetja doseči najmanj stopnjo, ki je zanjo določena v členih 5(1), 5(3), 6 in 9, razen v primeru prvega prenosa z dedovanjem po 31. decembru 1995 z odobritvijo pristojnih organov za največ 10 let po dnevu tega prenosa. |
| 3. In certain specific circumstances, and with the approval of the competent authorities, in the event of a merger of two or more investment firms and/or firms covered by Article 6, the own funds of the firm produced by the merger need not attain the level specified in Articles 5(1), 5(3), 6 and 9. Nevertheless, during any period when the level specified in Articles 5(1), 5(3), 6 and 9 has not been attained, the own funds of the new firm may not fall below the merged firms' total own funds at the time of the merger. | 3. V nekaterih posebnih okoliščinah in z odobritvijo pristojnih organov v primeru združitve dveh ali več investicijskih podjetij in/ali podjetij iz člena 6 ni potrebno, da lastna sredstva podjetja, nastalega z združitvijo, dosežejo stopnjo iz členov 5(1), 5(3), 6 in 9. Vendar pa v vsakem obdobju, v katerem niso bile dosežene stopnje členov 5(1), 5(3), 6 in 9, lastna sredstva novega podjetja ne smejo pasti pod skupne lastna sredstva združenih družb ob njihovi združitvi. |
| 4. The own funds of investment firms and firms covered by Article 6 may not fall below the level specified in Articles 5(1), 5(3), 6 and 9 and paragraphs 1 and 3 of this Article. | 4. Lastna sredstva investicijskih podjetij in družb iz člena 6 ne smejo pasti pod stopnjo iz členov 5(1), 5(3), 6 in 9 ter odstavkov (1) in (3) tega člena. |
| In the event that the own funds of such firms and investment firms fall below that level, the competent authorities may, where the circumstances justify it, allow such firms a limited period in which to rectify their situations or cease their activities. | Če pa se zgodi, da lastna sredstva teh družb in investicijskih podjetij padejo pod to stopnjo, lahko pristojni organi, kjer to opravičujejo okoliščine, takšnim družbam in podjetjem odobrijo omejeno obdobje, da popravijo nastale razmere ali prenehajo opravljati svoje dejavnosti. |
| CHAPTER III | POGLAVJE III |
| Trading book | Trgovalna knjiga |
| Article 11 | Člen 11 |
| 1. The trading book of an institution shall consist of all positions in financial instruments and commodities held either with trading intent or in order to hedge other elements of the trading book and which are either free of any restrictive covenants on their tradability or able to be hedged. | 1. Trgovalna knjiga institucije zajema vse pozicije v finančnih instrumentih in blagu, ki so namenjene trgovanju ali varovanju drugih postavk trgovalne knjige, ki morajo biti prosti vseh bremen, da se lahko z njimi prosto trguje, ali za katere obstaja možnost varovanja pred tveganji. |
| 2. Positions held with trading intent are those held intentionally for short-term resale and/or with the intention of benefiting from actual or expected short-term price differences between buying and selling prices or from other price or interest rate variations. The term ‘positions’ shall include proprietary positions and positions arising from client servicing and market making. | 2. Pozicije za namene trgovanja so tiste pozicije, ki jih institucija namerava v kratkem roku prodati in/ali katerih namen je ustvariti zaslužek iz dejanskih ali pričakovanih kratkoročnih sprememb med nakupno in prodajno ceno ali iz drugih sprememb cene ali obrestne mere. Izraz ”pozicije” zajema lastne pozicije in pozicije, ki izhajajo iz servisiranja strank ter vzdrževanja trga. |
| 3. Trading intent shall be evidenced on the basis of the strategies, policies and procedures set up by the institution to manage the position or portfolio in accordance with Part A of Annex VII. | 3. Namen trgovanja se dokaže na podlagi strategij, politik in postopkov, ki jih vzpostavi institucija za upravljanje pozicije ali portfelja v skladu z delom A Priloge VII. |
| 4. Institutions shall establish and maintain systems and controls to manage their trading book in accordance with Parts B and D of Annex VII. | 4. Institucije vzpostavijo in vzdržujejo sisteme in nadzore za upravljanje – vrednotenje svoje trgovalne knjige v skladu z delom B Priloge VII. |
| 5. Internal hedges may be included in the trading book, in which case Part C of Annex VII shall apply. | 5. V trgovalno knjigo se lahko vključijo notranja varovanja pred tveganji; v tem primeru se uporablja del C Priloge VII. |
| CHAPTER IV | POGLAVJE IV |
| Own funds | Lastna sredstva |
| Article 12 | Člen 12 |
| ‘Original own funds’ means the sum of points (a) to (c), less the sum of points (i) to (k) of Article 57 of Directive 2006/48/EC. | ”Prvotna lastna sredstva” pomenijo vsoto točk (a) do (c), od katere se odšteje vsota točk (i) do (k) člena 57 Direktive 2006/48/ES. |
| The Commission shall, by 1 January 2009,,submit an appropriate proposal to the European Parliament and to the Council for amendment of this Chapter. | Komisija do 1. januarja 2009 predloži Evropskemu parlamentu in Svetu ustrezen predlog za spremembo tega poglavja. |
| Article 13 | Člen 13 |
| 1. Subject to paragraphs 2 to 5 of this Article and Articles 14 to 17, the own funds of investment firms and credit institutions shall be determined in accordance with Directive 2006/48/EC. | 1. V skladu z odstavki 2 do 5 tega člena in členi 14 do 17 se lastna sredstva investicijskih podjetij in kreditnih institucij določijo v skladu z Direktivo 2006/48/ES. |
| In addition, the first subparagraph applies to investment firms which do not have one of the legal forms referred to in Article 1(1) of the Fourth Council Directive 78/660/EEC of 25 July 1978 based on Article 54(3) of the Treaty on the annual accounts of certain types of companies (11). | Poleg tega se prvi pododstavek uporablja tudi za investicijska podjetja, ki nimajo ene izmed pravnih oblik iz člena 1(1) Četrte direktive Sveta 78/660/EGS z dne 25. julija 1978 o letnih računovodskih izkazih posameznih vrst družb (11). |
| 2. By way of derogation from paragraph 1, the competent authorities may permit those institutions which are obliged to meet the capital requirements calculated in accordance with Articles 21 and 28 to 32 and Annexes I and III to VI to use, for that purpose only, an alternative determination of own funds. No part of the own funds used for that purpose may be used simultaneously to meet other capital requirements. | 2. Z odstopanjem od odstavka 1, lahko pristojni organi tistim institucijam, ki so obvezane zadostiti zahteve iz členov 21 in 28 do 32 ter Prilog I in III do VI dovolijo uporabo alternativne določitve za lastna sredstva. Noben del pridobljenih lastnih sredstev se ne sme istočasno uporabiti za izpolnjevanje drugih zahtev. |
| Such an alternative determination shall be the sum of the items set out in points (a) to (c) of this subparagraph, minus the item set out in point (d), with the deduction of that last item being left to the discretion of the competent authorities: | Ta alternativna določitev je vsota postavk iz točk (a), (b) in (c) tega pododstavka minus postavka iz točke (d), z pri čemer je odštetje te postavke prepuščeno presoji pristojnih organov: |
| (a) | own funds as defined in Directive 2006/48/EC, excluding only points (l) to (p) of Article 57 of that Directive for those investment firms which are required to deduct item (d) of this paragraph from the total of items (a) to (c); | (a) | lastna sredstva iz Direktive 2006/48/ES, med katera niso vključene samo točke (l) do (p) člena 57 navedene direktive, za tiste investicijska podjetja, ki morajo odšteti postavko (d) tega odstavka od vsote postavk (a) do (c) tega odstavka; |
| (b) | an institution's net trading-book profits net of any foreseeable charges or dividends, less net losses on its other business, provided that none of those amounts has already been included in item (a) of this paragraph as one of the items set out in points (b) or (k) of Article 57 of Directive 2006/48/EC; | (b) | čisti dobički iz trgovalne knjige institucije po odbitku vseh predvidenih odhodkov in dividend ob odštetju čistih izgub iz drugega poslovanja, pod pogojem, da ni noben od teh zneskov že vključen v postavko (a) tega odstavka kot ena od postavk pod točkama (b) ali (k) člena 57 Direktive 2006/48/ES; |
| (c) | subordinated loan capital and/or the items referred to in paragraph 5 of this Article, subject to the conditions set out in paragraphs 3 and 4 of this Article and in Article 14; and | (c) | podrejeni tuji kapital in/ali postavke iz odstavka 5 tega člena, za katere veljajo pogoji iz odstavkov 3 in 4 tega člena ter člena 14; in |
| (d) | illiquid assets as specified in Article 15. | (d) | nelikvidna sredstva, kakor so opredeljena v členu 15. |
| 3. The subordinated loan capital referred to in point (c) of the second subparagraph of paragraph 2 shall have an initial maturity of at least two years. It shall be fully paid up and the loan agreement shall not include any clause providing that in specified circumstances, other than the winding up of the institution, the debt will become repayable before the agreed repayment date, unless the competent authorities approve the repayment. Neither the principal nor the interest on such subordinated loan capital may be repaid if such repayment would mean that the own funds of the institution in question would then amount to less than 100 % of that institution's overall capital requirements. | 3. Podrejeni tuji kapital iz točke (c) drugega pododstavka odstavka 2 ima najmanj dveletno začetno zapadlost. Ta kapital je v celoti vplačan in posojilna pogodba ne vključuje nobene klavzule, ki določa, da v posebnih okoliščinah razen v primeru prenehanja institucije postane dolg odplačljiv pred dogovorjenim rokom vračila, razen če pristojni organi ne odobrijo vračila. Niti glavnica niti obresti na takšen podrejeni tuji kapital se ne moreta odplačati, če bi takšno odplačilo pomenilo, da bi v tem primeru lastna sredstva institucije znašali manj kot 100 % celotnih kapitalskih zahtev navedene institucije. |
| In addition, an institution shall notify the competent authorities of all repayments on such subordinated loan capital as soon as its own funds fall below 120 % of its overall capital requirements. | Poleg tega institucija pristojne organe obvesti o vseh vračilih takšnega podrejenega tujega kapitala takoj ko se njena lastna sredstva spustijo pod 120 % njenih celotnih kapitalskih zahtev. |
| 4. The subordinated loan capital referred to in point (c) of the second subparagraph of paragraph 2 may not exceed a maximum of 150 % of the original own funds left to meet the requirements calculated in accordance with Articles 21 and 28 to 32 and Annexes I to VI and may approach that maximum only in particular circumstances acceptable to the competent authorities. | 4. Podrejeni tuji kapital iz točke (c) drugega pododstavka odstavka 2 ne sme preseči maksimuma 150 % prvotnih lastnih sredstev, ki ostanejo na razpolago za izpolnjevanje zahtev, izračunanih v skladu s členi 21 in 28 do 32 in Prilogami I do VI, in se lahko maksimumu približa le v posebnih okoliščinah, ki so sprejemljive za pristojne organe. |
| 5. The competent authorities may permit institutions to replace the subordinated loan capital referred to in point (c) of the second subparagraph of paragraph 2 with points (d) to (h) of Article 57 of Directive 2006/48/EC. | 5. Pristojni organi lahko dovolijo, da institucije zamenjajo podrejeni tuji kapital iz točke (c) drugega pododstavka odstavka 2 s točkami (d) do (h) člena 57 Direktive 2006/48/ES. |
| Article 14 | Člen 14 |
| 1. The competent authorities may permit investment firms to exceed the ceiling for subordinated loan capital set out in Article 13(4) if they judge it prudentially adequate and provided that the total of such subordinated loan capital and the items referred to in Article 13(5) does not exceed 200 % of the original own funds left to meet the requirements calculated in accordance with Articles 21 and 28 to 32 and Annexes I and III to VI, or 250 % of the same amount where investment firms deduct the item set out in Article 13(2)(d) when calculating own funds. | 1. Pristojni organi lahko dovolijo investicijskim podjetjem, da prekoračijo prag za podrejen tuj kapital, določen v členu 13(4), če presodijo, da je po smotrnosti ustrezen in pod pogojem, da skupni znesek takšnega podrejenega tujega kapitala in postavk iz člena 13(5) ne presega 200 % prvotnih lastnih sredstev, ki ostane na razpolago za izpolnjevanje zahtev, izračunanih v skladu s členi 21 in 28 do 32 ter Prilogami I in III do VI ali 250 % istega zneska v primeru, če investicijska podjetja pri izračunavanju lastnih sredstev odštejejo postavko iz člena 13(2)(d). |
| 2. The competent authorities may permit the ceiling for subordinated loan capital set out in Article 13(4) to be exceeded by a credit institution if they judge it prudentially adequate and provided that the total of such subordinated loan capital and points (d) to (h) of Article 57 of Directive 2006/48/EC does not exceed 250 % of the original own funds left to meet the requirements calculated in accordance with Articles 28 to 32 and Annexes I and III to VI to this Directive. | 2. Pristojni organi lahko dovolijo, da kreditna institucija prekorači prag za podrejeni tuji kapital, določen v členu 13(4), če presodijo, da je po smotrnosti ustrezen in pod pogojem, da skupni znesek takšnega podrejenega tujega kapitala in točk (d) do (h) člena 57 Direktive 2006/48/ES ne presega 250 % prvotnih lastnih sredstev, ki ostanejo na razpolago za izpolnjevanje zahtev, izračunanih v skladu s členi 28 do 32 ter Prilogami I in III do VI te direktive. |
| Article 15 | Člen 15 |
| Illiquid assets as referred to in point (d) of the second subparagraph of Article 13(2) shall include the following: | Nelikvidna sredstva iz točke (d) drugega pododstavka člena 13(2) vključujejo naslednje: |
| (a) | tangible fixed assets, except to the extent that land and buildings may be allowed to count against the loans which they are securing; | (a) | opredmetena osnovna sredstva razen do te mere, da so zemljišča in zgradbe lahko vštete v posojila, katera varujejo, |
| (b) | holdings in, including subordinated claims on, credit or financial institutions which may be included in the own funds of those institutions, unless they have been deducted under points (l) to (p) of Article 57 of Directive 2006/48/EC or under Article 16(d) of this Directive; | (b) | kapitalski deleži, kreditnih ali finančnih institucij, vključno s podrejenimi terjatvami do njih, ki se lahko vključijo v lastna sredstva navedenih institucij, razen če so bili odšteti skladno s točkami (l) do (p) člena 57 Direktive 2006/48/ES ali skladno s členom 16(d) te direktive; |
| (c) | holdings and other investments in undertakings other than credit or financial institutions, which are not readily marketable; | (c) | kapitalski deleži in druge naložbe v podjetja, ki niso kreditne ali finančne institucije, in ki niso takoj prodajni; |
| (d) | deficiencies in subsidiaries; | (d) | izgube v podrejenih družbah; |
| (e) | deposits made, other than those which are available for repayment within 90 days, and also excluding payments in connection with margined futures or options contracts; | (e) | depoziti, z izjemo tistih, ki so na razpolago za vračilo v 90 dneh, in ki prav tako izključujejo plačila v zvezi s kritji terminskih pogodb in opcijami; |
| (f) | loans and other amounts due, other than those due to be repaid within 90 days; and | (f) | posojila in druge terjatve, z izjemo tistih, ki bodo odplačana(-e) v 90 dneh; in |
| (g) | physical stocks, unless they are already subject to capital requirements at least as stringent as those set out in Articles 18 and 20. | (g) | zaloge, razen če so že predmet kapitalskih zahtev, ki niso manj stroge od tistih iz členov 18 in 20. |
| For the purposes of point (b), where shares in a credit or financial institution are held temporarily for the purpose of a financial assistance operation designed to reorganise and save that institution, the competent authorities may waive the application of this Article. They may also waive it in respect of those shares which are included in an investment firm's trading book. | Za namene točke (b), če imajo institucije deleže v kreditni ali finančni instituciji samo začasno za namen finančne podpore za reorganizacijo ali rešitev te institucije, lahko pristojni organi uporabo tega člena opustijo. Ravno tako jo lahko opustijo v zvezi s tistimi delnicami, ki so vključene v trgovalno knjigo investicijskega podjetja. |
| Article 16 | Člen 16 |
| Investment firms included in a group which has been granted the waiver provided for in Article 22 shall calculate their own funds in accordance with Articles 13 to 15, subject to the following: | Investicijska podjetja, ki so del skupine, ki ji je bila dovoljena opustitev določb iz člena 22, izračunajo svoja lastna sredstva v skladu s členi 13 do 15 ob upoštevanju naslednjega: |
| (a) | the illiquid assets referred to in Article 13(2)(d) shall be deducted; | (a) | nelikvidna sredstva iz člena 13(2)(d) se odštejejo; |
| (b) | the exclusion referred to in point (a) of Article 13(2) shall not cover those components of points (l) to (p) of Article 57 of Directive 2006/48/EC which an investment firm holds in respect of undertakings included in the scope of consolidation as defined in Article 2(1) of this Directive; | (b) | izključitev iz točke (a) člena 13(2) ne zajema tistih komponent točk (l) do (p) člena 57 Direktive 2006/48/ES, ki jih poseduje investicijsko podjetje v zvezi s podjetji, vključenimi v obseg konsolidacije iz člena 2(1) te direktive; |
| (c) | the limits referred to in points (a) and (b) of Article 66(1) of Directive 2006/48/EC shall be calculated with reference to the original own funds less the components of points (l) to (p) of Article 57 of that Directive as referred to in point (b) of this Article which are elements of the original own funds of those undertakings; and | (c) | omejitve iz točk (a) in (b) člena 66(1) Direktive 2006/48/ES se izračunajo v zvezi s prvotnimi lastnimi sredstvi, od katerih so odštete komponente točk (l) do (p) člena 57 navedene direktive, kakor so navedene v točki (b) tega člena, ki so deli prvotnih sredstev teh podjetij; in |
| (d) | the components of points (l) to (p) of Article 57 of Directive 2006/48/EC referred to in point (c) of this Article shall be deducted from the original own funds rather than from the total of all items as laid down in Article 66(2) of that Directive for the purposes in particular of Articles 13(4), 13(5) and 14 of this Directive. | (d) | komponente točk (l) do (p) člena 57 Direktive 2006/48/ES, navedene v točki (c) tega člena, se odštejejo od prvotnih lastnih sredstev in ne od vsote vseh postavk, kakor je določeno v točki (c) člena 66(12) navedene direktive za namene zlasti členov 13(4), 13(5) in 14 te direktive. |
| Article 17 | Člen 17 |
| 1. Where an institution calculates risk-weighted exposure amounts for the purposes of Annex II to this Directive in accordance with Articles 84 to 89 of Directive 2006/48/EC, then for the purposes of the calculation provided for in point 4 of Part 1 of Annex VII to Directive 2006/48/EC, the following shall apply: | 1. Kadar institucija izračunava zneske tveganju prilagojenih izpostavljenosti za namene Priloge II k tej direktivi v skladu s členi 84 do 89 Direktive 2006/48/ES, potem se za namene izračuna iz oddelka 4 dela 1 Priloge VII Direktive 2006/48/ESuporablja naslednje: |
| (a) | value adjustments made to take account of the credit quality of the counterparty may be included in the sum of value adjustments and provisions made for the exposures indicated in Annex II; and | (a) | popravki vrednosti, opravljeni zaradi upoštevanja kreditne bonitete nasprotne stranke, se lahko vključijo v vsoto popravkov vrednosti in rezervacij, oblikovanih zaradi izpostavljenosti iz Priloge II; in |
| (b) | subject to the approval of the competent authorities, if the credit risk of the counterparty is adequately taken into account in the valuation of a position included in the trading book, the expected loss amount for the counterparty risk exposure shall be zero. | (b) | na podlagi odobritve pristojnih organov, če je kreditno tveganje nasprotne stranke ustrezno upoštevano v vrednotenju pozicije, vključene v trgovalno knjigo, je znesek pričakovane izgube za izpostavljenost tveganju nasprotne stranke enak nič. |
| For the purposes of point (a), for such institutions, such value adjustments shall not be included in own funds other than in accordance with the provisions of this paragraph. | Za namene točke (a) se za take institucije te popravke vrednosti ne vključijo v lastna sredstva, razen v skladu z določbami tega odstavka. |
| 2. For the purposes of this Article, Article 153 and 154 of Directive 2006/48/EC shall apply. | 2. Za namene tega člena se uporabljata člena 153 in 154 Direktive 2006/48/ES. |
| CHAPTER V | POGLAVJE V |
| Section 1 | Oddelek 1 |
| Provisions against risks | Določila za obvladovanje tveganj |
| Article 18 | Člen 18 |
| 1. Institutions shall have own funds which are always more than or equal to the sum of the following: | 1. Institucije imajo lastna sredstva, ki so vedno višja od ali enaka vsoti naslednjega: |
| (a) | the capital requirements, calculated in accordance with the methods and options laid down in Articles 28 to 32 and Annexes I, II and VI and, as appropriate, Annex V, for their trading-book business; and | (a) | kapitalskih zahtev, izračunanih v skladu z metodami in določili iz členov 28 do 32 in s Prilogami I, II in VI in, če je primerno, s Prilogo V, za postavke trgovalne knjige; in |
| (b) | the capital requirements, calculated in accordance with the methods and options laid down in Annexes III and IV and, as appropriate, Annex V, for all of their business activities. | (b) | kapitalskih zahtev, izračunanih v skladu z metodami in določili, določenimi v Prilogah III in IV in, če je primerno, s Prilogo V, za celotno poslovanje. |
| 2. By way of derogation from paragraph 1, the competent authorities may allow institutions to calculate the capital requirements for their trading book business in accordance with Article 75(a) of Directive 2006/48/EC and points 6, 7, and 9 of Annex II to this Directive, where the size of the trading book business meets the following requirements: | 2. Z odstopanjem od odstavka 1 lahko pristojni organi dovolijo, da institucije izračunajo kapitalske zahteve za postavke trgovalne knjige v skladu s členom 75(a) Direktive 2006/48/ES in odstavki 6, 7 in 9 Priloge II k tej direktivi, če obseg poslov trgovanja ustreza naslednjim zahtevam: |
| (a) | the trading-book business of such institutions does not normally exceed 5 % of their total business; | (a) | posli trgovanja takšnih institucij običajno ne presegajo 5 % njihovega celotnega poslovanja; |
| (b) | their total trading-book positions do not normally exceed EUR 15 million; and | (b) | njihova skupna pozicija iz postavk trgovalne knjige običajno ne presega 15 000 000 EUR; in |
| (c) | the trading-book business of such institutions never exceeds 6 % of their total business and their total trading-book positions never exceed EUR 20 million. | (c) | posli trgovanja takšnih institucij nikoli ne presežejo 6 % njihovega celotnega poslovanja in njihova skupna pozicija iz postavk trgovalne knjige nikoli ne presega 20 000 000 EUR. |
| 3. In order to calculate the proportion that trading-book business bears to total business for the purposes of points (a) and (c) of paragraph 2, the competent authorities may refer either to the size of the combined on- and off-balance-sheet business, to the profit and loss account or to the own funds of the institutions in question, or to a combination of those measures. When the size of on- and off-balance-sheet business is assessed, debt instruments shall be valued at their market prices or their principal values, equities at their market prices and derivatives according to the nominal or market values of the instruments underlying them. Long positions and short positions shall be summed regardless of their signs. | 3. Pri izračunu deleža, ki ga postavke trgovalne knjige predstavljajo v celotnem poslovanju kot v točkah (a) in (c) odstavka 2, se lahko pristojni organi sklicujejo ali na obseg kombiniranega bilančnega in zunajbilančnega poslovanja, izkaz uspeha ali lastna sredstva institucije ali pa na kombinacijo teh meril. Pri ocenjevanju obsega bilančnega in zunajbilančnega poslovanja se dolžniški vrednostni papirji zajemajo po njihovih tržnih cenah ali vrednostih njihovih glavnic, lastniški vrednostni papirji po njihovih tržnih cenah in izvedeni finančni instrumenti glede na nominalne ali tržne vrednosti njihovih osnovnih instrumentov. Dolge in kratke pozicije se seštejejo ne glede na njihov predznak. |
| 4. If an institution should happen for more than a short period to exceed either or both of the limits imposed in paragraph 2(a) and (b) or either or both of the limits imposed in paragraph 2(c), it shall be required to meet the requirements imposed in paragraph 1(a) in respect of its trading-book business and to notify the competent authority thereof. | 4. V primeru, da institucija dlje časa presega enega od pragov ali oba praga iz odstavka 2(a) in (b) ali enega od pragov ali oba praga iz odstavka 2(c), se od nje zahteva, da izpolni zahteve iz odstavka 1(a) glede poslov trgovanja in obvesti pristojni organ. |
| Article 19 | Člen 19 |
| 1. For the purposes of point 14 of Annex I, subject to the discretion of the national authorities, a 0 % weighting can be assigned to debt securities issued by the entities listed in Table 1 of Annex I, where these debt securities are denominated and funded in domestic currency. | 1. Za namene odstavka 14 Priloge I lahko države članice po lastni presoji dodelijo utež 0 % dolžniškim vrednostnim papirjem, ki jih izdajo subjekti, navedeni v tabeli 1 Priloge I, če so dolžniški vrednostni papirji normirani in vplačani v domači valuti. |
| 2. By way of derogation from points 13 and 14 of Annex I, Member States may set a specific risk requirement for any bonds falling within points 68 to 70 of Part 1 of Annex VI to Directive 2006/48/EC which shall be equal to the specific risk requirement for a qualifying item with the same residual maturity as such bonds and reduced in accordance with the percentages given in point 71 of Part 1 to Annex VI to that Directive. | 2. Z odstopanjem od odstavkov 13 in 14 Priloge I, lahko države članice določijo zahtevo za posebna tveganja za obveznice, ki spadajo pod odstavke 68 do 70 dela 1 Priloge VI Direktive 2006/48/ES, ki je enaka zahtevi za posebna tveganja za postavke kvalificiranih izdajateljev z enako preostalo dospelostjo kot takšna obveznica, zmanjšani v skladu z odstotki, podanimi v točki 71 dela 1 Priloge VI k navedeni direktivi. |
| 3. If, as set out in point 52 of Annex I, a competent authority approves a third country's collective investment undertaking (CIU) as eligible, a competent authority in another Member State may make use of this approval without conducting its own assessment. | 3. Če pristojni organ kot primernega prizna investicijske sklade (CIU) iz tretje države, kakor je navedeno v odstavku 52 Priloge I, potem pristojni organ v drugi državi članici lahko uporabi to odobritev, ne da bi še sam opravil ocenjevanje. |
| Article 20 | Člen 20 |
| 1. Subject to paragraphs 2, 3 and 4 of this Article, and Article 34 of this Directive, the requirements in Article 75 of Directive 2006/48/EC shall apply to investment firms. | 1. V skladu z odstavki 2, 3 in 4 tega člena ter členom 34 te direktive se zahteve iz člena 75 Direktive 2006/48/ES uporabljajo za investicijska podjetja. |
| 2. By way of derogation from paragraph 1, competent authorities may allow investment firms that are not authorised to provide the investment services listed in points 3 and 6 of Section A of Annex I to Directive 2004/39/EC to provide own funds which are always more than or equal to the higher of the following: | 2. Z odstopanjem od odstavka 1 lahko pristojni organi investicijskim podjetjem, ki niso pooblaščene za opravljanje investicijskih storitev, navedenih v točkah 3 in 6 oddelka A Priloge I Direktive 2004/39/ES, dovoli, da oblikujejo lastna sredstva, ki so vedno višji od ali enaki naslednjemu: |
| (a) | the sum of the capital requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC; and | (a) | vsoti kapitalskih zahtev iz točk (a) do (c) člena 75 Direktive 2006/48/ES; in |
| (b) | the amount laid down in Article 21 of this Directive. | (b) | znesku, določenemu v členu 21 te direktive. |
| 3. By way of derogation from paragraph 1, competent authorities may allow investment firms which hold initial capital as set out in Article 9, but which fall within the following categories, to provide own funds which are always more than or equal to the sum of the capital requirements calculated in accordance with the requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC and the amount laid down in Article 21 of this Directive: | 3. Z odstopanjem od odstavka 1 lahko pristojni organi investicijskim podjetjem, ki imajo ustanovitveni kapital, določen v členu 9, ki pa spadajo v eno od naslednjih kategorij, dovolijo, da oblikujejo lastna sredstva, ki so vedno višji od ali enaki vsoti kapitalskih zahtev, izračunanih v skladu z zahtevami iz točk (a) do (c) člena 75 Direktive 2006/48/ES, in zneska, določenega v členu 21 te direktive: |
| (a) | investment firms that deal on own account only for the purpose of fulfilling or executing a client order or for the purpose of gaining entrance to a clearing and settlement system or a recognised exchange when acting in an agency capacity or executing a client order; and | (a) | investicijska podjetja, ki poslujejo za svoj račun zgolj zaradi izpolnjevanja ali izvrševanja naročila stranke ali zaradi pridobivanja vstopa v sistem kliringa in poravnave ali v priznano borzo, če delujejo v funkciji zastopnikov ali izvršujejo naročilo stranke; in |
| b) | investment firms: | (i) | that do not hold client money or securities; | (ii) | that undertake only dealing on own account; | (iii) | that have no external customers; | (iv) | the execution and settlement of whose transactions takes place under the responsibility of a clearing institution and are guaranteed by that clearing institution. | (b) | investicijska podjetja: | (i) | ki ne upravljajo z denarjem ali vrednostnimi papirji strank; | (ii) | ki prevzamejo samo trgovanje za svoj račun; | (iii) | ki nimajo zunanjih kupcev; | (iv) | katerih izvrševanje in poravnava poslov se izvaja pod odgovornostjo klirinške institucije, ki tudi jamči za te posle. |
| 4. Investment firms referred to in paragraphs 2 and 3 shall remain subject to all other provisions regarding operational risk set out in Annex V of Directive 2006/48/EC. | 4. Za investicijska podjetja iz odstavkov 2 in 3 se še naprej uporabljajo druge določbe v zvezi z operativnim tveganjem, določenim v Prilogi V Direktive 2006/48/ES. |
| 5. Article 21 shall apply only to investment firms to which paragraphs (2) or (3) or Article 46 apply and in the manner specified therein. | 5. Člen 21 se uporablja izključno za investicijska podjetja, za katere se uporabljata odstavka 2 ali 3 ali člen 46, in tako, kot je tam določeno. |
| Article 21 | Člen 21 |
| Investment firms shall be required to hold own funds equivalent to one quarter of their preceding year's fixed overheads. | Investicijska podjetja morajo imeti lastna sredstva v višini ene četrtine njihovih stalnih splošnih stroškov iz predhodnega leta. |
| The competent authorities may adjust that requirement in the event of a material change in a firm's business since the preceding year. | Pristojni organi lahko to zahtevo uskladijo v primeru materialne spremembe v poslovanju podjetja od predhodnega leta. |
| Where a firm has not completed a year's business, starting from the day it starts up, the requirement shall be a quarter of the fixed overheads projected in its business plan, unless an adjustment to that plan is required by the competent authorities. | Če podjetje še ne posluje eno leto vključno z dnem začetka poslovanja, znaša zahteva četrtino zneska stalnih splošnih stroškov predvidenih v njenem poslovnem načrtu, razen če pristojni organi zahtevajo prilagoditev na ta načrt. |
| Section 2 | Oddelek 2 |
| Application of requirements on a consolidated basis | Uporaba zahtev na konsolidirani osnovi |
| Article 22 | Člen 22 |
| 1. The competent authorities required or mandated to exercise supervision of groups covered by Article 2 on a consolidated basis may waive, on a case-by-case basis, the application of capital requirements on a consolidated basis provided that: | 1. Pristojni organi, ki imajo nalogo, da nadzorujejo skupine iz člena 2 na konsolidirani osnovi, lahko od primera do primera opustijo uporabo kapitalskih zahtev na konsolidirani osnovi, pod pogojem, da: |
| (a) | each EU investment firm in such a group uses the calculation of own funds set out in Article 16; | (a) | vsako investicijsko podjetje EU v taki skupini uporablja izračun lastnih sredstev iz člena 16; |
| (b) | all investment firms in such a group fall within the categories in Article 20(2) and (3); | (b) | vsa investicijska podjetja v taki skupini spadajo v kategorije iz člena 20(2) in (3); |
| (c) | each EU investment firm in such a group meets the requirements imposed in Articles 18 and 20 on an individual basis and at the same time deducts from its own funds any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings, which would otherwise be consolidated and; | (c) | vsako posamezno investicijsko podjetje EU v taki skupini izpolnjuje zahteve iz členov 18 in 20 ter hkrati od svojih lastnih sredstev odšteje vse pogojne obveznosti v korist investicijskih podjetij, finančnih institucij, družb za upravljanje in podjetij za pomožne storitve, ki bi bile drugače konsolidirane; in |
| (d) | any financial holding company which is the parent financial holding company in a Member State of any investment firm in such a group holds at least as much capital, defined here as the sum of points (a) to (h) of Article 57 of Directive 2006/48/EC, as the sum of the full book value of any holdings, subordinated claims and instruments as referred to in Article 57 of that Directive in investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated, and the total amount of any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated. | (d) | kateri koli finančni holding, ki je nadrejena družba katerega koli investicijskega podjetje v taki skupini upravlja najmanj toliko kapitala, tukaj opredeljenega kot vsota točk (a) do (h) člena 57 Direktive 2006/48/ES, kot je vsota celotne knjigovodske vrednosti katerih koli deležev, podrejenih terjatev in instrumentov iz člena 57 navedene direktive v investicijskih podjetjih, finančnih institucijah, družbah za upravljanje in podjetij za pomožne storitve, ki bi bile drugače konsolidirane, in skupnega zneska kakršnih koli pogojnih obveznosti v korist investicijskih podjetij, finančnih institucij, družb za upravljanje in podjetij za pomožne storitve, ki bi bile drugače konsolidirane. |
| Where the criteria in the first subparagraph are met, each EU investment firm shall have in place systems to monitor and control the sources of capital and funding of all financial holding companies, investment firms, financial institutions, asset management companies and ancillary services undertakings within the group. | Če so izpolnjena merila iz prvega pododstavka, ima vsako investicijsko podjetje EU vzpostavljene sisteme za spremljanje in nadzor virov kapitala in financiranja vseh finančnih holdingov, investicijskih podjetij, finančnih institucij, družb za upravljanje in podjetij za pomožne storitve v skupini. |
| 2. By way of derogation from paragraph 1, competent authorities may permit financial holding companies which are the parent financial holding company in a Member State of an investment firm in such a group to use a value lower than the value calculated under paragraph 1(d), but no lower than the sum of the requirements imposed in Articles 18 and 20 on an individual basis to investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated and the total amount of any contingent liability in favour of investment firms, financial institutions, asset management companies and ancillary services undertakings which would otherwise be consolidated. For the purposes of this paragraph, the capital requirement for investment undertakings of third countries, financial institutions, asset management companies and ancillary services undertakings is a notional capital requirement. | 2. Z odstopanjem od odstavka 1 lahko pristojni organi finančnim holdingom, ki so v taki skupini nadrejene družbe investicijskih podjetij, dovolijo, da uporabijo vrednost, ki je nižja od vrednosti, izračunane v skladu z odstavkom 1(d), vendar ni nižja od vsote zahtev iz členov 18 in 20, določene za posamezne investicijska podjetja, finančne institucije, družbe za upravljanje in podjetja za pomožne storitve, ki bi bili drugače konsolidirani, in od skupnega zneska vseh pogojnih obveznosti v korist investicijskih podjetij, finančnih institucij, družb za upravljanje in podjetij za pomožne storitve, ki bi bili drugače konsolidirani. Za namene tega odstavka je kapitalska zahteva za investicijska podjetja iz tretjih držav, finančne institucije, družbe za upravljanje in podjetja za pomožne storitve evidenčna kapitalska zahteva. |
| Article 23 | Člen 23 |
| The competent authorities shall require investment firms in a group which has been granted the waiver provided for in Article 22 to notify them of the risks which could undermine their financial positions, including those associated with the composition and sources of their capital and funding. If the competent authorities then consider that the financial positions of those investment firms is not adequately protected, they shall require them to take measures including, if necessary, limitations on the transfer of capital from such firms to group entities. | Pristojni organi zahtevajo, da jih investicijska podjetja v skupini, kateri je bila priznana oprostitev obveznosti iz člena 22, obvestijo o vseh tveganjih, vključno s tistimi, ki so povezani s sestavo in viri njihovega kapitala in financiranja, ki bi lahko oslabili njihove finančne položaje. Če pristojni organi nato ocenijo, da finančni položaji teh investicijskih podjetij niso ustrezno zaščiteni, od njih zahtevajo, da sprejmejo ukrepe, ki po potrebi vključujejo tudi omejitve prenosa kapitala od teh podjetij na subjekte skupine. |
| Where the competent authorities waive the obligation of supervision on a consolidated basis provided for in Article 22, they shall take other appropriate measures to monitor the risks, namely large exposures, of the whole group, including any undertakings not located in a Member State. | Če pristojni organi izvzamejo celotno skupino, vključno s podjetji, ki se ne nahajajo na ozemlju države članice od obveznosti nadzora na konsolidirani osnovi iz člena 22, sprejmejo druge ustrezne ukrepe za spremljanje tveganj oziroma velikih izpostavljenosti. |
| Where the competent authorities waive the application of capital requirements on a consolidated basis provided for in Article 22, the requirements of Article 123 and Chapter 5 of Title V of Directive 2006/48/EC shall apply on an individual basis, and the requirements of Article 124 of that Directive shall apply to the supervision of investment firms on an individual basis. | Če pristojni organi opustijo uporabo kapitalskih zahtev na konsolidirani osnovi iz člena 22, se zahteve iz člena 123 in poglavja 5 naslova V Direktive 2006/48/ES uporabljajo na individualni osnovi in zahteve iz člena 124 navedene direktive se uporabljajo za nadzor posameznih investicijskih podjetij. |
| Article 24 | Člen 24 |
| 1. By way of derogation from Article 2(2), competent authorities may exempt investment firms from the consolidated capital requirement established in that Article, provided that all the investment firms in the group are covered by Article 20(2) and the group does not include credit institutions. | 1. Z odstopanjem od člena 2(2) lahko pristojni organi izvzamejo investicijska podjetja iz konsolidirane kapitalske zahteve vzpostavljene z navedenim členom, pod pogojem, da so vsa investicijska podjetja v skupini pokrita s členom 20(2), in skupina ne vključuje kreditnih institucij. |
| 2. Where the requirements of paragraph 1 are met, a parent investment firm in a Member State shall be required to provide own funds at a consolidated level which are always more than or equal to the higher of the following two amounts, calculated on the basis of the parent investment firm's consolidated financial position and in compliance with Section 3 of this Chapter: | 2. Če so izpolnjene zahteve iz odstavka 1, se od nadrejenega investicijskega podjetja v državi članici zahteva, da oblikuje lastna sredstva na konsolidirani osnovi v obsegu, ki je vedno višji od ali enak naslednjima dvema zneskoma, izračunanima na osnovi konsolidiranega finančnega položaja nadrejenega investicijskega podjetja in v skladu z oddelkom 3 tega poglavja: |
| (a) | the sum of the capital requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC; and | (a) | vsote kapitalskih zahtev iz točk (a) do (c) člena 75 Direktive 2006/48/ES; in |
| (b) | the amount prescribed in Article 21 of this Directive. | (b) | zneska, predpisanega v členu 21 te direktive. |
| 3. Where the requirements of paragraph 1 are met, an investment firm controlled by a financial holding company shall be required to provide own funds at a consolidated level which are always more than or equal to the higher of the following two amounts, calculated on the basis of the financial holding company's consolidated financial position and in compliance with Section 3 of this Chapter: | 3. Če so izpolnjene zahteve iz odstavka 1, se od investicijskega podjetja, ki ga obvladuje finančni holding, zahteva, da oblikuje lastna sredstva na konsolidirani osnovi v obsegu, ki je vedno višji od ali enak večjemu od naslednjih dveh zneskov, izračunanima na osnovi konsolidiranega finančnega položaja finančnega holdinga in v skladu z oddelkom 3 tega poglavja: |
| (a) | the sum of the capital requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC; and | (a) | vsota kapitalskih zahtev, navedenih v členu 75(a) do (c) Direktive 2006/48/ES, in; |
| (b) | the amount prescribed in Article 21 of this Directive. | (b) | znesek, predpisan v členu 21 te direktive. |
| Article 25 | Člen 25 |
| By way of derogation from Article 2(2), competent authorities may exempt investment firms from the consolidated capital requirement established in that Article, provided that all the investment firms in the group fall within the investment firms referred to in Article 20(2) and (3), and the group does not include credit institutions. | Z odstopanjem od člena 2(2) lahko pristojni organi izvzamejo investicijska podjetja iz vzpostavljene konsolidirane kapitalske zahteve, pod pogojem, da vsa investicijska podjetja v skupini spadajo v investicijska podjetja, določena v členu 20(2) in (3), in skupina ne vključuje kreditnih institucij. |
| Where the requirements of the first paragraph are met, a parent investment firm in a Member State shall be required to provide own funds at a consolidated level which are always more than or equal to the sum of the requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC and the amount prescribed in Article 21 of this Directive, calculated on the basis of the parent investment firm's consolidated financial position and in compliance with Section 3 of this Chapter. | Če so izpolnjene zahteve iz prvega odstavka, se od nadrejenega investicijskega podjetja v državi članici zahteva, da oblikuje lastna sredstva na konsolidirani osnovi v obsegu, ki je višji od ali enak vsoti zahtev iz točk (a) do (c) člena 75 Direktive 2006/48/ES in zneska, predpisanega v členu 21 te direktive, izračunanega na osnovi konsolidiranega finančnega položaja nadrejenega investicijskega podjetja ter v skladu z oddelkom 3 tega poglavja. |
| Where the requirements of the first paragraph are met, an investment firm controlled by a financial holding company shall be required to provide own funds at a consolidated level which are always more than or equal to the sum of the requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC and the amount prescribed in Article 21 of this Directive, calculated on the basis of the financial holding company's consolidated financial position and in compliance with Section 3 of this Chapter. | Če so izpolnjene zahteve iz prvega odstavka, se od investicijskega podjetja, ki ga obvladuje finančni holding, zahteva, da oblikuje stalna lastna sredstva na konsolidirani osnovi v obsegu, ki je višji od ali vsaj enak vsoti zahtev iz točk (a) do (c) člena 75 Direktive 2006/48/ES, in znesku, navedenem v členu 21 te direktive, in izračunane na osnovi konsolidiranega finančnega položaja finančnega holdinga ter v skladu z oddelkom 3 tega poglavja. |
| Section 3 | Oddelek 3 |
| Calculation of consolidated requirements | Izračun konsolidiranih zahtev |
| Article 26 | Člen 26 |
| 1. Where the waiver provided for in Article 22 is not exercised, the competent authorities may, for the purpose of calculating the capital requirements set out in Annexes I and V and the exposures to clients set out in Articles 28 to 32 and Annex VI on a consolidated basis, permit positions in the trading book of one institution to offset positions in the trading book of another institution according to the rules set out in Articles 28 to 32 Annexes I, V and VI. | 1. Če se pravica opustitve obveznosti iz člena 22 ne uveljavlja, lahko pristojni organi za namen izračunavanja kapitalskih zahtev iz Prilog I in V in izpostavljenosti do strank iz členov 28 do 32 in Priloge VI, na konsolidirani osnovi dovolijo, da se pozicije trgovalne knjige ene institucije pobotajo s pozicijami trgovalne knjige druge institucije v skladu s pravili, ki so navedena v členih 28 do 32 Prilogah I, V in VI. |
| In addition, the competent authorities may allow foreign-exchange positions in one institution to offset foreign-exchange positions in another institution in accordance with the rules set out in Annex III and/or Annex V. They may also allow commodities positions in one institution to offset commodities positions in another institution in accordance with the rules set out in Annex IV and/or Annex V. | Poleg tega lahko pristojni organi dovolijo, da se pozicije v tuji valuti ene institucije pobotajo s pozicijami v tuji valuti druge institucije v skladu s pravili navedenimi v Prilogi III in/ali Prilogi V. Lahko tudi dovolijo, da se pozicije v blagu ene institucije pobotajo s pozicijami v blagu druge institucije v skladu s pravili navedenimi v Prilogi IV in/ali Prilogi V. |
| 2. The competent authorities may permit offsetting of the trading book and of the foreign-exchange and commodities positions, respectively, of undertakings located in third countries, subject to the simultaneous fulfilment of the following conditions: | 2. Pristojni organi lahko dovolijo pobotanje pozicij trgovalne knjige in pozicij v tuji valuti ter pozicij v blagu podjetij, ki se nahajajo v tretjih državah, če so bili obenem izpolnjeni naslednji pogoji: |
| (a) | such undertakings have been authorised in a third country and either satisfy the definition of credit institution set out in Article 4(1) of Directive 2006/48/EC or are recognised third-country investment firms; | (a) | ta podjetja so bila pooblaščena v tretjih državah in bodisi ustrezajo opredelitvi kreditnih institucij iz člena 4(1) Direktive 2006/48/ES bodisi so priznane investicijskega podjetja tretje države; |
| (b) | such undertakings comply, on an individual basis, with capital adequacy rules equivalent to those laid down in this Directive; and | (b) | takšna podjetja na posamezni osnovi ustrezajo predpisom kapitalske ustreznosti, enakim predpisom iz te direktive; in |
| (c) | no regulations exist in the third countries in question which might significantly affect the transfer of funds within the group. | (c) | v zadevnih tretjih državah ne obstajajo predpisi, ki bi pomembno vplivali na prenos sredstev znotraj skupine. |
| 3. The competent authorities may also allow the offsetting provided for in paragraph 1 between institutions within a group that have been authorised in the Member State in question, provided that: | 3. Pristojni organi lahko dovolijo v odstavku 1 predvideno pobotanje med institucijami znotraj skupine, ki so bile pooblaščene v državi članici, pod pogojem, da: |
| (a) | there is a satisfactory allocation of capital within the group; and | (a) | znotraj skupine obstaja zadovoljiva dodelitev kapitala; in |
| (b) | the regulatory, legal or contractual framework in which the institutions operate is such as to guarantee mutual financial support within the group. | (b) | uredbeni, pravni ali pogodbeni okvir, znotraj katerega delujejo, zagotavlja vzajemno finančno podporo znotraj skupine. |
| 4. Furthermore, the competent authorities may allow the offsetting provided for in paragraph 1 between institutions within a group that fulfil the conditions imposed in paragraph 3 and any institution included in the same group which has been authorised in another Member State provided that that institution is obliged to fulfil the capital requirements imposed in Articles 18, 20 and 28 on an individual basis. | 4. Nadalje lahko pristojni organi dovolijo pobotanje iz odstavka 1, med institucijami znotraj skupine, ki izpolnjujejo pogoje iz odstavka 3, in katero koli institucijo, vključeno v isto skupino, ki je bila pooblaščena v drugi državi članici, pod pogojem, da mora ta institucija izpolniti kapitalske zahteve iz členov 18, 20 in 28 na posamezni osnovi. |
| Article 27 | Člen 27 |
| 1. In the calculation of own funds on a consolidated basis Article 65 of Directive 2006/48/EC shall apply. | 1. Pri izračunu lastnih sredstev na konsolidirani osnovi se uporablja člen 65 Direktive 2006/48/ES. |
| 2. The competent authorities responsible for exercising supervision on a consolidated basis may recognise the validity of the specific own-funds definitions applicable to the institutions concerned under Chapter IV in the calculation of their consolidated own funds. | 2. Pristojni organi, odgovorni za izvajanje nadzora na konsolidirani osnovi, lahko priznajo veljavnost posebnih opredelitev lastnih sredstev, ki se uporabljajo za zadevne institucije v skladu s poglavjem IV pri izračunu njihovih konsolidiranih lastnih sredstev. |
| Section 4 | Oddelek 4 |
| Monitoring and control of large exposures | Spremljanje in nadzor velikih izpostavljenosti |
| Article 28 | Člen 28 |
| 1. Institutions shall monitor and control their large exposures in accordance with Articles 106 to 118 of Directive 2006/48/EC. | 1. Institucije spremljajo in nadzorujejo velike izpostavljenosti v skladu s členi 106 do 118 Direktive 2006/48/ES. |
| 2. By way of derogation from paragraph 1, institutions which calculate the capital requirements for their trading-book business in accordance with Annexes I and II, and, as appropriate, Annex V to this Directive, shall monitor and control their large exposures in accordance with Articles 106 to 118 of Directive 2006/48/EC subject to the amendments laid down in Articles 29 to 32 of this Directive. | 2. Z odstopanjem od odstavka 1 institucije, ki računajo kapitalske zahteve za postavke trgovalne knjige v skladu s Prilogama I in II, in če je primerno, Prilogo V te direktive, spremljajo in nadzorujejo svoje velike izpostavljenosti skladno s členi 106 do 118 Direktive 2006/48/ES ob upoštevanju sprememb in dopolnitev iz členov 29 do 32 te direktive. |
| 3. By 31 December 2007, the Commission shall submit to the European Parliament and to the Council a report on the functioning of this Section, together with any appropriate proposals. | 3. Komisija do 31. decembra 2007 predloži Evropskemu parlamentu in Svetu poročilo o delovanju tega oddelka skupaj z vsemi ustreznimi predlogi. |
| Article 29 | Člen 29 |
| 1. The exposures to individual clients which arise on the trading book shall be calculated by summing the following items: | 1. Izpostavljenost do posameznih oseb iz trgovalne knjige se izračuna kot seštevek naslednjih postavk: |
| (a) | the excess — where positive — of an institution's long positions over its short positions in all the financial instruments issued by the client in question, the net position in each of the different instruments being calculated according to the methods laid down in Annex I; | (a) | presežek – kjer je pozitiven – dolgih pozicij institucije nad kratkimi pozicijami v vseh finančnih instrumentih, ki jih izda zadevna oseba, kjer se neto pozicija v vsakem od teh finančnih instrumentov izračuna v skladu z metodami, določenimi v Prilogi I; |
| (b) | the net exposure, in the case of the underwriting of a debt or an equity instrument; and | (b) | neto izpostavljenost v primeru izvedbe prve prodaje dolžniških ali lastniških vrednostnih papirjev z obveznostjo odkupa; in |
| (c) | the exposures due to the transactions, agreements and contracts referred to in Annex II with the client in question, such exposures being calculated in the manner laid down in that Annex, for the calculation of exposure values. | (c) | izpostavljenosti zaradi transakcij, sporazumov in pogodb iz Priloge II z navedeno osebo, pri čemer se takšne izpostavljenosti izračunajo z metodo, določeno v navedeni prilogi, za izračun vrednosti izpostavljenosti. |
| For the purposes of point (b), the net exposure is calculated by deducting those underwriting positions which are subscribed or sub-underwritten by third parties on the basis of a formal agreement reduced by the factors set out in point 41 of Annex I. | Za namene točke (b) se neto izpostavljenost izračuna tako, da se iz obveznosti odkupa odštejejo tiste pozicije v dolžniških ali lastniških vrednostnih papirjih, ki so že bile prenesene na tretje osebe, ki so vrednostne papirje odkupile ali so se zavezale k njihovemu odkupu na podlagi uradnega sporazuma, zmanjšane s faktorji iz odstavka 41 Priloge I. |
| For the purposes of point (b), pending further coordination, the competent authorities shall require institutions to set up systems to monitor and control their underwriting exposures between the time of the initial commitment and working day one in the light of the nature of the risks incurred in the markets in question. | Za namene točke (b), do nadaljnje uskladitve pristojni organi zahtevajo, da institucije vzpostavijo sisteme za spremljanje in nadzor njihovih izpostavljenosti iz naslova prve prodaje dolžniških ali lastniških vrednostnih papirjev z obveznostjo odkupa v obdobju med prevzemom obveznosti in delovnim dnem 1 zaradi narave tveganj, ki izhajajo iz poslovanja na navedenih trgih. |
| For the purposes of point (c), Articles 84 to 89 of Directive 2006/48/EC shall be excluded from the reference in point 6 of Annex II to this Directive. | Za namene točke (c) se členi 84 do 89 Direktive 2006/48/ES izključijo iz sklicevanja v odstavku 7 Priloge II te direktive. |
| 2. The exposures to groups of connected clients on the trading book shall be calculated by summing the exposures to individual clients in a group, as calculated in paragraph 1. | 2. Izpostavljenosti do skupin povezanih oseb iz trgovalne knjige se izračunajo kot seštevek izpostavljenosti do posameznih oseb v skupini, kakor je izračunano v odstavku 1. |
| Article 30 | Člen 30 |
| 1. The overall exposures to individual clients or groups of connected clients shall be calculated by summing the exposures which arise on the trading book and the exposures which arise on the non-trading book, taking into account Article 112 to 117 of Directive 2006/48/EC. | 1. Skupne izpostavljenosti do posameznih oseb ali skupin povezanih oseb se izračunajo kot seštevek izpostavljenosti iz trgovalne knjige in izpostavljenosti iz bančne knjige, ob upoštevanju členov 112 do 117 Direktive 2006/48/ES. |
| In order to calculate the exposure which arises on the non-trading book, institutions shall take the exposure arising from assets which are deducted from their own funds by virtue of point (d) of the second subparagraph of Article 13(2) to be zero. | Pri izračunu izpostavljenosti iz postavk bančne knjige institucije predpostavijo, da je izpostavljenost, ki izhaja iz sredstev, ki so odštete od njihovih lastnih sredstev na podlagi točke (d) drugega pododstavka člena 13(2), enaka nič. |
| 2. Institutions' overall exposures to individual clients and groups of connected clients calculated in accordance with paragraph 4 shall be reported in accordance with Article 110 of Directive 2006/48/EC. | 2. O skupnih izpostavljenostih institucije do posameznih oseb in skupin povezanih oseb, izračunanih v skladu z odstavkom 4, se poroča v skladu s členom 110 Direktive 2006/48/ES. |
| Other than in relation to repurchase transactions, securities or commodities lending or borrowing transactions, the calculation of large exposures to individual clients and groups of connected clients for reporting purposes shall not include the recognition of credit risk mitigation. | Razen v primeru poslov začasne prodaje/začasnega nakupa, poslov posoje/izposoje vrednostnih papirjev ali blaga, izračun velikih izpostavljenosti do posameznih oseb in skupin povezanih oseb za namene poročanja ne vključuje priznavanja zavarovanja za zmanjšanje kreditnega tveganja. |
| 3. The sum of the exposures to an individual client or group of connected clients in paragraph 1 shall be limited in accordance with Articles 111 to 117 of Directive 2006/48/EC. | 3. Vsota izpostavljenosti do posamezne osebe ali skupine povezanih oseb iz odstavka 1 se omeji v skladu s členi 111 do 117 Direktive 2006/48/ES. |
| 4. By derogation from paragraph 3 competent authorities may allow assets constituting claims and other exposures on recognised third-country investment firms and recognised clearing houses and exchanges in financial instruments to be subject to the same treatment accorded to those on institutions laid out in Articles 113(3)(i), 115(2) and 116 of Directive 2006/48/EC. | 4. Z odstopanjem od odstavka 3 lahko pristojni organi dovolijo, da se sredstva iz terjatev in drugih izpostavljenosti do priznanih investicijskih podjetij tretje države in priznanih klirinških družb ter borz v finančnih instrumentih obravnavajo na enak način kot izpostavljenosti do institucij, določene v členih 113(3)(i), 115(2) in 116 Direktive 2006/48/ES. |
| Article 31 | Člen 31 |
| The competent authorities may authorise the limits laid down in Articles 111 to 117 of Directive 2006/48/EC to be exceeded if the following conditions are met: | Pristojni organi lahko dovolijo, da se presežejo omejitve iz členov 111 do 117 Direktive 2006/48/ES, če so izpolnjeni naslednji pogoji: |
| (a) | the exposure on the non-trading book to the client or group of clients in question does not exceed the limits laid down in Articles 111 to 117 of Directive 2006/48/EC, those limits being calculated with reference to own funds as specified in that Directive, so that the excess arises entirely on the trading book; | (a) | izpostavljenost iz bančne knjige do navedene osebe ali navedene skupine oseb ne presega omejitev iz členov 111 do 117 Direktive 2006/48/ES, ki so izračunane glede na lastna sredstva, kakor je določeno v navedeni direktivi, tako da je presežek izključno iz postavk trgovalne knjige; |
| (b) | the institution meets an additional capital requirement on the excess in respect of the limits laid down in Article 111(1) and (2) of Directive 2006/48/EC, that additional capital requirement being calculated in accordance with Annex VI to that Directive; | (b) | institucija izpolnjuje dodatno kapitalsko zahtevo za presežek v zvezi z omejitvami iz člena 111(1) in (2) Direktive 2006/48/ES, izračunano v skladu s Prilogo VI k navedeni direktivi; |
| (c) | where 10 days or less has elapsed since the excess occurred, the trading-book exposure to the client or group of connected clients in question shall not exceed 500 % of the institution's own funds; | (c) | če preseganje traja 10 dni ali manj, izpostavljenost iz trgovalne knjige do navedene posamezne osebe ali skupine povezanih oseb ne sme preseči 500 % lastnih sredstev institucije; |
| (d) | any excesses that have persisted for more than 10 days must not, in aggregate, exceed 600 % of the institution's own funds; and | (d) | vsa preseganja, ki trajajo več kot 10 dni, v seštevku ne smejo preseči 600 % lastnih sredstev institucije, in; |
| (e) | institutions shall report to the competent authorities every three months all cases where the limits laid down in Article 111(1) and (2) of Directive 2006/48/EC have been exceeded during the preceding three months. | (e) | institucije morajo pristojne organe vsake tri mesece obveščati o primerih preseganja omejitev iz člena 111(1) in (2) Direktive 2006/48/ES v preteklih treh mesecih. |
| In relation to point (e), in each case in which the limits have been exceeded the amount of the excess and the name of the client concerned shall be reported. | V zvezi s točko (e) je treba za vsak primer preseganja omejitev sporočiti znesek preseganja in ime osebe, pri kateri je prišlo do preseganja. |
| Article 32 | Člen 32 |
| 1. The competent authorities shall establish procedures to prevent institutions from deliberately avoiding the additional capital requirements that they would otherwise incur, on exposures exceeding the limits laid down in Article 111(1) and (2) of Directive 2006/48/EC once those exposures have been maintained for more than 10 days, by means of temporarily transferring the exposures in question to another company, whether within the same group or not, and/or by undertaking artificial transactions to close out the exposure during the 10-day period and create a new exposure. | 1. Pristojni organi vzpostavijo postopke, s katerimi institucijam onemogočijo, da se namerno izognejo dodatnim kapitalskim zahtevam, ki bi drugače nastale zaradi izpostavljenosti, ki presežejo omejitve iz člena 111(1) in (2) Direktive 2006/48/ES, ko te izpostavljenosti obstajajo več kot 10 dni, z začasnim prenosom omenjenih izpostavljenosti na drugo institucijo, ki lahko spada v isto skupino ali ne, in/ali z navideznimi transakcijami za ukinitev izpostavljenosti med desetdnevnim obdobjem in ustvarjanjem nove izpostavljenosti. |
| The competent authorities shall notify the Council and the Commission of those procedures. | Pristojni organi obvestijo Svet in Komisijo o teh postopkih. |
| Institutions shall maintain systems which ensure that any transfer which has the effect referred to in the first subparagraph is immediately reported to the competent authorities. | Institucije vzdržujejo sisteme, ki zagotavljajo, da se vsak prenos z učinkom iz prvega pododstavka nemudoma sporoči pristojnim organom. |
| 2. The competent authorities may permit institutions which are allowed to use the alternative determination of own funds under Article 13(2) to use that determination for the purposes of Articles 30(2), 30(3) and 31 provided that the institutions concerned are required to meet all of the obligations set out in Articles 110 to 117 of Directive 2006/48/EC, in respect of the exposures which arise outside their trading books by using own funds as defined in that Directive. | 2. Pristojni organi lahko institucijam, ki jim je dovoljena uporaba alternativne določitve lastnih sredstev iz člena 13(2), dovolijo uporabo te določitve za namene členov 30(2), 30(3) in 31, pod pogojem, da morajo institucije izpolnjevati vse obveznosti iz členov 110 do 117 Direktive 2006/48/ES v zvezi z izpostavljenostmi, ki ne izvirajo iz trgovalne knjige, z uporabo lastnih sredstev, kakor je opredeljeno v navedeni direktivi. |
| Section 5 | Oddelek 5 |
| Valuation of positions for reporting purposes | Vrednotenje pozicij za namene poročanja |
| Article 33 | Člen 33 |
| 1. All trading book positions shall be subject to prudent valuation rules as specified in Annex VII, Part B. These rules shall require institutions to ensure that the value applied to each of its trading book positions appropriately reflects the current market value. The former value shall contain an appropriate degree of certainty having regard to the dynamic nature of trading book positions, the demands of prudential soundness and the mode of operation and purpose of capital requirements in respect of trading book positions. | 1. Za vse pozicije iz trgovalne knjige veljajo pravila preudarnega vrednotenja, kakor so določena v delu B Priloge VII. Ta pravila zahtevajo, da institucije zagotovijo, da vrednost, ki se uporabi za vsako od njenih pozicij iz trgovalne knjige, ustrezno odraža trenutno tržno vrednost. Nekdanja vrednost vsebuje ustrezno stopnjo gotovosti glede na dinamično naravo pozicij iz trgovalne knjige, glede na zahteve po bonitetni trdnosti in način delovanja ter glede na namen kapitalskih zahtev v zvezi s pozicijami iz trgovalne knjige. |
| 2. Trading book positions shall be re-valued at least daily. | 2. Pozicije trgovalne knjige se vrednotijo vsaj dnevno. |
| 3. In the absence of readily available market prices, the competent authorities may waive the requirement imposed in paragraphs 1 and 2 and shall require institutions to use alternative methods of valuation provided that those methods are sufficiently prudent and have been approved by competent authorities. | 3. V odsotnosti lahko dostopnih tržnih cen, lahko pristojni organi opustijo zahtevo iz odstavkov 1 in 2 in pri tem zahtevajo, da institucije uporabijo alternativne metode vrednotenja, pod pogojem, da te metode temeljijo na načelu previdnosti in so bile odobrene s strani pristojnih organov. |
| Section 6 | Oddelek 6 |
| Risk management and capital assessment | Upravljanje s tveganji in ocenjevanje kapitala |
| Article 34 | Člen 34 |
| Competent authorities shall require that every investment firm, as well as meeting the requirements set out in Article 13 of Directive 2004/39/EC, shall meet the requirements set out in Articles 22 and 123 of Directive 2006/48/EC, subject to the provisions on level of application set out in Articles 68 to 73 of that Directive. | Pristojni organi zahtevajo, da vsako investicijsko podjetje poleg zahtev iz člena 13 Direktive 2004/39/ES izpolni zahteve iz členov 22 in 123 Direktive 2006/48/ES, ob upoštevanju določb o stopnjah uporabe iz členov 68 do 73 zadnje navedene direktive. |
| Section 7 | Oddelek 7 |
| Reporting requirements | Dolžnost poročanja |
| Article 35 | Člen 35 |
| 1. Member States shall require that investment firms and credit institutions provide the competent authorities of their home Member States with all the information necessary for the assessment of their compliance with the rules adopted in accordance with this Directive. Member States shall also ensure that internal control mechanisms and administrative and accounting procedures of the institutions permit the verification of their compliance with such rules at all times. | 1. Države članice zahtevajo, da investicijska podjetja in kreditne institucije pristojnim organom svojih matičnih držav članic predložijo vse potrebne podatke za presojo njihove skladnosti s pravili, sprejetimi v skladu s to direktivo. Države članice tudi zagotovijo, da mehanizmi notranjega nadzora in upravni ter računovodski postopki institucij kadar koli omogočajo preverjanje njihove skladnosti s pravili. |
| 2. Investment firms shall report to the competent authorities in the manner specified by the latter at least once every month in the case of firms covered by Article 9, at least once every three months in the case of firms covered by Article 5(1) and at least once every six months in the case of firms covered by Article 5(3). | 2. Investicijska podjetja pristojnim organom poročajo na način, ki ga določijo pristojni organi, vsaj enkrat mesečno v primeru družb iz člena 9, vsaj enkrat vsake tri mesece v primeru družb iz člena 5(1) in vsaj enkrat vsakih šest mesecev v primeru družb iz člena 5(3). |
| 3. Notwithstanding paragraph 2, investment firms covered by Articles 5(1) and 9 shall be required to provide the information on a consolidated or sub-consolidated basis only once every six months. | 3. Ne glede na odstavek 2 morajo investicijska podjetja iz člena 5(1) in 9 priskrbeti podatke na konsolidirani ali subkonsolidirani osnovi samo enkrat vsakih šest mesecev. |
| 4. Credit institutions shall be obliged to report in the manner specified by the competent authorities as often as they are obliged to report under Directive 2006/48/EC. | 4. Kreditne institucije morajo poročati na način, ki ga določijo pristojni organi tako pogosto, kakor to določa Direktiva 2006/48/ES. |
| 5. The competent authorities shall oblige institutions to report to them immediately any case in which their counter parties in repurchase and reverse repurchase agreements or securities and commodities-lending and securities and commodities-borrowing transactions default on their obligations. | 5. Pristojni organi zahtevajo, da jim institucije nemudoma sporočijo, če nasprotne stranke pri poslih začasne prodaje/začasnega nakupa ali poslih posoje/izposoje vrednostnih papirjev ali blaga ne izpolnjujejo svojih obveznosti. |
| CHAPTER VI | POGLAVJE VI |
| Section 1 | Oddelek 1 |
| Competent authorities | Pristojni organi |
| Article 36 | Člen 36 |
| 1. Member States shall designate the authorities which are competent to carry out the duties provided for in this Directive. They shall inform the Commission thereof, indicating any division of duties. | 1. Države članice določijo organe, ki so pristojni za opravljanje dolžnosti iz te direktive. Države članice o tem obvestijo Komisijo in navedejo vse razporeditve dolžnosti. |
| 2. The competent authorities shall be public authorities or bodies officially recognized by national law or by public authorities as part of the supervisory system in operation in the Member State concerned. | 2. Pristojni organi so državni organi ali telesa, ki jih nacionalni predpisi ali državni organi uradno priznavajo za del delujočega nadzornega sistema v državi članici. |
| 3. The competent authorities shall be granted all the powers necessary for the performance of their tasks, and in particular that of overseeing the constitution of trading books. | 3. Pristojnim organom se podelijo vsa pooblastila, ki so potrebna za izvajanje nalog, zlasti pooblastilo za nadzorovanje sestave trgovalne knjige. |
| Section 2 | Oddelek 2 |
| Supervision | Nadzor |
| Article 37 | Člen 37 |
| 1. Chapter 4 of Title V of Directive 2006/48/EC shall apply mutatis mutandis to the supervision of investment firms in accordance with the following: | 1. Poglavje 4 naslova V Direktive 2006/48/ES se smiselno uporablja za nadzor investicijskih podjetij v skladu z naslednjim: |
| (a) | references to Article 6 of Directive 2006/48/EC shall be construed as references to Article 5 of Directive 2004/39/EC; | (a) | sklicevanja na člen 6 Direktive 2006/48/ES se štejejo za sklicevanja na člen 5 Direktive 2004/39/ES; |
| (b) | references to Article 22 and 123 of Directive 2006/48/EC shall be construed s references to Article 34 of this Directive; and | (b) | sklicevanja na člena 22 in 123 Direktive 2006/48/ES se štejejo za sklicevanja na člen 34 te direktive; in |
| (c) | references to Articles 44 to 52 of Directive 2006/48/EC shall be construed as references to Articles 54 and 58 of Directive 2004/39/EC. | (c) | sklicevanja na člene 44 do 52 Direktive 2006/48/ES se štejejo za sklicevanja na člena 54 in 58 Direktive 2004/39/ES; |
| Where an EU parent financial holding company has as subsidiary both a credit institution and an investment firm, Title V, Chapter 4 of Directive 2006/48/EC shall apply to the supervision of institutions as if references to credit institutions were to institutions. | Če ima nadrejeni finančni holding EU kot podrejena družba tako kreditno institucijo kot investicijsko podjetje, se za nadzor institucij uporablja poglavje 4 naslova V Direktive 2006/48/ES tako, kot da se sklicevanje na kreditne institucije nanaša na institucije. |
| 2. Article 129(2) of Directive 2006/48/EC shall also apply to the recognition of internal models of institutions under Annex V to this Directive where the application is submitted by an EU parent credit institution and its subsidiaries or an EU parent investment firm and its subsidiaries, or jointly by the subsidiaries of an EU parent financial holding company. | 2. Člen 129(2) Direktive 2006/48/ES se uporablja tudi za priznanje notranjih modelov institucij v skladu s Prilogo V te direktive, če zahtevo predložijo nadrejena kreditna institucija EU in njene podrejene družbe ali nadrejeno investicijsko podjetje EU in njegove podrejene družbe ali podrejene družbe nadrejenega finančnega holdinga EU skupaj. |
| The period for the recognition referred to in the first sub-paragraph shall be six months. | Obdobje za priznanje iz prvega pododstavka je šest mesecev. |
| Article 38 | Člen 38 |
| 1. The competent authorities of the Member States shall cooperate closely in the performance of the duties provided for in this Directive, particularly where investment services are provided on the basis of the freedom to provide services or through the establishment of branches. | 1. Pristojni organi držav članic tesno sodelujejo pri opravljanju dolžnosti iz te direktive, zlasti če se investicijske storitve zagotavljajo na osnovi svobode zagotavljanja storitev ali z ustanovitvijo podružnic. |
| The competent authorities shall on request supply one another with all information likely to facilitate the supervision of the capital adequacy of institutions, in particular the verification of their compliance with the rules laid down in this Directive. | Pristojni organi si na zahtevo medsebojno posredujejo vse informacije, ki bi lahko olajšale nadzor kapitalske ustreznosti institucij, zlasti preverjanje upoštevanja predpisov, opredeljenih v tej direktivi. |
| 2. Any exchange of information between competent authorities which is provided for in this Directive shall be subject to the following obligations of professional secrecy: | 2. Za vsako izmenjavo informacij med pristojnimi organi, predvideno v tej direktivi, veljajo naslednje obveznost i varovanja poslovnih skrivnosti: |
| (a) | for investment firms, those imposed in Article 54 and 58 of Directive 2004/39/EC; and | (a) | za investicijska podjetja, tiste obveznosti varovanja poslovnih skrivnosti iz členov 54 in 58 Direktive 2004/39/ES; in |
| (b) | for credit institutions, those imposed in Articles 44 to 52 of Directive 2006/48/EC. | (b) | za kreditne institucije tiste iz členov 44 do 52 Direktive 2006/48/ES. |
| CHAPTER VII | POGLAVJE VII |
| Disclosure | Razkritje |
| Article 39 | Člen 39 |
| The requirements set out in Title V, Chapter 5 of Directive 2006/48/EC shall apply to investment firms. | Za investicijska podjetja se uporabljajo zahteve iz poglavja 5 naslova V Direktive 2006/48/ES. |
| CHAPTER VIII | POGLAVJE VIII |
| Section 1 | Oddelek 1 |
| Article 40 | Člen 40 |
| For the purposes of the calculation of minimum capital requirements for counterparty risk under this Directive, and for the calculation of minimum capital requirements for credit risk under Directive 2006/48/EC, and without prejudice to the provisions of Part 2, point 6 of Annex III to that Directive, exposures to recognised third-country investment firms and exposures to recognised clearing houses and exchanges shall be treated as exposures to institutions. | Za namene izračuna minimalnih kapitalskih zahtev za tveganje nasprotne stranke v skladu s to direktivo in za namene izračuna kreditnega tveganja v skladu z Direktivo 2006/48/ES ter brez poseganja v določbe šestega odstavka drugega dela Priloge III k navedeni direktivi, se izpostavljenosti do priznanih investicijskih podjetij tretjih držav in izpostavljenosti do priznanih klirinških družb in borz obravnavajo kot izpostavljenosti do institucij. |
| Section 2 | Oddelek 2 |
| Powers of execution | Izvršilna pristojnost |
| Article 22 | Člen 41 |
| 1. The Commission shall decide on any technical adaptations in the following areas in accordance with the procedure referred to in Article 42(2): | 1. Komisija odloča o vseh tehničnih prilagoditvah na naslednjih področjih v skladu s postopkom iz člena 42(2): |
| (a) | clarification of the definitions in Article 3 in order to ensure uniform application of this Directive; | (a) | pojasnitev opredelitev pojmov iz člena 3 za zagotovitev enotne uporabe te direktive; |
| (b) | clarification of the definitions in Article 3 to take account of developments on financial markets; | (b) | pojasnitev opredelitev pojmov iz člena 3 za upoštevanje dogajanja na finančnih trgih; |
| (c) | adjustment of the amounts of initial capital prescribed in Articles 5 to 9 and the amount referred to in Article 18(2) to take account of developments in the economic and monetary field; | (c) | prilagoditev zneskov ustanovitvenega kapitala iz členov 5 do 9 in zneskov iz člena 18(2) za upoštevanje dogajanja na gospodarskem in monetarnem področju; |
| (d) | adjustment of the categories of investment firms in Article 20(2) and (3) to take account of developments on financial markets; | (d) | prilagoditev kategorij investicijskih podjetij v členu 20(2) in (3) za upoštevanje dogajanja na finančnih trgih; |
| (e) | clarification of the requirement laid down in Article 21 to ensure uniform application of this Directive; | (e) | pojasnitev opredelitev iz člena 21 za zagotovitev enotne uporabe te direktive; |
| (f) | alignment of terminology on and the framing of definitions in accordance with subsequent acts on institutions and related matters; | (f) | uskladitev terminologije in določitev opredelitev v skladu s poznejšimi pravnimi akti o institucijah in povezanih zadevah; |
| (g) | adjustment of the technical provisions in Annexes I to VII as a result of developments on financial markets, risk measurement, accounting standards or requirements which take account of Community legislation or which have regard to convergence of supervisory practices; or | (g) | prilagoditev tehničnih določb v Prilogah I do VII zaradi dogajanja na finančnih trgih, merjenja tveganja ter računovodskih standardov in zahtev, ki upoštevajo zakonodajo Skupnosti, ali v zvezi z zbliževanjem nadzornih praks; ali |
| (h) | technical adaptations to take account of the outcome of the review referred to in Article 65(3) of Directive 2004/39/EC. | (h) | tehnične prilagoditve za upoštevanje rezultatov pregleda iz člena 65(3) Direktive 2004/39/ES. |
| 2. None of the implementing measures enacted may change the essential provisions of this Directive | 2. Noben sprejet izvedbeni ukrep ne sme spremeniti temeljnih določb te direktive. |
| Article 42 | Člen 42 |
| 1. The Commission shall be assisted by the European Banking Committee established by Commission Decision 2004/10/EC (12) of 5 November 2003 (hereinafter referred to as ‘the Committee’). | 1. Komisiji pomaga Evropski odbor za bančništvo, ki je bil ustanovljen s Sklepom Komisije 2004/10/ES (12) z dne 5. novembra 2003 (v nadaljnjem besedilu ”odbor”). |
| 2. Where reference is made to this paragraph, the procedure laid down in Article 5 of Decision 1999/468/EC shall apply, having regard to the provisions of Article 7(3) and 8 thereof. | 2. Pri sklicevanju na ta odstavek se uporablja člen 5 Sklepa 1999/468/ES, ob upoštevanju določb členov 7(3) in 8 Sklepa. |
| The period laid down in Article 5(6) of Decision 1999/468/EC shall be three months. | Obdobje iz člena 5(6) Sklepa 1999/468/ES je tri mesece. |
| 3. Without prejudice to the implementing measures already adopted, upon expiry of a two-year period following the adoption of this Directive, and by 1 April 2008, the application of the provisions of this Directive requiring the adoption of technical rules, amendments and decisions in accordance with paragraph 2 shall be suspended. Acting on a proposal from the Commission and in accordance with the procedure laid down in Article 251 of the Treaty, the Parliament and the Council may renew those provisions and, to that end, shall review them prior to the expiry of the period or by the date referred to in this paragraph, whichever the earlier. | 3. Brez poseganja v že sprejete izvedbene ukrepe, po izteku dveletnega obdobja po sprejetju te direktive in najpozneje 1. aprila 2008, se uporaba določb, ki zahtevajo sprejem tehničnih pravil, sprememb in sklepov v skladu z odstavkom 2, začasno opusti. Na predlog Komisije lahko Evropski parlament in Svet obnovita zadevne določbe v skladu s postopkom, določenim v členu 251 Pogodbe, in jih v ta namen pregledata pred iztekom v tem odstavku navedenega obdobja ali dneva. |
| 4. The Committee shall adopt its Rules of Procedure | 4. Odbor sprejme svoj poslovnik. |
| Section 3 | Oddelek 3 |
| Transitional provisions | Prehodne določbe |
| Article 43 | Člen 43 |
| Article 152(1) to (7) of Directive 2006/48/EC shall apply, in accordance with Article 2 and Chapter V, Sections 2 and 3 of this Directive, to investment firms calculating risk-weighted exposure amounts, for the purposes of Annex II to this Directive, in accordance with Articles 84 to 89 of Directive 2006/48/EC, or using the Advanced Measurement Approach as specified in Article 105 of that Directive for the calculation of their capital requirements for operational risk. | Člen 152(1) do (7) Direktive 2006/48/ES se v skladu s členom 2 in oddelkoma 2 in 3 poglavja V te direktive uporablja za investicijska podjetja, ki izračunavajo zneske tveganju prilagojenih izpostavljenosti za namene Priloge II te direktive, v skladu s členi 84 do 89 Direktive 2006/48/ES ali z uporabo naprednega pristopa iz člena 105 navedene direktive za izračun svojih kapitalskih zahtev za operativno tveganje. |
| Article 44 | Člen 44 |
| Until 31 December 2012, for investment firms the relevant indicator for the trading and sales business line of which represents at least 50 % of the total of relevant indicators for all of their business lines calculated in accordance with Article 20 of this Directive and points 1 to 4 of Part 2 of Annex X to Directive 2006/48/EC, Member States may apply a percentage of 15 % to the business line ‘trading and sales’. | Za investicijska podjetja, katerih ustrezni kazalec za poslovno področje trgovanja in prodaje do 31. decembra 2012 predstavlja vsaj 50 % vsote ustreznih kazalcev za vsa poslovna področja, izračunane v skladu s členom 20 te direktive in odstavkov 1 do 7 dela 2 Priloge X k Direktivi 2006/48/ES, lahko države članice uporabijo odstotek 15 % za poslovno področje ”trgovanje in prodaja”. |
| Article 45 | Člen 45 |
| 1. Competent authorities may permit investment firms to exceed the limits concerning large exposures set out in Article 111 of Directive 2006/48/EC. Investment firms need not include any excesses in their calculation of capital requirements exceeding such limits, as set out in Article 75(b) of that Directive. This discretion is available until 31 December 2010 or the date of entry into force of any modifications consequent to the treatment of large exposures pursuant to Article 119 of Directive 2006/48/EC, whichever is the earlier. For this discretion to be exercised, the following conditions shall be met: | 1. Pristojni organi lahko investicijskim podjetjem dovolijo, da presežejo zgornje meje velikih izpostavljenosti iz člena 111 Direktive 2006/48/ES. Investicijskim podjetjem ni treba upoštevati vseh prekoračitev pri izračunu kapitalskih zahtev, ki presegajo te omejitve, kakor je predvideno v členu 75(b) navedene direktive. Takšno presojanje bo veljalo do 31. decembra 2010 ali do začetka veljave morebitnih sprememb v zvezi z obravnavo velikih izpostavljenosti, skladnih s členom 119 Direktive 2006/48/ES, če bodo te spremembe začele veljati pred zgornjim datumom. Za presojanje morajo biti izpolnjeni pogoji (a) do (d): |
| (a) | the investment firm provides investment services or investment activities related to the financial instruments listed in points 5, 6, 7, 9 and 10 of Section C of Annex I to Directive 2004/39/EC; | (a) | investicijsko podjetje zagotavlja investicijske storitve ali izvaja investicijske dejavnosti, povezane s finančnimi instrumenti, naštetimi v odstavkih 5, 6, 7, 9 in 10 oddelka C Priloge I k Direktivi 2004/39 ES; |
| (b) | the investment firm does not provide such investment services or undertake such investment activities for, or on behalf of, retail clients; | (b) | investicijsko podjetje teh investicijskih storitev ne zagotavlja ali teh investicijskih dejavnosti ne izvaja za majhne stranke investitorje ali v njihovem imenu; |
| c) | breaches of the limits referred to in the introductory part of this paragraph arise in connection with exposures resulting from contracts that are financial instruments as listed in point (a) and relate to commodities or underlyings within the meaning of point 10 of Section C of Annex I to Directive 2004/39/EC (MiFID) and are calculated in accordance with Annexes III and IV of Directive 2006/48/EC, or in connection with exposures resulting from contracts concerning the delivery of commodities or emission allowances; and | (c) | kršitve omejitev iz uvodnega dela tega odstavka so povezane z izpostavljenostmi, izvirajočimi iz pogodb, ki so po točki (a) finančni instrumenti in povezani z blagom ali osnovnimi instrumenti v smislu odstavka 10 oddelka C Priloge I k Direktivi 2004/39/ES (MiFID) ter se izračunavajo v skladu s Prilogama III in IV Direktive 2006/48/ES, ali v povezavi z izpostavljenostmi, ki izhajajo iz pogodb o poravnavi blaga ali emisijskih pravicah; in |
| (d) | the investment firm has a documented strategy for managing and, in particular, for controlling and limiting risks arising from the concentration of exposures. The investment firm shall inform the competent authorities of this strategy and all material changes to it without delay. The investment firm shall make appropriate arrangements to ensure a continuous monitoring of the creditworthiness of borrowers, according to their impact on concentration risk. These arrangements shall enable the investment firm to react adequately and sufficiently promptly to any deterioration in that creditworthiness. | (d) | investicijsko podjetje ima dokumentirano strategijo upravljanja, zlasti za nadzorovanje in omejevanje tveganj, ki izhajajo iz koncentracije izpostavljenosti. Investicijsko podjetje mora nemudoma obvestiti pristojne organe o tej strategiji in o vseh njenih bistvenih spremembah. Investicijsko podjetje sprejme ustrezne ukrepe, da zagotovi stalno spremljanje bonitete kreditojemalcev glede na njihov vpliv na tveganje koncentracije. Investicijsko podjetje se mora biti na podlagi teh ukrepov sposobno primerno in pravočasno odzivati na morebitno poslabšanje bonitete. |
| 2. Where an investment firm exceeds the internal limits set according to the strategy referred to in point (d) of paragraph 1, it shall notify the competent authority without delay of the size and nature of the excess and of the counterparty. | 2. Če investicijsko podjetje preseže notranje zgornje omejitve, določene v skladu s strategijo iz točke (d) odstavka 1, mora pristojne organe nemudoma obvestiti o vrsti in obsegu prekoračitve ter o nasprotni stranki. |
| Article 46 | Člen 46 |
| By way of derogation from Article 20(1), until 31 December 2011 competent authorities may choose, on a case-by-case basis, not to apply the capital requirements arising from point (d) of Article 75 of Directive 2006/48/EC in respect of investment firms to which Article 20(2) and (3) do not apply, whose total trading book positions never exceed EUR 50 million and whose average number of relevant employees during the financial year does not exceed 100. | Z odstopanjem od člena 20(1) se lahko pristojni organi do 31. decembra 2011 v posameznih primerih odločijo, da ne bodo uporabili kapitalskih zahtev, ki izhajajo iz točke (d) člena 75 Direktive 2006/48/ES, za investicijska podjetja, za katera člen 20(2) in (3) ne velja, katerih skupne pozicije trgovalne knjige nikoli ne presegajo 50 000 000 EUR in pri katerih povprečno število aktivno zaposlenih v finančnem letu ne preseže 100. |
| Instead, the capital requirement in relation to those investment firms shall be at least the lower of: | Namesto tega je kapitalska zahteva enaka vsaj najnižji vrednosti: |
| (a) | the capital requirements arising from point (d) of Article 75 of Directive 2006/48/EC; and | (a) | kapitalskih zahtev, ki izhajajo iz točke (d) člena 75 Direktive 2006/48/ES; in |
| b) | 12/88 of the higher of the following: | (i) | the sum of the capital requirements contained in points (a) to (c) of Article 75 of Directive 2006/48/EC; and | (ii) | the amount laid down in Article 21 of this Directive, notwithstanding Article 20(5). | (b) | 12/88 od višje vrednosti naslednjega: | (i) | vsote kapitalskih zahtev po točkah (a) do (c) člena 75 Direktive 2006/48/ES; in | (ii) | zneska, določenega v členu 21 te direktive, ne glede na člen 20(5). |
| If point (b) applies, an incremental increase shall be applied on at least an annual basis. | Če se uporablja točka (b), se uporabi posamezno povečanje najmanj na letni osnovi. |
| Applying this derogation shall not result in a reduction in the overall level of capital requirements for an investment firm, in comparison to the requirements as at 31 December 2006, unless such a reduction is prudentially justified by a reduction in the size of the investment firm's business. | Z uporabo tega odstopanja se raven kapitalskih zahtev za investicijsko podjetje v primerjavi z zahtevami 31. decembra 2006 ne zniža, razen če takšno znižanje je upravičeno zaradi zmanjšanega obsega poslovanja investicijskega podjetja. |
| Article 47 | Člen 47 |
| Until 31 December 2009 or any earlier date specified by the competent authorities on a case-by-case basis, institutions that have received specific risk model recognition prior to 1 January 2007 in accordance with point 1 of Annex V may, for that existing recognition, treat points 4 and 8 of Annex V to Directive 93/6/EEC as those points stood prior to 1 January 2007. | Do 31. decembra 2009 ali drugega zgodnejšega datuma, ki ga določijo pristojni organi za vsak primer posebej, lahko institucije, ki so v skladu z odstavkom 1 Priloge V prejele priznanje modela za posebno pozicijsko tveganje pred 1. januarjem 2007, na podlagi tega obstoječega priznanja obravnavajo odstavka 4 in 8 Priloge V k Direktivi 93/6/EGS, kot sta navedena odstavka veljala pred 1. januarjem 2007. |
| Article 48 | Člen 48 |
| 1. The provisions on capital requirements as laid down in this Directive and Directive 2006/48/EC shall not apply to investment firms whose main business consists exclusively of the provision of investment services or activities in relation to the financial instruments set out in points 5, 6, 7, 9 and 10 of Section C of Annex I to Directive 2004/39/EC and to whom Directive 93/22/EEC (13) did not apply on 31 December 2006. This exemption is available until 31 December 2010 or the date of entry into force of any modifications pursuant to paragraphs 2 and 3, whichever is the earlier. | 1. Določbe o kapitalskih zahtevah iz te direktive in Direktive 2006/48/ES ne veljajo za investicijska podjetja, katerih glavne dejavnosti obsegajo izključno zagotavljanje investicijskih storitev ali izvajanje dejavnosti v zvezi s finančnimi instrumenti, določenimi v odstavkih 5,6,7, 9 in 10 oddelka C Priloge I k Direktivi 2004/39/ES, in za katere se dne 31. decembra 2006 Direktiva 93/22/EGS (13) ni veljala. Izjema velja do 31. decembra 2010 ali do začetka veljave morebitnih sprememb v skladu z odstavkoma 2 in 3, če bodo te spremembe začele veljati pred zgornjim datumom. |
| 2. As part of the review required by Article 65(3) of Directive 2004/39/EC, the Commission shall, on the basis of public consultations and in the light of discussions with the competent authorities, report to the Parliament and the Council on: | 2. V okviru revizije, zahtevane v členu 65(3) Direktive 2004/39/ES, Komisija na podlagi javnih posvetovanj in v luči razprav s pristojnimi organi poroča Evropskemu parlamentu in Svetu o: |
| (a) | an appropriate regime for the prudential supervision of investment firms whose main business consists exclusively of the provision of investment services or activities in relation to the commodity derivatives or derivatives contracts set out in points 5, 6, 7, 9 and 10 of Section C of Annex I to Directive 2004/39/EC; and | (a) | ustrezni ureditvi skrbnega nadzora investicijskih podjetij, katerih glavne dejavnosti obsegajo izključno zagotavljanje investicijskih storitev ali izvajanje investicijskih dejavnosti, povezanih z izvedenimi finančnimi instrumenti na blago ali z izvedenimi finančnimi instrumenti, navedenimi pod točkami 5, 6, 7, 9 in 10 oddelka C Priloge I k Direktivi 2004/39 ES; in |
| (b) | the desirability of amending Directive 2004/39/EC to create a further category of investment firm whose main business consists exclusively of the provision of investment services or activities in relation to the financial instruments set out in points 5, 6, 7, 9 and 10 of Section C of Annex I to Directive 2004/39/EC relating to energy supplies (including electricity, coal, gas and oil). | (b) | smotrnost spreminjanja Direktive 2004/39/ES zaradi ustvarjanja nove kategorije investicijskih podjetij, katerih glavne dejavnosti obsegajo izključno zagotavljanje investicijskih storitev ali izvajanje investicijskih dejavnosti, povezanih s finančnimi instrumenti, navedenimi pod točkami 5, 6, 7, 9 in 10 oddelka C Priloge I k Direktivi 2004/39 ES v zvezi z oskrbo z energijo (vključno z elektriko, premogom, plinom in nafto). |
| 3. On the basis of the report referred to in paragraph 2, the Commission may submit proposals for amendments to this Directive and to Directive 2006/48/EC | 3. Na podlagi poročila iz odstavka 2 lahko Komisija da predloge za ustrezno spremembo te direktive in Direktive 2006/48/ES. |
| Section 4 | Oddelek 4 |
| Final provisions | Končne določbe |
| Article 49 | Člen 49 |
| 1. Member States shall adopt and publish, by 31 December 2006, the laws, regulations and administrative provisions necessary to comply with Articles 2, 3, 11, 13, 17, 18, 19, 20, 22, 23, 24, 25, 29, 30, 33, 34, 35, 37, 39, 40, 41, 43, 44, 50 and the Annexes I, II, III, V, VII. They shall forthwith communicate to the Commission the text of those provisions and a correlation table between those provisions and this Directive. | 1. Države članice do 31. decembra 2006 sprejmejo in objavijo zakone in druge predpise, potrebne za uskladitev s členi 2, 3, 11, 13, 17, 18, 19, 20, 22, 23, 24, 25, 29, 30, 33, 34, 35, 37, 39, 40, 41, 43, 44, 50 in Prilogami I, II, III, V, VII. Besedilo navedenih predpisov in korelacijsko tabelo med navedenimi predpisi in to direktivo takoj posredujejo Komisiji. |
| They shall apply those provisions from 1 January 2007. | Navedeni predpisi se začnejo uporabljati od 1. januarja 2007. |
| When Member States adopt those measures, they shall contain a reference to this Directive or be accompanied by such a reference on the occasion of their official publication. They shall also include a statement that references in existing laws, regulations and administrative provisions to the directives repealed by this Directive shall be construed as references to this Directive. | Države članice se v sprejetih predpisih sklicujejo na to direktivo ali pa sklic nanjo navedejo ob njihovi uradni objavi. Vključijo tudi izjavo, da se sklicevanja v obstoječih zakonih in drugih predpisih na direktive, ki jih ta direktiva razveljavlja, štejejo za sklicevanja na to direktivo. |
| 2. Member States shall communicate to the Commission the text of the main provisions of national law which they adopt in the field covered by this Directive. | 2. Države članice Komisiji sporočijo besedilo temeljnih določb nacionalnih predpisov sprejetih na področju, ki ga ureja ta direktiva. |
| Article 50 | Člen 50 |
| 1. Article 152(8) to (14) of Directive 2006/48/EC shall apply mutatis mutandis for the purposes of this Directive subject to the following provisions which shall apply where the discretion referred to in Article 152(8) of Directive 2006/48/EC is exercised: | 1. Člen 152(8) do (14) Direktive 2006/48/ES se smiselno uporablja za namene te direktive v skladu z naslednjimi določbami, ki veljajo, če se uporablja diskrecijo iz člena 152(8) Direktive 2006/48/ES: |
| (a) | references in point 7 of Annex II to this Directive to Directive 2006/48/EC shall be read as references to Directive 2000/12/EC as that Directive stood prior to 1 January 2007; and | (a) | sklicevanja v odstavku 7 Priloge II k tej direktivi na Direktivo 2006/48/ES se štejejo za sklicevanja na Direktivo 2000/12/ES v obliki navedene direktive, v kakršni je bila pred 1. januarjem 2007; in |
| (b) | point 4 of Annex II to this Directive shall apply as it stood prior to 1 January 2007. | (b) | odstavek 4 Priloge II k tej Direktivi se uporablja v obliki, v kakršni je bil pred 1. januarjem 2007. |
| 2. Article 157(3) of Directive 2006/48/EC shall apply mutatis mutandis for the purposes of Articles 18 and 20 of this Directive. | 2. Člen 157(2) Direktive 2006/48/ES se smiselno uporablja za namene členov 18 in 20 te direktive. |
| Article 51 | Člen 51 |
| By 1 January 2011, the Commission shall review and report on the application of this Directive and submit its report to the Parliament and the Council together with any appropriate proposals for amendment. | Komisija do 1. januarja 2011 pregleda in poroča o uporabi te direktive ter svoje poročilo skupaj z ustreznimi predlogi sprememb predloži Parlamentu in Svetu. |
| Article 52 | Člen 52 |
| Directive 93/6/EEC, as amended by the Directives listed in Annex VIII, Part A, is repealed, without prejudice to the obligations of the Member States relating to the time-limits for transposition into national law of the Directives set out in Annex VIII, Part B. | Direktiva 93/6/EGS, spremenjena z direktivami, naštetimi v delu A Priloge VIII, se razveljavi brez poseganja v obveznosti držav članic v zvezi z roki za prenos direktiv iz dela B Priloge VIII v nacionalno zakonodajo. |
| References made to the repealed directives shall be construed as being made to this Directive and should be read in accordance with the correspondence table set out in Annex IX. | Sklicevanja na razveljavljene direktive se štejejo kot sklicevanja na to direktivo in se berejo v skladu s korelacijsko tabelo iz Priloge IX. |
| Article 53 | Člen 53 |
| This Directive shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. | Ta direktiva začne veljati dvajseti dan po objavi v Uradnem listu Evropske unije. |
| Article 54 | Člen 54 |
| This Directive is addressed to the Member States. | Ta direktiva je naslovljena na države članice. |
| Done at Strasbourg, 14 June 2006. | V Strasbourgu 14. junij 2006. |
| For the European Parliament | Za Evropski parlament |
| The President | Predsednik |
| J. BORRELL FONTELLES | J. BORELL FONTELLES |
| For the Council | Za Svet |
| The President | Predsednik |
| H. WINKLER | H. WINKLER |
| (1)
OJ C 234, 22.9.2005, p. 8. | (1) UL C 234, 22.9.2005, str. 8. |
| (2)
OJ C 52, 2.3.2005, p. 37. | (2) UL C 52, 2.3.2005, str. 37. |
| (3) Opinion of the European Parliament of 28 September 2005 (not yet published in the OJ) and Decision of the Council of 7 June 2006. | (3) Mnenje Evropskega parlamenta z dne 28. septembra 2005 (še ni objavljeno v Uradnem listu) in Sklep Sveta z dne 7. junija 2006. |
| (4)
OJ L 141, 11.6.1993, p. 1. Directive as last amended by Directive 2005/1/EC of the European Parliament and of the Council (OJ L 79, 24.3.2005, p. 9). | (4) UL L 141, 11.6.1993, str. 1. Direktiva, kakor je bila nazadnje spremenjena z Direktivo 2005/1/ES Evropskega parlamenta in Sveta (UL L 79, 24.3.2005, str. 9). |
| (5)
OJ L 145, 30.4.2004, p. 1. | (5) UL L 145, 30.4.2004, str. 1. |
| (6) See page 1 of this official Journal | (6) Glej stran 1 tega Uradnega lista. |
| (7)
OJ L 184, 17.7.1999, p. 23. | (7) UL L 184, 17.7.1999, str. 23. |
| (8)
OJ C 284 E, 21.11.2002, p. 115. | (8) UL C 284 E, 21.11.2002, str. 115. |
| (9)
OJ L 35, 11.2.2003, p. 1. Directive as amended by Directive 2005/1/EC. | (9) UL L 35, 11.2.2003, str. 1. Direktiva, kakor je bila nazadnje spremenjena z Direktivo 2005/1/ES. |
| (10)
OJ L 9, 15.1.2003, p. 3. | (10) UL L 9, 15.1.2003, str. 3. |
| (11)
OJ L 222, 14.8.1978, p. 11. Directive as last amended by Directive 2003/51/EC of the European Parliament and of the Council (OJ L 178, 17.7.2003, p. 16). | (11) UL L 222, 14.8.1978, str. 11. Direktiva, kakor je bila nazadnje spremenjena z Direktivo 2003/51/ES Evropskega parlamenta in Sveta (UL L 178, 17.7.2003, str. 16). |
| (12)
OJ L 3, 7.1.2004, p. 36. | (12) UL L 3, 7.1.2004, str. 36. |
| (13) Council Directive 93/22/EEC of 10 May 1993 on investment services in the securities field (OJ L 141, 11.6.1993, p. 27). Directive as last amended by Directive 2002/87/EC. | (13) Direktiva Sveta 93/22/EGS z dne 10. maja 1993 o investicijskih storitvah na področju vrednostnih papirjev (UL L 141, 11.6.1993, str. 27). Direktiva, kakor je bila nazadnje spremenjena z Direktivo 2002/87/ES. |
| ANNEX I | PRILOGA I |
| CALCULATING CAPITAL REQUIREMENTS FOR POSITION RISK | IZRAČUN KAPITALSKIH ZAHTEV ZA POZICIJSKO TVEGANJE |
| GENERAL PROVISIONS | SPLOŠNE DOLOČBE |
| Netting | Ugotavljanje neto pozicije |
| 1. | The excess of an institution's long (short) positions over its short (long) positions in the same equity, debt and convertible issues and identical financial futures, options, warrants and covered warrants shall be its net position in each of those different instruments. In calculating the net position the competent authorities shall allow positions in derivative instruments to be treated, as laid down in points 4 to 7, as positions in the underlying (or notional) security or securities. Institutions' holdings of their own debt instruments shall be disregarded in calculating specific risk under point 14. | 1. | Presežna vrednost dolgih (kratkih) pozicij institucije nad njenimi kratkimi (dolgimi) pozicijami v istovrstnih lastniških, dolžniških in zamenljivih vrednostnih papirjih ter identičnih finančnih terminskih pogodbah (finančni futures), opcijah, nakupnih bonih, kritih nakupnih bonih je njena neto pozicija v vsakem od teh različnih instrumentov. Pri izračunavanju neto pozicije pristojni organi dovolijo, da se pozicije v izvedenih finančnih instrumentih v skladu z odstavki 4 do 7 obravnavajo kot pozicije v osnovnih (ali hipotetičnih) vrednostnih papirjih. Lastni dolžniški instrumenti institucije se pri izračunavanju posebnega pozicijskega tveganja iz odstavka 14 ne upoštevajo. |
| 2. | No netting shall be allowed between a convertible and an offsetting position in the instrument underlying it, unless the competent authorities adopt an approach under which the likelihood of a particular convertible's being converted is taken into account or have a capital requirement to cover any loss which conversion might entail. | 2. | Ne dovoli se nobeno pobotanje med zamenljivim vrednostnim papirjem in pozicijo v njegovem osnovnem finančnem instrumentu, razen če pristojni organi izberejo pristop, ki upošteva verjetnost izvršitve zamenjave določenega zamenljivega vrednostnega papirja ali če je izpolnjena kapitalska zahteva za kritje vsakršne izgube, ki bi lahko izhajala iz zamenjave. |
| 3. | All net positions, irrespective of their signs, must be converted on a daily basis into the institution's reporting currency at the prevailing spot exchange rate before their aggregation. | 3. | Vse neto pozicije, ne glede na njihov predznak, je treba vsak dan pred njihovim seštevkom spremeniti v valuto poročanja institucije po tržnem deviznem tečaju pred njegovim agregiranjem |
| Particular instruments | Posebni instrumenti |
| 4. | Interest‐rate futures, forward‐rate agreements (FRAs) and forward commitments to buy or sell debt instruments shall be treated as combinations of long and short positions. Thus a long interest‐rate futures position shall be treated as a combination of a borrowing maturing on the delivery date of the futures contract and a holding of an asset with maturity date equal to that of the instrument or notional position underlying the futures contract in question. Similarly a sold FRA will be treated as a long position with a maturity date equal to the settlement date plus the contract period, and a short position with maturity equal to the settlement date. Both the borrowing and the asset holding shall be included in the first category set out in Table 1 in point 14 in order to calculate the capital required against specific risk for interest‐rate futures and FRAs. A forward commitment to buy a debt instrument shall be treated as a combination of a borrowing maturing on the delivery date and a long (spot) position in the debt instrument itself. The borrowing shall be included in the first category set out in Table 1 in point 14 for purposes of specific risk, and the debt instrument under whichever column is appropriate for it in the same table. | The competent authorities may allow the capital requirement for an exchange‐traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in this Annex or applying the internal models method described in Annex V. The competent authorities may also allow the capital requirement for an OTC derivatives contract of the type referred to in this point cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement for the contract in question that would result from a calculation made using the method set out in the this Annex or applying the internal models method described in Annex V. | For the purposes of this point, ‘long position’ means a position in which an institution has fixed the interest rate it will receive at some time in the future, and ‘short position’ means a position in which it has fixed the interest rate it will pay at some time in the future. | 4. | Terminske pogodbe, na obrestno mero, dogovori o terminski obrestni meri („Forward Rate Agreements“ – FRA) in pogodbe o terminskem nakupu ali prodaji dolžniških instrumentov se obravnavajo kot kombinacije dolgih in kratkih pozicij. Dolga pozicija terminske pogodbe na obrestno mero se tako obravnava kot kombinacija sposojenega sredstva, ki zapade na dan poravnave terminske pogodbe, in lastnega sredstva, katerega dan zapadlosti je enak dnevu zapadlosti instrumenta ali hipotetične pozicije, na katero se terminska pogodba nanaša. Podobno se prodan dogovor o terminski obrestni meri obravnava kot dolga pozicija z dnem zapadlosti, ki je enak dnevu poravnave plus pogodbeno obdobje, in kot kratka pozicija s sovpadajočim dnevom zapadlosti in poravnave. Tako sposojena sredstva kot tudi lastna sredstva se vključijo v prvo kategorijo, določeno v tabeli 1 v odstavku 14 za izračun potrebnega kapitala v zvezi s posebnim pozicijskim tveganjem za terminske pogodbe na obrestno mero in dogovore o terminski obrestni meri. Pogodba o terminskem nakupu dolžniškega instrumenta se obravnava kot kombinacija sposojenega instrumenta, ki zapade na dan poravnave, in dolgo (promptno) pozicijo v samem dolžniškem instrumentu. Sposojeno sredstvo se vključi v prvo kategorijo, določeno v tabeli 1 v odstavku 14 za namene posebnega tveganja, dolžniško sredstvo pa v zanj ustrezni stolpec v isto tabelo. | Pristojni organi lahko dovolijo, da je kapitalska zahteva za terminske pogodbe, s katerimi se trguje na borzi, enaka kritju, ki ga zahteva borza, če so popolnoma prepričani, da to zagotavlja natančno merilo tveganja iz naslova terminske pogodbe in da je vsaj enako kapitalski zahtevi za terminsko pogodbo, če se ta izračuna po metodi iz te priloge ali z uporabo notranjih modelov iz Priloge V. Pristojni organi lahko dovolijo, da je kapitalska zahteva za pogodbo z OTC izvedenimi finančnimi instrumenti, ki upošteva določbe tega odstavka in jo poravna priznana klirinška družba, enaka kritju, ki ga zahteva klirinška družba, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo tveganja iz naslova pogodbe z izvedenimi finančnimi instrumenti in je najmanj enako kapitalski zahtevi iz zadevne pogodbe, če se ta izračuna po metodi iz te priloge ali z uporabo notranjih modelov iz Priloge V. | Za namene tega odstavka „dolga pozicija“ pomeni pozicijo, v kateri je institucija fiksirala obrestno mero, ki jo bo prejela enkrat v prihodnosti, in „kratka pozicija“ pomeni pozicijo, v kateri je fiksirala obrestno mero, ki jo bo enkrat v prihodnosti plačala. |
| 5. | Options on interest rates, debt instruments, equities, equity indices, financial futures, swaps and foreign currencies shall be treated as if they were positions equal in value to the amount of the underlying instrument to which the option refers, multiplied by its delta for the purposes of this Annex. The latter positions may be netted off against any offsetting positions in the identical underlying securities or derivatives. The delta used shall be that of the exchange concerned, that calculated by the competent authorities or, where that is not available or for OTC-options, that calculated by the institution itself, subject to the competent authorities being satisfied that the model used by the institution is reasonable. | However, the competent authorities may also prescribe that institutions calculate their deltas using a methodology specified by the competent authorities. | Other risks, apart from the delta risk, associated with options shall be safeguarded against. The competent authorities may allow the requirement against a written exchange‐traded option to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement against an option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. The competent authorities may also allow the capital requirement for an OTC option cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement for an OTC option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. In addition they may allow the requirement on a bought exchange‐traded or OTC option to be the same as that for the instrument underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement against a written OTC option shall be set in relation to the instrument underlying it. | 5. | Opcije na obrestne mere, dolžniške finančne instrumente, lastniške finančne instrumente, delniške indekse, finančne terminske pogodbe, zamenjave in tuje valute se obravnavajo kot pozicije, katerih vrednost je enaka vrednosti osnovnega finančnega instrumenta, na katerega se opcija nanaša, pomnoženega s svojo delto za namene te priloge. Slednje pozicije se lahko pobotajo z nasprotnimi v istovrstnih osnovnih vrednostnih papirjih ali izvedenih finančnih instrumentih. Uporabljena delta je delta borze, delta, ki jo izračunajo pristojni organi, ali delta, ki jo izračuna institucija sama za OTC opcije ali v primeru, da delta ni na voljo, ob odobritvi pristojnih organov, ki ocenijo, da je institucija uporabila primeren model. | Vendar pristojni organi lahko predpišejo, da morajo institucije svoje delte izračunavati po metodologiji, ki jo določijo pristojni organi. | Z izjemo delta tveganj je nujno se zavarovati tudi pred drugimi tveganji, povezanimi z opcijami. Pristojni organi lahko dovolijo, da je kapitalska zahteva za izdano opcijo, s katero se trguje na borzi, enaka kritju, ki ga zahteva borza, če so popolnoma prepričani, da to zagotavlja natančno merilo tveganja povezano z opcijo in je najmanj enako kapitalski zahtevi do opcije, če se ta izračuna po metodi, navedeni v tej prilogi ali z uporabo notranjih modelov iz Priloge V. Pristojni organi lahko dovolijo, da je kapitalska zahteva za OTC opcijo na blago, ki jo poravna priznana klirinška družba, in za katero pristojni organi ugotovijo, da je enaka kritju, ki ga zahteva klirinška družba, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo tveganja povezano z opcijo in je najmanj enako kapitalski zahtevi za OTC opcijo, če se ta izračuna po metodi, navedeni v nadaljevanju te priloge, ali z uporabo notranjih modelov iz Priloge V. Poleg tega pristojni organi lahko dovolijo, da je kritje kupljene opcije, s katero se trguje na borzi ali OTC opcije, enako, enako kapitalski zahtevi osnovnega instrumenta opcije, pod pogojem, da izračunano kritje ne presega tržne vrednosti opcije. Kapitalska zahteva za izdano OTC opcijo se določi v skladu z osnovnim instrumentom opcije. |
| 6. | Warrants relating to debt instruments and equities shall be treated in the same way as options under point 5. | 6. | Nakupni boni, ki so vezani na dolžniške in lastniške finančne instrumente, se obravnavajo na isti način kot opcije iz odstavka 5. |
| 7. | Swaps shall be treated for interest‐rate risk purposes on the same basis as on‐balance‐sheet instruments. Thus, an interest‐rate swap under which an institution receives floating‐rate interest and pays fixed‐rate interest shall be treated as equivalent to a long position in a floating‐rate instrument of maturity equivalent to the period until the next interest fixing and a short position in a fixed‐rate instrument with the same maturity as the swap itself. | 7. | Zamenjave se zaradi tveganja spremembe obrestne mere obravnavajo na isti osnovi kot bilančna sredstva. Tako se zamenjava na obrestno mero, po kateri institucija prejema spremenljivo obrestno mero in plačuje fiksno obrestno mero, obravnava kot istovetna z dolgo pozicijo pri instrumentih s spremenljivo obrestno mero, katerega rok zapadlosti sovpada z rokom naslednje določitve obrestne mere, in s kratko pozicijo pri instrumentih s fiksno obrestno mero in isto zapadlostjo, kot jo ima sama zamenjava . |
| A. TREATMENT OF THE PROTECTION SELLER | A. OBRAVNAVA PRODAJALCA ZAVAROVANJA |
| 8. | When calculating the capital requirement for market risk of the party who assumes the credit risk (the ‘protection seller’), unless specified differently, the notional amount of the credit derivative contract must be used. For the purpose of calculating the specific risk charge, other than for total return swaps, the maturity of the credit derivative contract is applicable instead of the maturity of the obligation. Positions are determined as follows:(i) | A total return swap creates a long position in the general market risk of the reference obligation and a short position in the general market risk of a government bond with a maturity equivalent to the period until the next interest fixing and which is assigned a 0 % risk weight under Annex VI of Directive 2006/48/EC. It also creates a long position in the specific risk of the reference obligation.(ii) | A credit default swap does not create a position for general market risk. For the purposes of specific risk, the institution must record a synthetic long position in an obligation of the reference entity, unless the derivative is rated externally and meets the conditions for a qualifying debt item, in which case a long position in the derivative is recorded. If premium or interest payments are due under the product, these cash flows must be represented as notional positions in government bonds.(iii) | A single name credit linked note creates a long position in the general market risk of the note itself, as an interest rate product. For the purpose of specific risk, a synthetic long position is created in an obligation of the reference entity. An additional long position is created in the issuer of the note. Where the credit linked note has an external rating and meets the conditions for a qualifying debt item, a single long position with the specific risk of the note need only be recorded.(iv) | In addition to a long position in the specific risk of the issuer of the note, a multiple name credit linked note providing proportional protection creates a position in each reference entity, with the total notional amount of the contract assigned across the positions according to the proportion of the total notional amount that each exposure to a reference entity represents. Where more than one obligation of a reference entity can be selected, the obligation with the highest risk weighting determines the specific risk. | Where a multiple name credit linked note has an external rating and meets the conditions for a qualifying debt item, a single long position with the specific risk of the note need only be recorded.(v) | A first-asset-to-default credit derivative creates a position for the notional amount in an obligation of each reference entity. If the size of the maximum credit event payment is lower than the capital requirement under the method in the first sentence of this point, the maximum payment amount may be taken as the capital requirement for specific risk. | A second-asset-to-default credit derivative creates a position for the notional amount in an obligation of each reference entity less one (that with the lowest specific risk capital requirement). If the size of the maximum credit event payment is lower than the capital requirement under the method in the first sentence of this point, this amount may be taken as the capital requirement for specific risk. | If a first or second-asset to default derivative is externally rated and meets the conditions for a qualifying debt item, then the protection seller need only calculate one specific risk charge reflecting the rating of the derivative. | 8. | Razen če ni drugače določeno, je treba pri izračunu kapitalske zahteve za tržno tveganje stranke, ki prevzame kreditno tveganje („prodajalec zavarovanja“), uporabiti nominalni znesek kreditnega izvedenega finančnega instrumenta. Pri izračunu kapitalske zahteve za posebno tveganje se razen pri zamenjavi skupnih donosov namesto zapadlosti obveznosti uporablja zapadlost kreditnega finančnega izvedenega instrumenta. Pozicije se določijo na naslednji način: | (i) | zamenjava skupnih donosov za splošno tveganje ustvari dolgo pozicijo referenčni obveznosti in kratko pozicijo v državni obveznici, katere rok zapadlosti sovpada z rokom naslednje določitve obrestne mere in ki ji je dodeljena utež tveganja 0 % v skladu s Prilogo VI Direktive 2006/48/ES. Poleg tega za posebno tveganje ustvari dolgo pozicijo v referenčni obveznosti; | (ii) | kreditna zamenjava ne ustvari pozicije za splošno tveganje. Za namene posebnega tveganja mora institucija evidentirati sintetično dolgo pozicijo v obveznosti referenčnega subjekta, razen če izvedeni finančni instrument ima določeno bonitetno oceno in ustreza pogojem kvalificiranega dolga. V tem primeru se izkaže dolga pozicija v izvedenem finančnem instrumentu. Če plačilo premije ali obresti zapade po kreditni zamenjavi, morajo biti ti denarni tokovi predstavljeni kot hipotetične pozicije v državnih obveznicah; | (iii) | kreditni zapis za eno samo izpostavljenost za splošno tveganje ustvari dolgo pozicijo v samem kreditnem zapisu, kot obrestni produkt. Za namene posebnega tveganja se ustvari sintetična dolga pozicija v obveznosti referenčnega subjekta. Dodatna dolga pozicija se ustvari na posebno tveganje izdajatelja zapisa. Če ima kreditni zapis zunanjo bonitetno oceno in izpolnjuje pogoje za kvalificiran dolg, se lahko evidentira ena sama dolga pozicija povezana s posebnim tveganjem zapisa; | (iv) | poleg dolge pozicije, povezana s posebnim tveganjem izdajatelja zapisa, kreditni zapis za skupino izpostavljenosti, ki zagotavlja sorazmerno zavarovanje teh izpostavljenosti, ustvari pozicijo v vsakem referenčnem subjektu, pri čemer je skupni nominalni znesek pogodbe razporejen po vseh pozicijah glede na delež v skupnem evidenčnem znesku, ki ga predstavlja vsaka izpostavljenost v odnosu do referenčnega subjekta. Če se lahko izbere več kot ena obveznost referenčnega subjekta, se posebno tveganje določi z obveznostjo z največjo utežjo tveganja; | Če ima kreditni zapis za skupino izpostavljenosti zunanjo bonitetno oceno in izpolnjuje pogoje kvalificiranega dolga, se lahko evidentira ena sama dolga pozicija, povezana s posebnim tveganjem zapisa; in | (v) | kreditni izvedeni finančni instrument na podlagi prvega neplačila ustvari pozicijo v višini nominalnega zneska v obveznosti vsakega referenčnega subjekta. Če je obseg največjega plačila po kreditnem dogodku nižji od kapitalske zahteve, izračunane v skladu s prvim stavkom te točke, se lahko kot kapitalska zahteva za posebno tveganje uporabi maksimalni znesek plačila. | Kreditni izvedeni finančni instrument na podlagi drugega neplačila ustvari pozicijo v višini nominalnega zneska v obveznosti vsakega referenčnega subjekta, zmanjšane za ena (tiste z najnižjo kapitalsko zahtevo za posebno tveganje). Če je obseg največjega plačila po kreditnem dogodku nižji od kapitalske zahteve, izračunane v skladu s prvim stavkom tega pododstavka, se lahko kot kapitalska zahteva za posebno tveganje uporabi ta znesek. | Če ima kreditni izvedeni finančni instrument na podlagi prvega ali drugega neplačila zunanjo bonitetno oceno in izpolnjuje pogoje za kvalificiran dolg, potem prodajalec zavarovanja izračuna eno samo kapitalsko zahtevo za posebno tveganje, ki odraža oceno kreditnega izvedenega finančnega instrumenta. |
| B. TREATMENT OF THE PROTECTION BUYER | B. OBRAVNAVA KUPCA ZAVAROVANJA |
| For the party who transfers credit risk (the ‘protection buyer’), the positions are determined as the mirror image of the protection seller, with the exception of a credit linked note (which entails no short position in the issuer). If at a given moment there is a call option in combination with a step‐up, such moment is treated as the maturity of the protection. In the case of nth to default credit derivatives, protection buyers are allowed to off‐set specific risk for n-1 of the underlyings (i.e., the n-1 assets with the lowest specific risk charge). | Za stranko, ki prenese kreditno tveganje („kupec zavarovanja“), se pozicije določijo kot zrcalna slika prodajalca zavarovanja, z izjemo kreditnega zapisa (ki ne ustvari kratke pozicije v obveznosti izdajatelja). Če v danem trenutku obstaja prodajna opcija v kombinaciji s stopnjevanjem, se tak trenutek obravnava kot zapadlost zavarovanja. V primeru kreditnih izvedenih finančnih instrumentov na podlagi n-tega neplačila, je kupcem zavarovanja dovoljeno, da izravnajo posebno tveganje za n-1 osnovnih sredstev (tj. n-1 sredstev z najnižjo zahtevo za posebno tveganje). |
| 9. | Institutions which mark to market and manage the interest‐rate risk on the derivative instruments covered in points 4 to 7 on a discounted‐cash‐flow basis may use sensitivity models to calculate the positions referred to in those points and may use them for any bond which is amortised over its residual life rather than via one final repayment of principal. Both the model and its use by the institution must be approved by the competent authorities. These models should generate positions which have the same sensitivity to interest‐rate changes as the underlying cash flows. This sensitivity must be assessed with reference to independent movements in sample rates across the yield curve, with at least one sensitivity point in each of the maturity bands set out in Table 2 of point 20. The positions shall be included in the calculation of capital requirements according to the provisions laid down in points 17 to 32. | 9. | Institucije, ki tržno vrednotijo in upravljajo tveganje spremembe obrestne mere v zvezi z izvedenimi finančnimi instrumenti iz odstavkov 4 do 7 na osnovi diskontiranega denarnega toka, lahko za izračun zgoraj navedenih pozicij uporabijo modele občutljivosti in jih lahko uporabijo za vsako obveznico, ki se namesto preko enega končnega odplačila glavnice amortizira do svoje preostale zapadlosti . Pristojni organi morajo odobriti tako model kot njegovo uporabo s strani institucije. Ti modeli naj bi ustvarili pozicije enako občutljive na spremembe obrestne mere kot denarni tokovi osnovnih finančnih instrumentov. Ta občutljivost se mora ocenjevati glede na samostojna gibanja vzorca obrestnih mer na krivulji donosnosti, z vsaj eno točko občutljivosti v vsakem razredu zapadlosti iz tabele 2 odstavka 20. Pozicije se v skladu z določbami iz odstavkov 17 do 32 vključijo v izračun kapitalskih zahtev. |
| 10. | Institutions which do not use models under point 9 may, with the approval of the competent authorities, treat as fully offsetting any positions in derivative instruments covered in points 4 to 7 which meet the following conditions at least:(a) | the positions are of the same value and denominated in the same currency;(b) | the reference rate (for floating‐rate positions) or coupon (for fixed‐rate positions) is closely matched; and(c) | the next interest‐fixing date or, for fixed coupon positions, residual maturity corresponds with the following limits: | (i) | less than one month hence: same day; | (ii) | between one month and one year hence: within seven days; and | (iii) | over one year hence: within 30 days. | 10. | Institucije, ki ne uporabljajo modelov iz odstavka 9, lahko s soglasjem pristojnih organov obravnavajo kot popolnoma izravnane vse pozicije v izvedenih finančnih instrumentih iz odstavkov 4 do 7, ki izpolnjujejo vsaj naslednje pogoje: | (a) | pozicije imajo enako vrednost in se glasijo na isto valuto; | (b) | referenčna obrestna mera (za pozicije s spremenljivo obrestno mero) in kuponska obrestna mera (za pozicije s fiksno obrestno mero) sta enaki ali podobni; in | (c) | rok do naslednje določitve obrestne mere oziroma za pozicije s fiksno obrestno mero rok do preostale zapadlosti ustreza naslednjim omejitvam: | (i) | krajši od enega meseca: isti dan; | (ii) | med enim mesecem in enim letom: v sedmih dneh; in | (iii) | daljši od enega leta: v 30 dneh. |
| 11. | The transferor of securities or guaranteed rights relating to title to securities in a repurchase agreement and the lender of securities in a securities lending shall include these securities in the calculation of its capital requirement under this Annex provided that such securities meet the criteria laid down in Article 11. | 11. | Prenosnik vrednostnih papirjev ali zajamčenih pravic v zvezi z vrednostnimi papirji v okviru posla začasne prodaje in začasnega odkupa in posojevalec pri poslu posoje/izposoje vrednostnih papirjev vključita te vrednostne papirje v izračun svojih kapitalskih zahtev v skladu s to prilogo, če takšni vrednostni papirji izpolnjujejo pogoje iz člena 11. |
| Specific and general risks | Posebno in splošno tveganje |
| 12. | The position risk on a traded debt instrument or equity (or debt or equity derivative) shall be divided into two components in order to calculate the capital required against it. The first shall be its specific‐risk component — this is the risk of a price change in the instrument concerned due to factors related to its issuer or, in the case of a derivative, the issuer of the underlying instrument. The second component shall cover its general risk — this is the risk of a price change in the instrument due (in the case of a traded debt instrument or debt derivative) to a change in the level of interest rates or (in the case of an equity or equity derivative) to a broad equity‐market movement unrelated to any specific attributes of individual securities. | 12. | Pozicijsko tveganje v zvezi z dolžniškimi ali lastniškimi finančnimi instrumenti (ali dolžniškimi ali lastniškimi izvedenimi finančnimi instrumenti) se za izračun kapitalske zahteve razdeli na dva sestavna dela. Prvi je posebno tveganje – to je tveganje spremembe cene dolžniškega finančnega instrumenta zaradi dejavnikov, ki so povezani z njegovim izdajateljem ali, v primeru izvedenega sredstva, z izdajateljem osnovnega instrumenta. Drugi del pokriva splošno tveganje – to je tveganje spremembe cene finančnega instrumenta zaradi (v primeru dolžniških finančnih instrumentov ali dolžniških izvedenih finančnih instrumentov) spremembe ravni obrestnih mer ali (v primeru lastniških finančnih instrumentov ali lastniških izvedenih finančnih instrumentov) gibanj cen na delniškem trgu, ki niso povezana z značilnostmi posameznih vrednostnih papirjev. |
| TRADED DEBT INSTRUMENTS | DOLŽNIŠKI FINANČNI INSTRUMENTI |
| 13. | Net positions shall be classified according to the currency in which they are denominated and shall calculate the capital requirement for general and specific risk in each individual currency separately. | 13. | Neto pozicije se razvrstijo glede na valuto, na katero se glasijo, in izračuna se kapitalska zahteva za splošno in posebno tveganje v vsaki valuti posebej. |
| Specific risk | Posebno tveganje |
| 14. | The institution shall assign its net positions in the trading book, as calculated in accordance with point 1 to the appropriate categories in Table 1 on the basis of their issuer/obligor, external or internal credit assessment, and residual maturity, and then multiply them by the weightings shown in that table. It shall sum its weighted positions (regardless of whether they are long or short) in order to calculate its capital requirement against specific risk. | Table 1 | Categories | Specific risk capital charge | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional government or local authorities which would qualify for credit quality step 1 or which would receive a 0 % risk weight under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | 0 % | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities which would qualify for credit quality step 2 or 3 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 1 or 2 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 3 under the rules for the risk weighting of exposures under point 28, Part 1 of Annex VI to Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 1 or 2 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | Other qualifying items as defined in point 15. | 0,25 % (residual term to final maturity 6 months or less) | 1,00 % (residual term to final maturity greater than 6 and up to and including 24 months) | 1,60 % (residual term to final maturity exceeding 24 months) | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities or institutions which would qualify for credit quality step 4 or 5 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by institutions which would qualify for credit quality step 3 under the rules for the risk weighting of exposures under point 26 of Part 1 of Annex VI to Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 3 or 4 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | Exposures for which a credit assessment by a nominated ECAI is not available. | 8,00 % | Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States' regional governments or local authorities or institutions which would qualify for credit quality step 6 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 5 or 6 under the rules for the risk weighting of exposures under Articles 78 to 83 of Directive 2006/48/EC. | 12,00 % | For institutions which apply the rules for the risk weighting of exposures under Articles 84 to 89 of Directive 2006/48/EC, to qualify for a credit quality step the obligor of the exposure shall have an internal rating with a PD equivalent to or lower than that associated with the appropriate credit quality step under the rules for the risk weighting of exposures to corporates under Articles 78 to 83 of that Directive. | Instruments issued by a non-qualifying issuer shall receive a specific risk capital charge of 8 % or 12 % according to Table 1. Competent authorities may require institutions to apply a higher specific risk charge to such instruments and/or to disallow offsetting for the purposes of defining the extent of general market risk between such instruments and any other debt instruments. | Securitisation exposures that would be subject to a deduction treatment as set out in Article 66(2) of Directive 2006/48/EC, or risk-weighted at 1,250 % as set out in Part 4 of Annex IX to that Directive, shall be subject to a capital charge that is no less than that set out under those treatments. Unrated liquidity facilities shall be subject to a capital charge that is no less than that set out in Part 4 of Annex IX to Directive 2006/48/EC. | 14. | Institucija razvrsti vse neto pozicije v trgovalni knjigi, izračunane v skladu z odstavkom 1, v ustrezne kategorije v tabeli 1, glede na njihovega izdajatelja/dolžnika, na njihovo zunanjo ali notranjo bonitetno oceno ter glede na njihovo preostalo zapadlost in jih nato pomnoži z utežmi, prikazanimi v tabeli. Za izračun kapitalske zahteve za posebno tveganje institucija sešteje vse tehtane pozicije (ne glede na to, ali so dolge ali kratke). | Tabela 1 | Kategorije | Uteži za izračun kapitalske zahteve za posebno tveganje | Dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo enote centralne ravni držav ali, ki jih izdajo centralne banke, mednarodne organizacije, multilateralne razvojne banke ali enote regionalne ali lokalne ravni držav članic in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje 1 kreditne kvalitete ali bi prejeli utež tveganja 0 % na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES. | 0 % | Dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo enote centralne ravni držav ali, ki jih izdajo centralne banke, mednarodne organizacije, multilateralne razvojne banke ali enote regionalne ali lokalne ravni držav članic in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje 2 ali 3 kreditne kvalitete na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES, dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo institucije in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 1 ali 2 na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES, dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo institucije in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 3 na podlagi pravil za tehtanje izpostavljenosti v skladu z odstavkom 28 dela 1 Priloge VI k Direktivi 2006/48/ES in dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo podjetja in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 1 ali 2 na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES. | Druge postavke kvalificiranih izdajateljev, opredeljene v odstavku 15. | 0,25 % (preostali čas do končne zapadlosti šest mesecev ali manj) | 1,00 % (preostali čas do končne zapadlosti več kot šest mesecev do in vključno s 24 meseci) | 1,60 % (preostali čas do zapadlosti, daljši od 24 mesecev) | Dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo enote centralne ravni države, ki jih izdajo centralne banke, mednarodne organizacije, multilateralne razvojne banke ali enote regionalne ali lokalne ravni držav članic ali institucije in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 4 ali 5 na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES, dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo institucije in ki imajo zunanjo bonitetno oecno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 3 na podlagi pravil za tehtanje izpostavljenosti v skladu z odstavkom 26 dela 1 Priloge VI Direktive 2000/12/ES in dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo podjetja in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 3 ali 4 v skladu s pravili za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES. | Izpostavljenosti, za katere kreditna ocena s strani imenovane ECAI ni na voljo. | 8,00 % | Dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo enote centralne ravni držav, ki jih izdajo centralne banke, mednarodne organizacije, multilateralne razvojne banke ali enote regionalne ali lokalne ravni držav članic ali institucije in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 6 na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2006/48/ES in dolžniški vrednostni papirji, ki jih izdajo ali za katere jamčijo podjetja in ki imajo zunanjo bonitetno oceno primerne ECAI ter bi bili upravičeni do stopnje kreditne kvalitete 5 ali 6 na podlagi pravil za tehtanje izpostavljenosti v skladu s členi 78 do 83 Direktive 2000/12/ES. | 12,00 % | Za določitev stopnje kreditne kvalitete institucij, ki uporabljajo pravila za tehtanje izpostavljenosti po členih 84 do 89 Direktive 2006/48/ES, se za dolžnika izpostavljenosti uporabi notranja bonitetna ocena z enako ali nižjo PD od tiste, ki po pravilih za tehtanje izpostavljenosti podjetjem po členih 78 do 83 navedene direktive velja za primerno stopnjo kreditne kvalitete. | Za instrumente, ki jih izda nekvalificiran izdajatelj, prejmejo, v skladu s tabelo 1, utež za izračun kapitalska zahteva za posebno tveganje v višini 8 ali 12 odstotkov. Pristojni organi lahko od institucij zahtevajo, da za te instrumente uporabijo višjo utež za izračun kapitalske zahteve za posebno tveganje in/ali ne dovolijo pobotanja za potrebe določitve obsega splošnega tveganja med takimi instrumenti in drugimi dolžniškimi instrumenti. | Izpostavljenosti iz listinjenja, ki bi se odbijal od kapitala na podlagi obravnave, določene v členu 66(2) Direktive 2006/48/ES, ali ki se tehtajo z utežjo 1 250 %, kakor je določeno v delu 4 Priloge IX k navedeni direktivi, se za te pozicije uporablja kapitalska zahteva, ki ni manjša od tiste, opredeljene v okviru navedene obravnave. Za likvidnostna posojila oz. aranžmaje brez bonitetne ocene se uporablja kapitalska zahteva, ki ni manjša od tiste, določene v skladu z delom 4 Priloge IX k Direktivi 2006/48/ES. |
| 15. | For the purposes of point 14 qualifying items shall include:(a) | long and short positions in assets qualifying for a credit quality step corresponding at least to investment grade in the mapping process described in Title V, Chapter 2, Section 3, Sub‐section 1 of Directive 2006/48/EC;(b) | long and short positions in assets which, because of the solvency of the issuer, have a PD which is not higher than that of the assets referred to under (a), under the approach described in Title V, Chapter 2, Section 3, Sub‐section 2 of Directive 2006/48/EC;(c) | long and short positions in assets for which a credit assessment by a nominated external credit assessment institution is not available and which meet the following conditions: | (i) | they are considered by the institutions concerned to be sufficiently liquid; | (ii) | their investment quality is, according to the institution's own discretion, at least equivalent to that of the assets referred to under point (a); and | (iii) | they are listed on at least one regulated market in a Member State or on a stock exchange in a third country provided that the exchange is recognised by the competent authorities of the relevant Member State;(d) | long and short positions in assets issued by institutions subject to the capital adequacy requirements set out in Directive 2006/48/EC which are considered by the institutions concerned to be sufficiently liquid and whose investment quality is, according to the institution's own discretion, at least equivalent to that of the assets referred to under point (a); and(e) | securities issued by institutions that are deemed to be of equivalent, or higher, credit quality than those associated with credit quality step 2 under the rules for the risk weighting of exposures to institutions set out in Articles 78 to 83 of Directive 2006/48/EC and that are subject to supervisory and regulatory arrangements comparable to those under this Directive. | The manner in which the debt instruments are assessed shall be subject to scrutiny by the competent authorities, which shall overturn the judgment of the institution if they consider that the instruments concerned are subject to too high a degree of specific risk to be qualifying items. | 15. | Za namene odstavka 14 postavke kvalificiranih izdajateljev zajemajo: | (a) | dolge in kratke pozicije v dolžniških finančnih instrumentih, primernih za stopnjo kreditne kvalitete, ki vsaj ustreza investicijskemu razredu v postopku vzporejanja, opisanem v pododdelku 1 oddelka 3 poglavja 2 naslova V Direktive 2006/48/ES; | (b) | dolge in kratke pozicije v dolžniških finančnih instrumentih, ki imajo zaradi solventnosti izdajatelja PD, ki ustreza investicijskemu razredu, iz točke (a) zgoraj, v skladu s pristopom, opisanim v pododdelku 2 oddelka 3 poglavja 2 naslova V Direktive 2006/48/ES; | (c) | dolge in kratke pozicije v dolžniških finančnih instrumentih, ki nimajo zunanje bonitetne ocene primerne ECAI in ki izpolnjujejo naslednje pogoje: | (i) | zadevne institucije jih štejejo za dovolj likvidne; | (ii) | njihova investicijska kvaliteta je po lastni presoji institucije najmanj enakovredna investicijski kvaliteti pozicij, navedenih pod točko (a); in | (iii) | uvrščeni so vsaj na enem organiziranem trgu države članice ali na borzi tretje države, pod pogojem, da je borza priznana s strani pristojnih organov zadevne države članice; | (d) | dolge in kratke pozicije v dolžniških instrumentih, ki so jih izdale institucije, ki so dolžne izpolniti zahteve za kapitalsko ustreznost, opredeljene v Direktivi 2006/48/ES, ki jih zadevne institucije štejejo za dovolj likvidne in katerih investicijska kvaliteta je po lastni presoji institucije najmanj enakovredna investicijski kvaliteti pozicij iz točke (a); in | (e) | vrednostne papirje, ki so jih izdale institucije, za katere se šteje, da imajo enakovredno ali višjo kreditno kvaliteto od kvalitete, ki ustreza stopnji kreditne kvalitete 2 po pravilih za tehtanje izpostavljenosti z utežjo iz členov 73 do 83 Direktive 2006/48/ES, in ki so predmet nadzorniške in zakonske določbe, primerljive z določbami v tej direktivi. | Način ocenjevanja dolžniških finančnih instrumentov je predmet skrbnega nadzora pristojnih organov, ki ovržejo presojo institucije, če menijo, da so zadevni instrumenti izpostavljeni previsoki stopnji posebnega tveganja, da bi bili postavke kvalificiranih izdajateljev. |
| 16. | The competent authorities shall require the institution to apply the maximum weighting shown in Table 1 to point 14 to instruments that show a particular risk because of the insufficient solvency of the issuer. | 16. | Pristojni organi od institucij zahtevajo, da za instrumente, ki kažejo posebno tveganje zaradi nezadostne plačilne sposobnosti izdajatelja, uporabijo najvišjo utež iz tabele 1 iz odstavka 14. |
| General risk | Splošno tveganje |
| (a) Maturity-based | (a) Pristop, ki temelji na zapadlosti |
| 17. | The procedure for calculating capital requirements against general risk involves two basic steps. First, all positions shall be weighted according to maturity (as explained in point 18), in order to compute the amount of capital required against them. Second, allowance shall be made for this requirement to be reduced when a weighted position is held alongside an opposite weighted position within the same maturity band. A reduction in the requirement shall also be allowed when the opposite weighted positions fall into different maturity bands, with the size of this reduction depending both on whether the two positions fall into the same zone, or not, and on the particular zones they fall into. There are three zones (groups of maturity bands) altogether. | 17. | Postopek za izračun kapitalskih zahtev za splošno tveganje je sestavljen iz dveh osnovnih korakov. Prvič, za izračun kapitalske zahteve za splošno tveganje, se vse pozicije tehtajo glede na zapadlost (kakor je določeno v odstavku 18). Drugič, ta kapitalska zahteva se lahko zniža, če se v isti razred zapadlosti uvrstijo nasprotne tehtane pozicije . Znižanje te kapitalske zahteve se dovoli tudi v primeru, če so nasprotno tehtane pozicije uvrščene v različne razrede zapadlosti, pri čemer je obseg znižanja odvisen od tega, če sta poziciji uvrščeni v isto skupino ali ne, in od posameznih skupin razredov zapadlosti, v katere sta uvrščeni. Obstajajo tri skupine razredov zapadlosti. |
| 18. | The institution shall assign its net positions to the appropriate maturity bands in column 2 or 3, as appropriate, in Table 2 in point 20. It shall do so on the basis of residual maturity in the case of fixed-rate instruments and on the basis of the period until the interest rate is next set in the case of instruments on which the interest rate is variable before final maturity. It shall also distinguish between debt instruments with a coupon of 3 % or more and those with a coupon of less than 3 % and thus allocate them to column 2 or column 3 in Table 2. It shall then multiply each of them by the weighing for the maturity band in question in column 4 in Table 2. | 18. | Institucija ustrezno razvrsti vse neto pozicije v razrede zapadlosti v stolpce 2 ali 3 tabele 2 iz odstavka 20. Pri instrumentih s fiksno obrestno mero je merilo preostali čas do zapadlosti, pri instrumentih s spremenljivo obrestno mero pa obdobje do naslednje določitve obrestne mere. Institucija tudi razlikuje med dolžniškimi finančnimi instrumenti z nominalno obrestno mero 3 % ali več in dolžniškimi finančnimi instrumenti z nominalno obrestno mero, manjšo od 3 %, in jih na tej podlagi tudi razvrsti v stolpec 2 ali stolpec 3 tabele 2. Institucija nato vsakega od njih pomnoži z utežjo za razred zapadlosti iz stolpca 4 tabele 2. |
| 19. | It shall then work out the sum of the weighted long positions and the sum of the weighted short positions in each maturity band. The amount of the former which are matched by the latter in a given maturity band shall be the matched weighted position in that band, while the residual long or short position shall be the unmatched weighted position for the same band. The total of the matched weighted positions in all bands shall then be calculated. | 19. | Institucija nato izračuna vsoto tehtanih dolgih pozicij in vsoto tehtanih kratkih pozicij v vsakem posameznem razredu zapadlosti. Znesek tehtanih dolgih pozicij, ki so izravnane z zneskom tehtanih kratkih pozicij v določenem razredu zapadlosti, je izravnana tehtana pozicija v tem razredu, medtem ko je preostala dolga ali kratka pozicija neizravnana tehtana pozicija v istem razredu. Institucija nato izračuna seštevek izravnanih tehtanih pozicij v vseh razredih zapadlosti. |
| 20. | The institution shall compute the totals of the unmatched weighted long positions for the bands included in each of the zones in Table 2 in order to derive the unmatched weighted long position for each zone. Similarly, the sum of the unmatched weighted short positions for each band in a particular zone shall be summed to compute the unmatched weighted short position for that zone. That part of the unmatched weighted long position for a given zone that is matched by the unmatched weighted short position for the same zone shall be the matched weighted position for that zone. That part of the unmatched weighted long or unmatched weighted short position for a zone that cannot be thus matched shall be the unmatched weighted position for that zone. | Table 2 | Zone | Maturity band | Weighting (in %) | Assumed interest rate change (in %) | Coupon of 3 % or more | Coupon of less than 3 % | One | 0 ≤ 1 month | 0 ≤ 1 month | 0,00 | — | > 1 ≤ 3 months | > 1 ≤ 3 months | 0,20 | 1,00 | > 3 ≤ 6 months | > 3 ≤ 6 months | 0,40 | 1,00 | > 6 ≤ 12 months | > 6 ≤ 12 months | 0,70 | 1,00 | Two | > 1 ≤ 2 years | > 1,0 ≤ 1,9 years | 1,25 | 0,90 | > 2 ≤ 3 years | > 1,9 ≤ 2,8 years | 1,75 | 0,80 | > 3 ≤ 4 years | > 2,8 ≤ 3,6 years | 2,25 | 0,75 | Three | > 4 ≤ 5 years | > 3,6 ≤ 4,3 years | 2,75 | 0,75 | > 5 ≤ 7 years | > 4,3 ≤ 5,7 years | 3,25 | 0,70 | > 7 ≤ 10 years | > 5,7 ≤ 7,3 years | 3,75 | 0,65 | > 10 ≤ 15 years | > 7,3 ≤ 9,3 years | 4,50 | 0,60 | > 15 ≤ 20 years | > 9,3 ≤ 10,6 years | 5,25 | 0,60 | > 20 years | > 10,6 ≤ 12,0 years | 6,00 | 0,60 | | > 12,0 ≤ 20,0 years | 8,00 | 0,60 | | > 20 years | 12,50 | 0,60 | 20. | Institucija nato za izračun neizravnane tehtane dolge pozicije za vsako skupino sešteje vsote neizravnanih tehtanih dolgih pozicij za razrede vseh skupin tabele 2. Podobno se za izračun neizravnane tehtane kratke pozicije za posamezno skupino seštejejo vsote neizravnanih tehtanih kratkih pozicij za vsak razred v posamezni skupini. Izravnana tehtana pozicija posamezne skupine je tisti del neizravnane tehtane dolge pozicije skupine, ki je izravnan z neizravnano tehtano kratko pozicijo iste skupine. Neizravnana tehtana pozicija posamezne skupine je tisti del neizravnane tehtane dolge ali neizravnane tehtane kratke pozicije skupine, ki ne more biti tako izravnana. | Tabela 2 | Skupina razredov zapadlosti | Razredi zapadlosti | Ute (%) | Domnevana sprememba obrestne mere (%) | obrestna mera 3 % ali več | obrestna mera nija od 3 % | Ena | 0 ≤ 1 mesec | 0 ≤ 1 mesec | 0,00 | — | > 1 ≤ 3 mesecev | > 1 ≤ 3 mesecev | 0,20 | 1,00 | > 3 ≤ 6 mesecev | > 3 ≤ 6 mesecev | 0,40 | 1,00 | > 6 ≤ 12 mesecev | > 6 ≤ 12 mesecev | 0,70 | 1,00 | Dva | >1 ≤ 2 leti | > 1,0 ≤ 1,9 let | 1,25 | 0,90 | >2 ≤ 3 leta | > 1,9 ≤ 2,8 let | 1,75 | 0,80 | >3 ≤ 4 leta | > 2,8 ≤ 3,6 let | 2,25 | 0,75 | Tri | >4 ≤ 5 let | > 3,6 ≤ 4,3 let | 2,75 | 0,75 | >5 ≤ 7 let | > 4,3 ≤ 5,7 let | 3,25 | 0,70 | >7 ≤ 10 let | > 5,7 ≤ 7,3 let | 3,75 | 0,65 | >10 ≤ 15 let | > 7,3 ≤ 9,3 let | 4,50 | 0,60 | >15 ≤ 20 let | > 9,3 ≤ 10,6 let | 5,25 | 0,60 | > 20 jaar | > 10,6 ≤ 12,0 let | 6,00 | 0,60 | | > 12,0 ≤ 20,0 let | 8,00 | 0,60 | | > 20 let | 12,50 | 0,60 |
| 21. | The amount of the unmatched weighted long (short) position in zone one which is matched by the unmatched weighted short (long) position in zone two shall then be computed. This shall be referred to in point 25 as the matched weighted position between zones one and two. The same calculation shall then be undertaken with regard to that part of the unmatched weighted position in zone two which is left over and the unmatched weighted position in zone three in order to calculate the matched weighted position between zones two and three. | 21. | Institucija nato izračuna vsoto neizravnane tehtane dolge (kratke) pozicije skupine 1, ki je izravnana z neizravnano tehtano kratko (dolgo) pozicijo skupine 2. Ta je v odstavku 25 opredeljena kot izravnana tehtana pozicija med skupinama 1 in 2. Za izračun izravnane tehtane pozicije med skupinama 2 in 3 se nato izvede enak izračun za preostali del neizravnane tehtane pozicije skupine 2 in neizravnano tehtano pozicijo skupine 3. |
| 22. | The institution may, if it wishes, reverse the order in point 21 so as to calculate the matched weighted position between zones two and three before calculating that position between zones one and two. | 22. | Institucija lahko po želji spremeni vrstni red v odstavku 21 tako, da izračuna izravnano tehtano pozicijo med skupinama 2 in 3 pred izračunom izravnane tehtane pozicije med skupinama 1 in 2. |
| 23. | The remainder of the unmatched weighted position in zone one shall then be matched with what remains of that for zone three after the latter's matching with zone two in order to derive the matched weighted position between zones one and three. | 23. | Za izračun izravnane tehtane pozicije med skupinama razredov zapadlosti 1 in 2 se preostanek neizravnane tehtane pozicije skupine razredov zapadlosti 1 izravna s preostankom neizravnane tehtane pozicije skupine razredov zapadlosti 3, potem ko je bila le-ta izravnana s skupino razredov zapadlosti 2. |
| 24. | Residual positions, following the three separate matching calculations in points 21, 22 and 23, shall be summed. | 24. | Preostale pozicije se po treh ločenih izravnalnih izračunih iz odstavkov 21, 22 in 23 seštejejo. |
| 25. | The institution's capital requirement shall be calculated as the sum of:(a) | 10 % of the sum of the matched weighted positions in all maturity bands;(b) | 40 % of the matched weighted position in zone one;(c) | 30 % of the matched weighted position in zone two;(d) | 30 % of the matched weighted position in zone three;(e) | 40 % of the matched weighted position between zones one and two and between zones two and three (see point 21);(f) | 150 % of the matched weighted position between zones one and three; and(g) | 100 % of the residual unmatched weighted positions. | 25. | Kapitalska zahteva institucije se izračuna kot vsota: | (a) | 10 % vsote izravnanih tehtanih pozicij v vseh razredih zapadlosti; | (b) | 40 % izravnanih tehtanih pozicij skupine razredov zapadlosti 1; | (c) | 30 % izravnanih tehtanih pozicij skupine razredov zapadlosti 2; | (d) | 30 % izravnanih tehtanih pozicij skupine razredov zapadlosti 3; | (e) | 40 % izravnanih tehtanih pozicij med skupinama razredov zapadlosti 1 in 2 ter med skupinama razredov zapadlosti 2 in 3 (glej odstavek 21); | (f) | 150 % izravnanih tehtanih pozicij med skupinama razredov zapadlosti 1 in 3; in | (g) | 100 % preostalih neizravnanih tehtanih pozicij. |
| (b) Duration-based | (b) Pristop, ki temelji na trajanju |
| 26. | The competent authorities may allow institutions in general or on an individual basis to use a system for calculating the capital requirement for the general risk on traded debt instruments which reflects duration, instead of the system set out in points 17 to 25, provided that the institution does so on a consistent basis. | 26. | Pristojni organi lahko na splošno ali v posameznih primerih institucijam dovolijo, da za izračunavanje kapitalske zahteve za splošno tveganje v zvezi z dolžniškimi finančnimi instrumenti uporabijo pristop, ki temelji na trajanju, namesto pristopa, določenega v odstavkih 17 do 25, pod pogojem, da institucija izbrani pristop dosledno uporablja. |
| 27. | Under a system referred to in point 26 the institution shall take the market value of each fixed‐rate debt instrument and thence calculate its yield to maturity, which is implied discount rate for that instrument. In the case of floating‐rate instruments, the institution shall take the market value of each instrument and thence calculate its yield on the assumption that the principal is due when the interest rate can next be changed. | 27. | Pri uporabi pristopa iz odstavka 26 institucija na podlagi tržne vrednosti za vsak dolžniški finančni instrument s fiksno obrestno mero izračuna njegov donos do zapadlosti, kar je implicirana diskontna stopnja tega instrumenta. Pri instrumentih s spremenljivo obrestno mero institucija na podlagi tržne vrednosti vsakega instrumenta izračuna njegov donos do zapadlosti ob predpostavki, da glavnica zapade ob naslednji možni določitvi obrestne mere. |
| 28. | The institution shall then calculate the modified duration of each debt instrument on the basis of the following formula: modified duration = ((duration (D))/(1 + r)), where: | where: | R = yield to maturity (see point 25), | Ct = cash payment in time t, | M = total maturity (see point 25). | 28. | Institucija nato izračuna modificirano trajanje za vsak dolžniški finančni instrument po naslednji formuli: modificirano trajanje = ((trajanje (D))/(1 + r)), kjer je: | kjer so: | R = donos do zapadlosti (glej odstavek 25), | Ct = denarni tok v času t, | M = celotna zapadlost (glej odstavek 25). |
| 29. | The institution shall then allocate each debt instrument to the appropriate zone in Table 3. It shall do so on the basis of the modified duration of each instrument. | Table 3 | Zone | Modified duration | (in years) | Assumed interest (change in %) | One | > 0 ≤ 1,0 | 1,0 | Two | > 1,0 ≤ 3,6 | 0,85 | Three | > 3,6 | 0,7 | 29. | Institucija nato vsak posamezni dolžniški finančni instrument razvrsti v ustrezno skupino tabele 3. To stori glede na modificirano trajanje vsakega instrumenta. | Tabela 3 | Skupina | Modificirano trajanje | (v letih) | Domnevana sprememba obrestne mere(v %) | 1 | > 0 ≤ 1,0 | 1,0 | 2 | > 1,0 ≤ 3,6 | 0,85 | 3 | > 3,6 | 0,7 |
| 30. | The institution shall then calculate the duration‐weighted position for each instrument by multiplying its market price by its modified duration and by the assumed interest‐rate change for an instrument with that particular modified duration (see column 3 in Table 3). | 30. | Institucija nato izračuna pozicijo, tehtano s trajanjem, za vsak posamezen dolžniški finančni instrument tako, da tržno ceno instrumenta pomnoži z njegovim modificiranim trajanjem in domnevano spremembo obrestne mere za instrument z določenim modificiranim trajanjem (glej stolpec 3 tabele 3). |
| 31. | The institution shall calculate its duration-weighted long and its duration-weighted short positions within each zone. The amount of the former which are matched by the latter within each zone shall be the matched duration‐weighted position for that zone. | The institution shall then calculate the unmatched duration-weighted positions for each zone. It shall then follow the procedures laid down for unmatched weighted positions in points 21 to 24. | 31. | Institucija izračuna svoje dolge in kratke pozicije, tehtane s trajanjem, znotraj vsake skupine. Znesek dolgih pozicij, tehtanih s trajanjem, izravnanih s kratkimi pozicijami, tehtanih s trajanjem, v okviru posamezne skupine, je izravnana pozicija, tehtana s trajanjem skupine. | Institucija nato izračuna neizravnane pozicije, tehtane s trajanjem za vsako skupino. Institucija nato sledi postopkom, določenim za neizravnane tehtane pozicije v odstavkih 21 do 24. |
| 32. | The institution's capital requirement shall then be calculated as the sum of:(a) | 2 % of the matched duration-weighted position for each zone;(b) | 40 % of the matched duration-weighted positions between zones one and two and between zones two and three;(c) | 150 % of the matched duration-weighted position between zones one and three; and(d) | 100 % of the residual unmatched duration-weighted positions. | 32. | Kapitalska zahteva institucije se izračuna kot vsota: | (a) | 2 % izravnane pozicije, tehtane s trajanjem, za vsako skupino; | (b) | 40 % izravnanih pozicij, tehtanih s trajanjem, med skupinama 1 in 2 ter med skupinama 2 in 3; | (c) | 150 % izravnanih pozicij, tehtanih s trajanjem, med skupinama 1 in 3; in | (d) | 100 % preostalih neizravnanih pozicij, tehtanih s trajanjem. |
| EQUITIES | LASTNIŠKI FINANČNI INSTRUMENTI |
| 33. | The institution shall sum all its net long positions and all its net short positions in accordance with point 1. The sum of the two figures shall be its overall gross position. The difference between them shall be its overall net position. | 33. | Institucija sešteje vse neto dolge pozicije in vse neto kratke pozicije v skladu z odstavkom 1. Vsota vseh neto dolgih pozicij in vseh neto kratkih pozicij je skupna bruto pozicija institucije v lastniških finančnih instrumentih. Razlika med vrednostjo vseh neto dolgih in vrednostjo vseh neto kratkih pozicij je skupna neto pozicija v lastniških finančnih instrumentih. |
| Specific risk | Posebno tveganje |
| 34. | The institution shall sum all its net long positions and all its net short positions in accordance with point 1. It shall multiply its overall gross position by 4 % in order to calculate its capital requirement against specific risk. | 34. | Institucija sešteje vse neto dolge pozicije in vse neto kratke pozicije v skladu z odstavkom 1. Za izračun kapitalske zahteve za posebno tveganje institucija pomnoži svojo skupno bruto pozicijo s 4 %. |
| 35. | By derogation from point 34, the competent authorities may allow the capital requirement against specific risk to be 2 % rather than 4 % for those portfolios of equities that an institution holds which meet the following conditions:(a) | the equities shall not be those of issuers which have issued only traded debt instruments that currently attract an 8 % or 12 % requirement in Table 1 to point 14 or that attract a lower requirement only because they are guaranteed or secured;(b) | the equities must be adjudged highly liquid by the competent authorities according to objective criteria; and(c) | no individual position shall comprise more than 5 % of the value of the institution's whole equity portfolio. | For the purpose of point (c), the competent authorities may authorise individual positions of up to 10 % provided that the total of such positions does not exceed 50 % of the portfolio. | 35. | Z odstopanjem od odstavka 34 lahko pristojni organi dovolijo, da kapitalska zahteva za posebno tveganje namesto 4 % znaša 2 % za tiste portfelje lastniških finančnih instrumentov, ki izpolnjujejo naslednje pogoje: | (a) | lastniški finančni instrument ne sme biti lastniški finančni instrument izdajateljev, ki so samo izdali dolžniške finančne instrumente, za katere trenutno velja 8 % ali 12 % kapitalska zahteva po tabeli 1 iz odstavka 14 ali zanje velja nižja utež le zato, ker so zavarovani z jamstvom ali poroštvom; | (b) | lastniški finančni instrumenti morajo pristojni organi skladno z objektivnimi merili oceniti kot visoko likvidni; in | (c) | nobena posamezna pozicija ne sme predstavljati več kot 5 % vrednosti celotnega portfelja lastniških finančnih instrumentov institucije. | Za namene točke (c) pristojni organi lahko dovolijo, da posamezne pozicije lahko predstavljajo do 10 % vrednosti celotnega portfelja, pod pogojem, da vsota takšnih pozicij ne presega 50 % celotnega portfelja. |
| General risk | Splošno tveganje |
| 36. | Its capital requirement against general risk shall be its overall net position multiplied by 8 %. | 36. | Kapitalska zahteva za splošno tveganje institucije je njena skupna neto pozicija, pomnožena z 8 %. |
| Stock-index futures | Terminske pogodbe na delniške indekse |
| 37. | Stock-index futures, the delta-weighted equivalents of options in stock-index futures and stock indices collectively referred to hereafter as ‘stock-index futures’, may be broken down into positions in each of their constituent equities. These positions may be treated as underlying positions in the equities in question, and may, subject to the approval of the competent authorities, be netted against opposite positions in the underlying equities themselves. | 37. | Terminske pogodbe na delniške indekse, delta tehtani ekvivalenti opcij v terminskih pogodbah na delniške indekse in delniški indeksi, v nadaljevanju skupaj „terminski pogodbe na delniške indekse“, se lahko razstavi na pozicije v posameznih lastniških finančnih instrumentih, ki sestavljajo indeks. Te pozicije se lahko obravnavajo kot osnovne pozicije zadevnih lastniških finančnih instrumentov in se lahko z odobritvijo pristojnih organov pobotajo z nasprotnimi pozicijami v osnovnih lastniških finančnih instrumentih. |
| 38. | The competent authorities shall ensure that any institution which has netted off its positions in one or more of the equities constituting a stock-index future against one or more positions in the stock‐index future itself has adequate capital to cover the risk of loss caused by the future's values not moving fully in line with that of its constituent equities; they shall also do this when an institution holds opposite positions in stock‐index futures which are not identical in respect of either their maturity or their composition or both. | 38. | Pristojni organi zagotovijo, da ima vsaka institucija, ki je pobotala svoje pozicije v enem ali več lastniških finančnih instrumentih, ki sestavljajo indeks, na katerega se terminska pogodba nanaša, z eno ali več pozicijami v sami terminski pogodbi na delniški indeks, ustrezen kapital za pokrivanje izgube, povzročene zaradi neusklajenosti gibanj vrednosti terminske pogodbe na delniški indeks z vrednostmi delnic, ki ga sestavljajo; pristojni organi isto storijo tudi v primeru, če ima institucija nasprotne pozicije v terminskih pogodbah na delniške indekse, ki se ne ujemajo glede na zapadlost ali sestavo ali oboje. |
| 39. | By derogation from points 37 and 38, stock-index futures which are exchange traded and — in the opinion of the competent authorities — represent broadly diversified indices shall attract a capital requirement against general risk of 8 %, but no capital requirement against specific risk. Such stock‐index futures shall be included in the calculation of the overall net position in point 33, but disregarded in the calculation of the overall gross position in the same point. | 39. | Z odstopanjem od odstavkov 37 in 38 se terminskim pogodbam na delniške indekse, s katerimi se trguje na borzi in ki po mnenju pristojnih organov predstavljajo zelo široko razpršene delniške indekse, določi utež 8 % za izračun kapitalske zahteve za splošno tveganje, za te pogodbe se ne izračuna kapitalske zahteve za posebno tveganje. Takšne pozicije terminskih pogodb na delniške indekse se vključijo v izračun skupne neto pozicije iz odstavka 33, vendar niso upoštevani v izračunu skupne bruto pozicije iz tega odstavka. |
| 40. | If a stock-index future is not broken down into its underlying positions, it shall be treated as if it were an individual equity. However, the specific risk on this individual equity can be ignored if the stock-index future in question is exchange traded and, in the opinion of the competent authorities, represents a broadly diversified index. | 40. | Če terminska pogodba na delniške indekse ni razstavljena na pozicije v osnovnih finančnih instrumentih, ki sestavljajo indekse, se jo obravnava kot posamezen lastniški finančni instrument. Vendar pa se lahko posebno tveganje tega posameznega lastniškega finančnega instrumenta prezre, če se s terminsko pogodbo na delniške indekse trguje na borzi in če po mnenju pristojnih organov terminska pogodba se nanaša na široko razpršene delniške indekse . |
| UNDERWRITING | IZVEDBE PRVE PRODAJE FINANČNIH INSTRUMENTOV Z OBVEZNOSTJO ODKUPA |
| 41. | In the case of the underwriting of debt and equity instruments, the competent authorities may allow an institution to use the following procedure in calculating its capital requirements. Firstly, it shall calculate the net positions by deducting the underwriting positions which are subscribed or sub‐underwritten by third parties on the basis of formal agreements. Secondly, it shall reduce the net positions by the reduction factors in Table 4 | Table 4 | working day 0: | 100 % | working day 1: | 90 % | working days 2 to 3: | 75 % | working day 4: | 50 % | working day 5: | 25 % | after working day 5: | 0 %. | ‘Working day zero’ shall be the working day on which the institution becomes unconditionally committed to accepting a known quantity of securities at an agreed price. | Thirdly, it shall calculate its capital requirements using the reduced underwriting positions. | The competent authorities shall ensure that the institution holds sufficient capital against the risk of loss which exists between the time of the initial commitment and working day 1. | 41. | Pri izvedbi prve prodaje dolžniških in lastniških finančnih instrumentov z obveznostjo odkupa lahko pristojni organi instituciji dovolijo, da pri izračunu kapitalskih zahtev za pozicijsko tveganje uporabi naslednji postopek. Prvič, institucija izračuna neto pozicijo tako, da odšteje tisti del pozicij, ki ga je že prenesla na tretje osebe, ki so finančne instrumente odkupile ali so se zavezale k njihovemu odkupu na podlagi uradnih pogodb. Drugič, institucija neto pozicije zmanjša z uporabo redukcijskih faktorjev iz tabele 4. | Tabela 4 | – delovni dan 0: | 100 % | – delovni dan 1: | 90 % | – delovni dan 2 do 3: | 75 % | – delovni dan 4: | 50 % | – delovni dan 5: | 25 % | – po delovnem dnevu 5: | 0 % | „Delovni dan nič“ je delovni dan, s katerim se institucija nepreklicno zaveže prevzeti znano količino vrednostnih papirjev po dogovorjeni ceni. | Tretjič, institucija izračuna kapitalske zahteve z uporabo zmanjšanih pozicij iz izvedbe prve prodaje dolžniških in lastniških finančnih instrumentov z obveznostjo odkupa. | Pristojni organi zagotovijo, da ima institucija zadosten kapital za izgube, ki obstajajo v času od začetka prevzema obveznosti prve prodaje finančnih instrumentov do delovnega dneva 1. |
| SPECIFIC RISK CAPITAL CHARGES FOR TRADING BOOK POSITIONS HEDGED BY CREDIT DERIVATIVES | KAPITALSKE ZAHTEVE ZA POSEBNO TVEGANJE POSTAVK TRGOVALNE KNJIGE, VAROVANIH S KREDITNIMI IZVEDENIMI FINANČNIMI INSTRUMENTI |
| 42. | An allowance shall be given for protection provided by credit derivatives, in accordance with the principles set out in points 43 to 46. | 42. | Zavarovanje, zagotovljeno s kreditnimi izvedenimi finančnimi instrumenti se prizna, v skladu z načeli iz odstavkov 43 do 46. |
| 43. | Full allowance shall be given when the value of two legs always move in the opposite direction and broadly to the same extent. This will be the case in the following situations:(a) | the two legs consist of completely identical instruments; or(b) | a long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e., the cash position). The maturity of the swap itself may be different from that of the underlying exposure. | In these situations, a specific risk capital charge should not be applied to either side of the position. | 43. | Polno priznanje je dano, kadar se vrednosti obeh strani pozicij vedno gibljeta v nasprotno smer in v približno enakem obsegu. Do tega pride v enem od naslednjih dveh primerov: | (a) | obe strani pozicij sta sestavljeni iz identičnih instrumentov; ali | (b) | dolga denarna pozicija je varovana z zamenjavo skupnih donosov (ali obratno), pri čemer obstaja med referenčno obveznostjo in osnovnimi izpostavljenostmi (tj. denarna pozicija) popolnoma ujemanje. Zapadlost zamenjave skupnih donosov je lahko drugačna od zapadlosti osnovne izpostavljenosti. | V teh primerih ni potrebno izračunavati kapitalskih zahtev za posebno tveganje za nobeno od strani pozicij. |
| 44. | An 80 % offset will be applied when the value of two legs always move in the opposite direction and where there is an exact match in terms of the reference obligation, the maturity of both the reference obligation and the credit derivative, and the currency of the underlying exposure. In addition, key features of the credit derivative contract should not cause the price movement of the credit derivative to materially deviate from the price movements of the cash position. To the extent that the transaction transfers risk, an 80 % specific risk offset will be applied to the side of the transaction with the higher capital charge, while the specific risk requirements on the other side shall be zero. | 44. | Nadomestilo v višini 80 % se uporabi, če se vrednosti obeh strani vedno gibljeta v nasprotni smeri in če obstaja popolnoma ujemanje med referenčno obveznostjo, zapadlostjo tako referenčne obveznosti kot kreditnega izvedenega finančnega instrumenta in valuto osnovne izpostavljenosti. Poleg tega glavne lastnosti kreditnega izvedenega finančnega instrumenta ne smejo povzročiti bistvenega odstopanja cenovnih gibanj kreditnega izvedenega finančnega instrumenta od cenovnih gibanj denarne pozicije. Če na podlagi transakcije pride do prenosa tveganja, bo za stran transakcije z večjo kapitalsko zahtevo uporabljena nadomestilo za posebno tveganje v višini 80 %, kapitalska zahteva za posebno tveganje za drugo stran transakcije, pa je enaka nič. |
| 45. | Partial allowance shall be given when the value of two legs usually move in the opposite direction. This would be the case in the following situations:(a) | the position falls under point 43(b) but there is an asset mismatch between the reference obligation and the underlying exposure. However, the positions meet the following requirements: | (i) | the reference obligation ranks pari passu with or is junior to the underlying obligation; and | (ii) | the underlying obligation and reference obligation share the same obligor and have legally enforceable cross‐default or cross‐acceleration clauses;(b) | the position falls under point 43(a) or point 44 but there is a currency or maturity mismatch between the credit protection and the underlying asset (currency mismatches should be included in the normal reporting foreign exchange risk under Annex III); or(c) | the position falls under point 44 but there is an asset mismatch between the cash position and the credit derivative. However, the underlying asset is included in the (deliverable) obligations in the credit derivative documentation. | In each of those situations, rather than adding the specific risk capital requirements for each side of the transaction, only the higher of the two capital requirements shall apply. | 45. | Delno nadomestila se prizna, če se vrednosti obeh strani pozicije običajno gibljeta v nasprotno smer. Do tega pride v enem od naslednjih primerov: | (a) | pozicija je obravnavana v odstavku 43(b), vendar obstaja neusklajenost naložb med referenčno obveznostjo in osnovno izpostavljenostjo. Ob tem pa pozicije izpolnjujejo naslednje zahteve: | (i) | referenčna obveznost je enakovredna (uvrščena pari passu) ali podrejena osnovni obveznosti; in | (ii) | osnovna obveznost in referenčna obveznost sta podrejeni istemu dolžniku in vsebujeta pravno izvršljivi klavzuli o navzkrižni ugotovitvi neplačila in o navzkrižni takojšnji zapadlosti; | (b) | pozicija je obravnavana v odstavku 43(a) ali odstavku 44, vendar obstaja valutna neusklajenost ali neusklajenost zapadlosti med kreditnim zavarovanjem in osnovnim instrumentom (valutne neusklajenosti je treba vključiti v običajno poročanje o valutnem tveganju v skladu s Prilogo III); ali | (c) | pozicija je obravnavana v odstavku 44, vendar obstaja neusklajenost naložb med denarno pozicijo in kreditnim izvedenim finančnim instrumentom. V tem primeru je osnovni instrument, omenjen kot izročljiv, vključen v obveznosti v dokumentaciji o kreditnih izvedenih finančnih instrumentih, ki jih je potrebno prenesti. | V vseh naštetih primerih se namesto seštevanja kapitalskih zahtev za posebno tveganje za vsako stran transakcije uporabi samo večja od obeh kapitalskih zahtev. |
| 46. | In all situations not falling under points 43 to 45, a specific risk capital charge will be assessed against both sides of the positions. | 46. | V vseh drugih primerih, ki ni so obravnavani v odstavku 43 do 45, se kapitalska zahteva za posebno tveganje izračuna za obe strani pozicije. |
| Capital charges for CIUs in the trading book | Kapitalska zahteva za pozicije v enotah premoženja investicijskih skladov v trgovalni knjigi |
| 47. | The capital requirements for positions in CIUs which meet the conditions specified in Article 11 for a trading book capital treatment shall be calculated in accordance with the methods set out in points 48 to 56. | 47. | Kapitalska zahteva za pozicije v enotah premoženja investicijskih skladov (CIU), ki izpolnjujejo pogoje iz člena 11 za uporabo posebne obravnave za trgovalno knjigo, se izračuna v skladu z metodami, določenimi v odstavkih 48 do 56. |
| 48. | Without prejudice to other provisions in this section, positions in CIUs shall be subject to a capital requirement for position risk (specific and general) of 32 %. Without prejudice to the provisions of the fourth paragraph of point 2.1 of Annex III or the sixth paragraph of point 12 of Annex V (commodity risk) taken together with the fourth paragraph of point 2.1 of Annex III, where the modified gold treatment set out in those points is used, positions in CIUs shall be subject to a capital requirement for position risk (specific and general) and foreign-exchange risk of no more than 40 %. | 48. | Brez poseganja v druge določbe tega oddelka so pozicije v enotah premoženja CIU predmet kapitalske zahteve za pozicijsko tveganje (posebno in splošno) v višini 32 %. Brez poseganja v četrti pododstavek odstavka 2.1 Priloge III ali šestega pododstavka odstavka 12 Priloge V (tveganje spremembe cen blaga), skupaj z četrtim pododstavkom odstavka 2.1 Priloge III, če je uporabljena spremenjena obravnava naložb v zlatu iz navedenih odstavkov, so pozicije v enotah premoženja CIU predmet kapitalske zahteve za pozicijsko tveganje (posebno in splošno) in valutno tveganje v višini največ 40 %. |
| 49. | Institutions may determine the capital requirement for positions in CIUs which meet the criteria set out in point 51, by the methods set out in points 53 to 56. | 49. | Institucije lahko izračuna kapitalsko zahtevo za pozicije v enotah premoženja CIU, če ustrezajo pogojem iz odstavka 51, z uporabo metod, določenih v odstavkih 53 do 56. |
| 50. | Unless noted otherwise, no netting is permitted between the underlying investments of a CIU and other positions held by the institution. | 50. | Razen če ni drugače določeno, se ne dovoli nikakršno pobotanje med osnovnimi naložbami, ki tvorijo premoženje CIU, in drugimi pozicijami institucije. |
| GENERAL CRITERIA | SPLOŠNI POGOJI |
| 51. | The general eligibility criteria for using the methods in points 53 to 56, for CIUs issued by companies supervised or incorporated within the Community are that:(a) | the CIU's prospectus or equivalent document shall include: | (i) | the categories of assets the CIU is authorised to invest in; | (ii) | if investment limits apply, the relative limits and the methodologies to calculate them; | (iii) | if leverage is allowed, the maximum level of leverage; and | (iv) | if investment in OTC financial derivatives or repo-style transactions are allowed, a policy to limit counterparty risk arising from these transactions;(b) | the business of the CIU shall be reported in half-yearly and annual reports to enable an assessment to be made of the assets and liabilities, income and operations over the reporting period;(c) | the units/shares of the CIU are redeemable in cash, out of the undertaking's assets, on a daily basis at the request of the unit holder;(d) | investments in the CIU shall be segregated from the assets of the CIU manager; and(e) | there shall be adequate risk assessment of the CIU, by the investing institution. | 51. | Kvalifikacijski kriteriji za uporabo metod iz odstavkov 53 do 56, za pozicije v enotah premoženja CIU, ki jih izdajajo podjetja, ki so nadzirana ali imajo sedež v Skupnosti, so: | (a) | prospekt CIU ali enakovreden dokument vsebuje: | (i) | vrste naložb, za katere ima investicijski sklad dovoljenje; | (ii) | če so določeni naložbeni limiti, relativne limite in metodologije za njihov izračun; | (iii) | če je dovoljeno zadolževanje, največja stopnja zadolževanja; in | (iv) | če je dovoljeno vlaganje v izvedene finančne instrumente ali pogodbe podobne pogodbam o začasni prodaji/začasnem nakupu, politiko omejevanja tveganja nasprotne stranke, ki izhaja iz teh poslov; | (b) | CIU poroča o svojem poslovanju v obliki polletnih in letnih poročil, da omogoči ocenjevanje sredstev in obveznosti, višine prihodkov in odhodkov v obdobju poročanja; | (c) | enote premoženja CIU so na zahtevo imetnika dnevno izplačljive v denarju iz sredstev sklada; | (d) | premoženje CIU je ločeno od premoženja družbe za upravljanje CIU; in | (e) | naložbena institucija izdela ustrezno oceno tveganosti CIU. |
| 52. | Third country CIUs may be eligible if the requirements in points (a) to (e) of point 51 are met, subject to the approval of the institution's competent authority. | 52. | CIU iz tretjih držav so lahko primerni, če izpolnjujejo zahteve iz točk (a) do (e) odstavka 51, s predhodno odobritvijo pristojnega organa institucije. |
| SPECIFIC METHODS | POSEBNE METODE |
| 53. | Where the institution is aware of the underlying investments of the CIU on a daily basis, the institution may look through to those underlying investments in order to calculate the capital requirements for position risk (general and specific) for those positions in accordance with the methods set out in this Annex or, if permission has been granted, in accordance with the methods set out in Annex V. Under this approach, positions in CIUs shall be treated as positions in the underlying investments of the CIU. Netting is permitted between positions in the underlying investments of the CIU and other positions held by the institution, as long as the institution holds a sufficient quantity of units to allow for redemption/creation in exchange for the underlying investments. | 53. | Če institucija zagotavlja dnevno spremljanje naložb, ki sestavljajo premoženje CIU, potem lahko izračuna kapitalsko zahtevo za pozicijsko tveganje (splošno in posebno) za navedene pozicije v skladu z metodami, določenimi v tej prilogi ali, na podlagi pridobljenega dovoljenja, v skladu z metodami, določenimi v Prilogi V. Po tem pristopu se pozicije v enotah premoženja CIU obravnavajo kot pozicije v osnovnih naložbah CIU. Pobot med pozicijami v osnovnih naložbah CIU in drugimi pozicijami institucije je dovoljen, če ima institucija zadostno število enot premoženja CIU, ki omogoča odkup/ustvarjanje deležev v zameno za osnovne naložbe. |
| 54. | Institutions may calculate the capital requirements for position risk (general and specific) for positions in CIUs in accordance with the methods set out in this Annex or, if permission has been granted, in accordance with the methods set out in Annex V, to assumed positions representing those necessary to replicate the composition and performance of the externally generated index or fixed basket of equities or debt securities referred to in (a), subject to the following conditions:(a) | the purpose of the CIU's mandate is to replicate the composition and performance of an externally generated index or fixed basket of equities or debt securities; and(b) | a minimum correlation of 0.9 between daily price movements of the CIU and the index or basket of equities or debt securities it tracks can be clearly established over a minimum period of six months. ‘Correlation’ in this context means the correlation coefficient between daily returns on the CIU and the index or basket of equities or debt securities it tracks. | 54. | Institucije lahko izračunajo kapitalsko zahtevo za pozicijsko tveganje (splošno in posebno) za pozicije v enotah premoženja CIU v skladu z metodami, določenimi v tej prilogi ali, na podlagi pridobljenega dovoljenja, v skladu z metodami, določenimi v Prilogi V, za hipotetične pozicije, ki predstavljajo pozicije, ki naj bi jih imel za posnemanje sestave in učinkovitosti obstoječega zunanjega indeksa ali fiksne košarice lastniških ali dolžniških finančnih instrumentov iz točke (a), ob upoštevanju naslednjih pogojev: | (a) | namen naložbene politike CIU je, da posnema sestavo in učinkovitost obstoječega zunanjega indeksa ali fiksne košarice lastniških ali dolžniških finančnih instrumentov; in | (b) | med dnevnimi spremembami cen enote premoženja CIU in indeksom ali košarico lastniških ali dolžniških finančnih instrumentov, ki jih CIU posnema, se lahko jasno izrazi minimalna korelacija 0,9 v obdobju najmanj šestih mesecev. „Korelacija“ v tem primeru pomeni korelacijski koeficient med dnevnimi donosi enote premoženja CIU, s katero s trguje na borzi in indeksom ali košarico lastniških ali dolžniških finančnih instrumentov, ki jih CIU posnema. |
| 55. | Where the institution is not aware of the underlying investments of the CIU on a daily basis, the institution may calculate the capital requirements for position risk (general and specific) in accordance with the methods set out in this Annex, subject to the following conditions:(a) | it will be assumed that the CIU first invests to the maximum extent allowed under its mandate in the asset classes attracting the highest capital requirement for position risk (general and specific), and then continues making investments in descending order until the maximum total investment limit is reached. The position in the CIU will be treated as a direct holding in the assumed position;(b) | institutions shall take account of the maximum indirect exposure that they could achieve by taking leveraged positions through the CIU when calculating their capital requirement for position risk, by proportionally increasing the position in the CIU up to the maximum exposure to the underlying investment items resulting from the mandate; and(c) | should the capital requirement for position risk (general and specific) according to this point exceed that set out in point 48, the capital requirement shall be capped at that level. | 55. | Če institucija ni zmožna dnevno spremljati osnovnih naložb CIU, lahko izračunava kapitalsko zahtevo za pozicijsko tveganje (splošno in posebno) v skladu z metodami, določenimi v tej prilogi, ob upoštevanju naslednjih pogojev: | (a) | predpostavi se, da CIU v največjem dovoljenem obsegu in v okviru svojega mandata najprej vlaga v vrste finančnih instrumentov, za katere obstaja največja kapitalska zahteva za pozicijsko tveganje (splošno in posebno), nato pa v padajočem vrstnem redu vlaga v vrste finančnih instrumentov z manjšo kapitalsko zahtevo, dokler ne doseže skupnih investicijskih limitov. Pozicija institucije v CIU bo obravnavana kot neposredna naložba v hipotetični poziciji; | (b) | institucije za izračun kapitalske zahteve za pozicijsko tveganje upoštevajo največjo posredno izpostavljenost, ki jo lahko dosežejo preko CIU, s sorazmerno povečanjem pozicije v CIU do največje dovoljene izpostavljenosti v osnovne naložbe, kot to dovoli mandat; in | (c) | če bi kapitalska zahteva za pozicijsko tveganje (splošno in posebno), izračunana v skladu s tem odstavkom, presegla višino, navedeno v odstavku 48, se kapitalska zahteva omeji na višini, določeni v navedenem odstavku. |
| 56. | Institutions may rely on a third party to calculate and report capital requirements for position risk (general and specific) for positions in CIUs falling under points 53 and 55, in accordance with the methods set out in this Annex, provided that the correctness of the calculation and the report is adequately ensured. | 56. | Institucije se lahko zanesejo na tretjo stranko za izračun in poročanje kapitalske zahteve za pozicijsko tveganje (splošno in posebno) za pozicije v enotah premoženja CIU, navedene v odstavkih 53 in 55, v skladu z metodami, določenimi v tej prilogi, pod pogojem, da se ustrezno zagotovi pravilnost izračuna in poročanja. |
| ANNEX II | PRILOGA II |
| CALCULATING CAPITAL REQUIREMETNS FOR SETTLEMENT AND COUNTERPARTY CREDIT RISK | IZRAČUN KAPITALSKE ZAHTEVE ZA TVEGANJE PORAVNAVE IN KREDITNO TVEGANJE NASPROTNE STRANKE |
| SETTLEMENT/DELIVERY RISK | TVEGANJE PORAVNAVE |
| 1. | In the case of transactions in which debt instruments, equities, foreign currencies and commodities (excluding repurchase and reverse repurchase agreements and securities or commodities lending and securities or commodities borrowing) are unsettled after their due delivery dates, an institution must calculate the price difference to which it is exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution. It must multiply this difference by the appropriate factor in column A of Table 1 in order to calculate its capital requirement. | Table 1 | Number of working days after due settlement date | ( %) | 5 — 15 | 8 | 16 — 30 | 50 | 31 — 45 | 75 | 46 or more | 100 | 1. | V primeru transakcij z dolžniškimi, lastniškimi finančnimi instrumenti, tujimi valutami in blagom (razen če gre za posle začasne prodaje/začasnega nakupa in posle posoje/izposoje vrednostnih papirjev ali blaga), za katere še ni prišlo do poravnave, mora institucija izračunati razliko v ceni, ki ji je izpostavljena. Razlika v ceni predstavlja razliko med dogovorjeno ceno poravnave in trenutno tržno vrednostjo zadevnega dolžniškega, lastniškega finančnega instrumenta, tuje valute ali blaga, če ta razlika lahko povzroča izgubo za institucijo. Za izračun kapitalske zahteve mora institucija to razliko pomnožiti z ustreznim faktorjem v stolpcu A tabele 1. | TABELA 1 | Število delovnih dni po dogovorjenem dnevu poravnave | ( %) | 5 – 15 | 8 | 16 – 30 | 50 | 31 – 45 | 75 | 46 ali več | 100 |
| FREE DELIVERIES | ČASOVNE NEUSKLAJENOSTI PLAČILA IN IZROČITVE |
| 2. | An institution shall be required to hold own funds, as set out in Table 2, if:(a) | it has paid for securities, foreign currencies or commodities before receiving them or it has delivered securities, foreign currencies or commodities before receiving payment for them; and(b) | in the case of cross-border transactions, one day or more has elapsed since it made that payment or delivery. | Table 2 | Capital treatment for free deliveries | Transaction Type | Up to first contractual payment or delivery leg | From first contractual payment or delivery leg up to four days after second contractual payment or delivery leg | From 5 business days post second contractual payment or delivery leg until extinction of the transaction | Free delivery | No capital charge | Treat as an exposure | Deduct value transferred plus current positive exposure from own funds | 2. | Institucija mora imeti lastna sredstva, kot je to določeno v tabeli 2, če: | (a) | je vrednostne papirje, tuje valute ali blago plačala pred njihovim prejetjem ali je vrednostne papirje, tuje valute ali blago izročila, preden je prejela plačilo zanje; in | (b) | je, v primeru čezmejnih transakcij, od plačila ali izročitve minil en dan ali več. | Tabela 2: | Obravnava kapitala za brezplačne izročitve | Vrsta transakcije | Do prvega pogodbenega plačila ali prve faze izročitve | Od prvega pogodbenega plačila ali prve faze izročitve do največ štiri dni po drugem pogodbenem plačilu ali druge faze izročitve | Od 5 delovnih dni po drugem pogodbenem plačilu ali druge faze izročitve do zaključka transakcije | Časovna neusklajenost plačila in izročitve | Brez kapitalske obravnave | Obravnavati kot izpostavljenost | Od kapitala odšteti preneseno vrednost in trenutno nadomestitveno vrednost (če ta obstaja) |
| 3. | In applying a risk weight to free delivery exposures treated according to column 3 of Table 2, institutions using the approach set out in Articles 84 to 89 of Directive 2006/48/EC, may assign PDs to counterparties, for which they have no other non‐trading book exposure, on the basis of the counterparty's external rating. Institutions using own estimates of loss given defaults (‘LGDs’) may apply the LGD set out in point 8 of Part 2 of Annex VII to Directive 2006/48/EC to free delivery exposures treated according to column 3 of Table 2 provided that they apply it to all such exposures. Alternatively, institutions using the approach set out in Articles 84 to 89 of Directive 2006/48/EC may apply the risk weights, as set out in Articles 78 to 83 of that Directive provided that they apply them to all such exposures or may apply a 100 % risk weight to all such exposures. | If the amount of positive exposure resulting from free delivery transactions is not material, institutions may apply a risk weight of 100 % to these exposures. | 3. | Pri uporabi uteži za izpostavljenosti zaradi časovne neusklajenosti plačila in izročitve iz stolpca 3 tabele 2, lahko institucije, ki uporabljajo pristop, določen v členih 84 do 89 Direktive 2006/48/ES, dodelijo PD na podlagi zunanje bonitetne ocene nasprotnim strankam, za katere nimajo drugih izpostavljenosti v bančni knjigi. Institucije, ki uporabljajo lastne ocene izgube ob neplačilu (LGD), lahko za izpostavljenosti iz stolpca 3 tabele 2 uporabijo LGD, določen v odstavku 8 dela 2 Priloge VII k Direktivi 2006/48/ES, pod pogojem, da ga uporabljajo za vse take izpostavljenosti. Kot drugo možnost lahko institucije, ki uporabljajo pristop, določen v členih 84 do 89 Direktive 2006/48/ES, uporabljajo uteži tveganja, določene v členih 78 do 83 navedene direktive pod pogojem, da jih uporabljajo za vse take izpostavljenosti, ali utež tveganja 100 % za vse izpostavljenosti. | Če znesek pozitivne izpostavljenosti iz transakcij, kjer obstaja časovna neusklajenost plačila in izročitve, ni materialno pomemben, lahko institucije za te izpostavljenosti uporabijo utež tveganja 100 %. |
| 4. | In cases of a system wide failure of a settlement or clearing system, competent authorities may waive the capital requirements calculated as set out in points 1 and 2 until the situation is rectified. In this case, the failure of a counterparty to settle a trade shall not be deemed a default for purposes of credit risk. | 4. | V primerih izpada celotnega sistema poravnave ali klirinškega sistema lahko pristojni organi dovolijo ne izračun kapitalskih zahtev, izračunanih, kot določata odstavka 1 in 2, dokler se nastale okoliščine ne odpravijo. V tem primeru, se neporavnan posl s strani nasprotne stranke ne šteje kot neplačilo za namere kreditnega tveganja. |
| COUNTERPARTY CREDIT RISK (CCR) | KREDITNO TVEGANJE NASPROTNE STRANKE (CCR) |
| 5. | An institution shall be required to hold capital against the CCR arising from exposures due to the following:(a) | OTC derivative instruments and credit derivatives;(b) | Repurchase agreements, reverse repurchase agreements, securities or commodities lending or borrowing transactions based on securities or commodities included in the trading book;(c) | margin lending transactions based on securities or commodities; and(d) | long settlement transactions. | 5. | Institucija mora izračunavati kapitalske zahteve za CCR za izpostavljenosti, ki izhajajo zaradi: | (a) | izvedenih finančnih instrumentov, s katerimi se trguje na prostem trgu (OTC) in kreditnih izvedenih finančnih instrumentov; | (b) | poslov začasne prodaje/začasnega nakupa, poslov posoje/izposoje, ki se nanašajo na vrednostne papirje ali blago, ki so vključeni v trgovalno knjigo; | (c) | poslov kreditiranja za povečanje trgovalnega portfelja, ki se nanašajona vrednostne papirje ali blago; in | (d) | poslov z dolgim rokom poravnave. |
| 6. | Subject to the provisions of points 7 to 10, exposure values and risk‐weighted exposure amounts for such exposures shall be calculated in accordance with the provisions of Section 3 of Chapter 2 of Title V of Directive 2006/48/EC with references to ‘credit institutions’ in that Section interpreted as references to ‘institutions’, references to ‘parent credit institutions’ interpreted as references to ‘parent institutions’, and with concomitant terms interpreted accordingly. | 6. | V skladu z odstavki 7 do 10 se vrednosti izpostavljenosti in zneski tveganju prilagojenih izpostavljenosti izračunavajo v skladu z določbami oddelka 3 poglavja 2 naslova V Direktive 2006/48/ES s sklicevanji na „kreditne institucije“ v navedenem oddelku, ki se razumejo kot sklicevanja na „institucije“, sklicevanji na „nadrejene kreditne institucije“, ki se razumejo kot sklicevanja na „nadrejene institucije“ in spremljajočimi izrazi z ustrezno razlago. |
| 7. | For the purposes of point 6: | Annex IV to Directive 2006/48/EC shall be considered to be amended to include point 8 of Section C of Annex I to Directive 2004/39/EC; | Annex III to Directive 2006/48/EC shall be considered to be amended to include, after the footnotes of Table 1, the following text: | ‘To obtain a figure for potential future credit exposure in the case of total return swap credit derivatives and credit default swap credit derivatives, the nominal amount of the instrument is multiplied by the following percentages: | — | where the reference obligation is one that if it gave rise to a direct exposure of the institution it would be a qualifying item for the purposes of Annex I: 5 %; and | — | where the reference obligation is one that if it gave rise to a direct exposure of the institution it would not be a qualifying item for the purposes of Annex I: 10 %. | However, in the case of a credit default swap, an institution the exposure of which arising from the swap represents a long position in the underlying shall be permitted to use a figure of 0 % for potential future credit exposure, unless the credit default swap is subject to closeout upon the insolvency of the entity the exposure of which arising from the swap represents a short position in the underlying, even though the underlying has not defaulted.’. | Where the credit derivative provides protection in relation to ‘nth to default’ amongst a number of underlying obligations, which of the percentage figures prescribed above is to be applied is determined by the obligation with the nth lowest credit quality determined by whether it is one that if incurred by the institution would be a qualifying item for the purposes of Annex I. | 7. | Za namene odstavka 6: | velja, da je Priloga IV Direktive 2006/48/ES spremenjena tako, da vključuje po točki 3 besede ”kreditni izvedeni finančni instrumenti” ; | velja, da je Priloga III Direktive 2006/48/ES spremenjena tako, da vključuje po tabelo 1 naslednje besedilo: | ”Pri izračunu potencilane bodoče kreditne izpostavljenosti za zamenjavo skupnih donosov (total return swap) in zamenjavo neplačil (credit default swap), se nominalni znesek instrumenta pomnoži z naslednjimi odstotki: | — | če je referenčna obveznost taka, da bi se neposredna izpostavljenost institucije, obravnavala kot postavka kvalificiranih izdajateljev za namene Priloge I: 5 %; in | — | če je referenčna obveznost taka, da se neposredna izpostavljenost institucije, ne bi bila postavka kvalificiranih izdajateljev za namene Priloge I: 10 %; | V primeru zamenjave neplačil (credit default swap) pa se instituciji, katere izpostavljenost, ki izhaja iz te zamenjave, predstavlja dolgo pozicijo v osnovnem instrumentu, dovoli, da uporabi odstotek 0 % za izračun potencialne bodoče kreditne izpostavljenosti, razen če zamenjava neplačil preneha veljati v primeru nesolventnosti subjekta, katerega izpostavljenost, ki izhaja iz zamenjave neplačil, predstavlja kratko pozicijo v osnovnem instrumentu, tudi če osnovni instrument ni v neplačilu.”. | Če kreditni izvedeni finančni instrument zagotavlja zavarovanje za „n-to neplačilo“ izmed več osnovnih obveznosti, se uporabi tisti odstotek med zgoraj predpisanimi, ki se povezuje z obveznostjo z n-to najnižjo kreditno kvaliteto, ki se določi tako, da se ugotovi, ali bi bila ta obveznost, če bi nastala pri instituciji, postavka kvalificiranega izdajatelja za namene Priloge I. |
| 8. | For the purposes of point 6 , in calculating risk‐weighted exposure amounts institutions shall not be permitted to use the Financial Collateral Simple Method, set out in points 24 to 29, Part 3 , Annex VIII to Directive 2006/48/EC, for the recognition of the effects of financial collateral. | 8. | Za namene odstavka 6 se institucijam pri izračunavanju zneskov tveganju prilagojenih izpostavljenosti ne dovoli uporaba enostavne metode za izračun učinkov zavarovanja s finančnim premoženjem, določene v odstavkih 24 do 29 dela 3 Priloge VIII k Direktivi 2006/48/ES, za priznanje učinkov zavarovanja s finančnim premoženjem. |
| 9. | For the purposes of point 6 , in the case of repurchase transactions and securities or commodities lending or borrowing transactions booked in the trading book, all financial instruments and commodities that are eligible to be included in the trading book may be recognised as eligible collateral. For exposures due to OTC derivative instruments booked in the trading book, commodities that are eligible to be included in the trading book may also be recognised as eligible collateral. For the purposes of calculating volatility adjustments where such financial instruments or commodities which are not eligible under Annex VIII of Directive 2006/48/EC are lent, sold or provided, or borrowed, purchased or received by way of collateral or otherwise under such a transaction, and the institution is using the Supervisory volatility adjustments approach under Part 3 of Annex VIII to that Directive, such instruments and commodities shall be treated in the same way as non‐main index equities listed on a recognised exchange. | Where institutions are using the Own Estimates of Volatility adjustments approach under Part 3 of Annex VIII to Directive 2006/48/EC in respect of financial instruments or commodities which are not eligible under Annex VIII of that Directive, volatility adjustments must be calculated for each individual item. Where institutions are using the Internal Models Approach defined in Part 3 of Annex VIII to Directive 2006/48/EC, they may also apply this approach in the trading book. | 9. | Za namene odstavka 6 se lahko, v primeru poslov začasne prodaje/začasnega nakupa in poslov posoje/izposoje vrednostnih papirjev ali blaga, vknjiženih v trgovalno knjigo, vsi finančni instrumenti in blago, ki so primerni za vključitev v trgovalno knjigo, priznajo kot primerno zavarovanje. Za izpostavljenosti iz izvedenih finančnih instrumentov, s katerimi se trguje na prostem trgu (OTC) in ki so vključeni v trgovalno knjigo, se lahko kot primerno zavarovanje prizna tudi blago, vključeno v trgovalno knjigo. Za namene izračunavanja prilagoditev za nestanovitnost, če so taki finančni instrumenti ali blago, ki ne izpolnjujejo pogojev iz Priloge VIII k Direktivi 2006/48/ES, posojeni, prodani ali zagotovljeni, ali izposojeni, kupljeni ali prejeti kot zavarovanje ali kako drugače, institucija pa uporablja nadzorniške prilagoditve za nestanovitnost iz dela 3 Priloge VIII k navedeni direktivi, se v okviru takega posla taki instrumenti in blago obravnavajo na enak način kot lastniški finančni instrumenti, ki niso uvrščeni v glavnem borznem indeksu, so pa uvrščeni v kotacijo na priznani borzi. | Če institucije uporabljajo p lastne ocene prilagoditev za nestanovitnost iz dela 3 Priloge VIII k Direktivi 2006/48/ES v zvezi s finančnimi instrumenti ali blagom, ki ne izpolnjujejo pogojev iz Priloge VIII k navedeni direktivi, je treba prilagoditev za nestanovitnost izračunati za vsako posamezni finančni instrument in blago. Institucije, ki uporabljajo pristop internih modelov, opredeljen v delu 3 Priloge VIII k Direktivi 2006/48/ES, lahko ta pristop uporabijo tudi za postavke trgovalne knjige. |
| 10. | For the purposes of point 6, in relation to the recognition of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market‐driven transactions netting across positions in the trading book and the non‐trading book will only be recognised when the netted transactions fulfil the following conditions:(a) | all transactions are marked to market daily; and(b) | any items borrowed, purchased or received under the transactions may be recognised as eligible financial collateral under Title V, Chapter 2, Section 3, Subsection 3 of Directive 2006/48/EC without the application of point 9 of this Annex. | 10. | Za namene odstavka 6 se v zvezi s priznanjem okvirnih pogodb o pobotu, ki zajemajo posle začasne prodaje/začasnega nakupa in/ali posle posoje/izposoje vrednostnih papirjev ali blaga in/ali druge posle z instrumenti kapitalskega trga, pobotanje pozicij trgovalne knjige in pozicij bančne knjige, prizna samo, če pobotani posli izpolnjujejo naslednje pogoje: | (a) | vsi posli se vrednotijo dnevno z uporabo tekočih tržnih cen; in | (b) | vse postavke, ki so izposojene, kupljene ali prejete v okviru teh okvirnih pogodbah, se lahko priznajo kot primerno zavarovanje s finančnim premoženjem v skladu s pododdelkom 3 oddelka 3 poglavja 2 naslova V Direktive 2006/48/ES brez uporabe odstavka 10 te priloge. |
| 11. | Where a credit derivative included in the trading book forms part of an internal hedge and the credit protection is recognised under Directive 2006/48/EC, there shall be deemed not to be counterparty risk arising from the position in the credit derivative. | 11. | Če je kreditni izvedeni finančni instrument, vključen v trgovalno knjigo, sestavni del notranjega varovanja in kreditno zavarovanje pa je priznano v skladu z Direktivo 2006/48/ES, se šteje, da ni nikakršnega tveganja nasprotne stranke, ki bi izhajalo iz pozicije v kreditnem izvedenem finančnem instrumentu. |
| 12. | The capital requirement shall be 8 % of the total risk‐weighted exposure amounts. | 12. | Kapitalska zahteva znaša 8 % vsote zneskov tveganju prilagojenih izpostavljenosti. |
| ANNEX III | PRILOGA III |
| CALCULATING CAPITAL REQUIREMENTS FOR FOREIGN-EXCHANGE RISK | IZRAČUN KAPITALSKIH ZAHTEV ZA VALUTNO TVEGANJE |
| 1. | 1. | Če seštevek skupne neto pozicije v tuji valuti in neto pozicije v zlatu, ki ga institucija izračuna v skladu s postopkom, navedenim v odstavku 2, presega 2 % skupnih lastnih sredstev institucije, institucija seštevek neto pozicije v tuji valuti in neto pozicije v zlatu pomnoži z 8 %, da izračuna kapitalsko zahtevo za valutno tveganje. |
| If the sum of an institution's overall net foreign‐exchange position and its net gold position, calculated in accordance with the procedure set out in point 2, exceeds 2 % of its total own funds, it shall multiply the sum of its net foreign‐exchange position and its net gold position by 8 % in order to calculate its own‐funds requirement against foreign‐exchange risk. | 2. | Uporabi se dvostopenjski izračun za kapitalsko zahtevo za valutno tveganje. |
| 2. | 2.1. | Prvič, izračuna se neto odprto pozicijo institucije za vsako posamezno valuto (tudi valuto poročanja) in za zlato. | Ta neto odprta pozicija je vsota naslednjih postavk (pozitivnih ali negativnih): | (a) | neto promptna pozicija (t.j. vse aktivne postavke, zmanjšane za vse pasivne postavke, vključno z obračunanimi razmejenimi obrestmi v posamezni valuti ali, za zlato, neto promptna pozicija v zlatu); | (b) | neto terminska pozicija (t.j. vsa predvidena prejeta plačila, zmanjšana za vse predvidene obveznosti oziroma plačila v zvezi s nestandardiziranimi terminskimi pogodbami na tuje valute in transakcijami v zlatu, vključno s standardiziranimi terminskimi pogodbami na tuje valute in zlato in glavnico pri medvalutni zamenjavi, izključenimi iz promptne pozicije); | (c) | nepreklicne garancije (in drugi podobni instrumenti), ki bodo z veliko verjetnostjo unovčene in za katere obstaja majhna verjetnost poplačila; | (d) | neto pričakovani prihodki/odhodki, ki še niso obračunani, a so že popolnoma varovani (institucija po lastni presoji in s predhodnim soglasjem pristojnih organov lahko sem vključi neto prihodnji prihodki/odhodki, ki še niso vknjiženi, vendar so že popolnoma varovani s terminskimi transakcijami na tuje valute). Institucija mora takšno obravnavo dosledno uporabljati; | (e) | neto delta ekvivalent (ali na delti osnovana) vrednosti celotnega portfelja opcij na posamezne tuje valute in zlato; in | (f) | tržne vrednosti drugih opcij (brez opcij na tuje valute in zlato). | Vsaka pozicija, ki jo je institucija namenoma prevzela za varovanje pred neugodnimi učinki tečaja na njeno kapitalsko ustreznost, se lahko izključijo iz izračuna neto odprtih pozicij. Take pozicije naj bodo netrgovalne ali strukturne . Za njihovo izključitev in vsako spremembo pogojev njihove izključitve je potrebno soglasje pristojnih organov. Pod enakimi pogoji kot zgoraj se lahko obravnavajo tudi pozicije institucije povezane s postavkami, že odštetimi pri izračunu lastnih sredstev. | Za namene izračuna iz prvega pododstavka se v primeru CIU upoštevajo dejanske pozicije v tujih valutah. Institucije se lahko zanesejo na poročanje tretje osebe o pozicijah v tujih valutah CIU pri čemer se pravilnost tega poročila ustrezno zagotovi. Če institucija ni zmožna ugotoviti pozicij v tujih valutah CIU, se predpostavlja, da je CIU v skladu s svojo naložbeno politiko v tuje valute investiral do največjega dovoljenega obsega, tako da institucije za pozicije iz trgovalne knjige upošteva največjo posredno izpostavljenost, ki bi jo lahko dosegle s pozicijami v enotah premoženja CIU pri izračunavanju svoje kapitalske zahteve za valutno tveganje. To opravijo tako, da pozicijo v enotah premoženja CIU sorazmerno povečajo do najvišje izpostavljenosti v osnovnih naložbenih instrumentih, ki jo dovoljuje naložbena politika CIU. Hipotetična pozicija CIU v tujih valutah se obravnava kot ločena valuta in sicer enako kot se glede na obravnavojo naložb v zlatu, ob upoštevanju določenih popravkov, in sicer tako, da če je znana usmeritev naložbe CIU, skupna dolga pozicija doda skupni dolgi odprti poziciji v tujih valutah in skupna kratka pozicija pa se lahko doda skupni kratki odprti poziciji v tujih valutah. Pred izračunom ni dovoljeno nikakršno pobotanje med temi pozicijami. | Pristojni organi lahko institucijam dovolijo, da za izračunavanje neto odprtih pozicij v vsaki valuti in v zlatu uporabljajo neto sedanjo vrednost. |
| A two‐stage calculation shall be used for capital requirements for foreign‐exchange risk. | 2.2. | Drugič, neto kratke in dolge pozicije v posamezni valuti, razen valute poročanja, ter neto dolga ali neto kratka pozicija v zlatu se preračunajo v valuto poročanja po promptnih tečajih tujih valut. Nato se ločeno seštejejo vse neto kratke in vse neto dolge pozicije, tako da dobimo skupno neto kratko pozicijo in skupno neto dolgo pozicijo. Večja od obeh navedenih vsot predstavlja skupno neto pozicijo institucije v tujih valutah. |
| 2.1. | 3. | Z odstopanjem od odstavkov 1 in 2 in do nadaljnje uskladitve lahko pristojni organi institucijam predpišejo ali dovolijo uporabo naslednjih postopkov za namene te priloge. |
| Firstly, the institution's net open position in each currency (including the reporting currency) and in gold shall be calculated.This net open position shall consist of the sum of the following elements (positive or negative): | 3.1. | Pristojni organi lahko institucijam dovolijo, da izračunajo nižjo kapitalsko zahtevo za pozicije v tesno soodvisnih valutah za valutno tveganje od tistih, ki bi jo izračunale z uporabo odstavkov 1 in 2. Pristojni organi lahko presodijo, da sta dve valuti tesno soodvisni le tedaj, če je verjetnost, da izguba – izračunana na podlagi podatkov o dnevnih tečajih tujih valut za obdobje zadnjih treh ali petih let – pri enakih ali nasprotnih pozicij v takšnih valutah v naslednjih 10 delovnih dneh, ki znaša 4 % ali manj od vrednosti izravnane zadevne pozicije (ocenjena v valuti poročanja), ima verjetnost vsaj 99 %, če je bila uporabljena triletna opazovalna doba, ali 95 %, če je bila uporabljena petletna opazovalna doba. Kapitalska zahteva za valutno tveganje za izravnane pozicije v dveh tesno soodvisnih valutah znaša 4 %, pomnožena z vrednostjo izravnane pozicije. Kapitalska zahteva za valutno tveganje za neizravnane pozicije v tesno soodvisnih valutah in za vse pozicije v drugih valutah je 8 %, pomnožena z višjo od vsot neto kratkih pozicij ali neto dolgih pozicij v teh valutah, po izključitvi izravnanih pozicij v tesno soodvisnih valutah. |
| (a) | the net spot position (i.e. all asset items less all liability items, including accrued interest, in the currency in question or, for gold, the net spot position in gold); | 3.2. | Pristojni organi lahko institucijam dovolijo, da izključijo pozicije v vsaki valuti, ki je predmet pravno zavezujočega meddržavnega sporazuma, da omejijo njeno odstopanje oz. spremembo v razmerju do drugih valut, ki jih ureja isti sporazum, iz katere koli metode, opisane v odstavkih 1, 2 in 3.1, ki jih uporabljajo. Institucije izračunajo svoje izravnane pozicije v takšnih valutah in zanje izračunajo kapitalsko zahtevo, ki ni nižja od polovice največjega dovoljenega odstopanja iz navedenega meddržavnega sporazuma v zvezi z zadevnimi tujimi valutami. Neizravnane pozicije v teh valutah se obravnavajo na isti način kot druge tuje valute. | Z odstopanjem od prvega pododstavka lahko pristojni organi dovolijo, da kapitalska zahteva za valutno tveganje za izravnane pozicije v valutah držav članic udeleženk v drugi fazi ekonomske in monetarne unije, znaša 1,6 %, pomnožena z vrednostjo takšnih izravnanih pozicij. |
| (b) | the net forward position (i.e. all amounts to be received less all amounts to be paid under forward exchange and gold transactions, including currency and gold futures and the principal on currency swaps not included in the spot position); | 4. | Neto pozicije v sestavljenih valutah se lahko razdelijo na neto pozicije v valutah, ki te sestavljene valute sestavljajo po velikosti, ki odraža kvote valut v sestavljenih valutah. |
| (c) | irrevocable guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable; | PRILOGA IV |
| (d) | net future income/expenses not yet accrued but already fully hedged (at the discretion of the reporting institution and with the prior consent of the competent authorities, net future income/expenses not yet entered in accounting records but already fully hedged by forward foreign‐exchange transactions may be included here). Such discretion must be exercised on a consistent basis; | IZRAČUN KAPITALSKE ZAHTEVE ZA TVEGANJE SPREMEMBE CEN BLAGA |
| (e) | the net delta (or delta‐based) equivalent of the total book of foreign‐currency and gold options; and | 1. | Vsaka pozicija v blagu ali pozicija v izvedenih finančnih instrumentih na blago se izrazi v standardnih merskih enotah. Promptna cena vsake vrste blaga se izrazi v valuti poročanja. |
| (f) | the market value of other (i.e. non‐foreign-currency and non‐gold) options. | 2. | Pozicije v zlatu ali pozicije v izvedenih finančnih instrumentih na zlato so predmet valutnega tveganja in se za namen izračunavanja tržnega tveganja obravnavajo v skladu s Prilogo III ali Prilogo V, kot je to primerno. |
| Any positions which an institution has deliberately taken in order to hedge against the adverse effect of the exchange rate on its capital ratio may be excluded from the calculation of net open currency positions. Such positions should be of a non‐trading or structural nature and their exclusion, and any variation of the terms of their exclusion, shall require the consent of the competent authorities. The same treatment subject to the same conditions as above may be applied to positions which an institution has which relate to items that are already deducted in the calculation of own funds. | 3. | Za namen te priloge se lahko pozicije, namenjene izključno financiranju blaga oz. zalog, izključijo le iz izračuna kapitalske zahteve za tveganje spremembe cen blaga. |
| For the purposes of the calculation referred to in the first paragraph, in respect of CIUs the actual foreign exchange positions of the CIU shall be taken into account. Institutions may rely on third party reporting of the foreign exchange positions in the CIU, where the correctness of this report is adequately ensured. If an institution is not aware of the foreign exchange positions in a CIU, it shall be assumed that the CIU is invested up to the maximum extent allowed under the CIU's mandate in foreign exchange and institutions shall, for trading book positions, take account of the maximum indirect exposure that they could achieve by taking leveraged positions through the CIU when calculating their capital requirement for foreign exchange risk. This shall be done by proportionally increasing the position in the CIU up to the maximum exposure to the underlying investment items resulting from the investment mandate. The assumed position of the CIU in foreign exchange shall be treated as a separate currency according to the treatment of investments in gold, subject to the modification that, if the direction of the CIU's investment is available, the total long position may be added to the total long open foreign exchange position and the total short position may be added to the total short open foreign exchange position. There would be no netting allowed between such positions prior to the calculation. | 4. | Tveganja spremembe obrestne mere in valutno tveganje, ki jih ne pokrivajo druge določbe te priloge, se upoštevajo pri izračunu splošnega pozicijskega tveganja za dolžniške finančne instrumente in pri izračunu valutnega tveganja. |
| The competent authorities shall have the discretion to allow institutions to use the net present value when calculating the net open position in each currency and in gold. | 5. | Če kratka pozicija v blagu zapade v poravnavo pred njeno dolgo pozicijo, se mora institucija zavarovati pred likvidnostnim tveganjem, ki lahko nastane na določenih trgih. |
| 2.2. | 6. | Za namen iz odstavka 19 neto pozicija v določenem blagu predstavlja presežek dolgih (kratkih) pozicij nad kratkimi (dolgimi) pozicijami institucije v istem blagu in enakovrednih terminskih pogodbah, opcijah in nakupnih bonih na blago . | Pristojni organi dovolijo, da se pozicije v izvedenih finančnih instrumentih na blago obravnavajo v skladu z odstavki 8, 9 in 10 kot pozicije v osnovnem instrumentu oz. osnovnem blagu. |
| Secondly, net short and long positions in each currency other than the reporting currency and the net long or short position in gold shall be converted at spot rates into the reporting currency. They shall then be summed separately to form the total of the net short positions and the total of the net long positions respectively. The higher of these two totals shall be the institution's overall net foreign‐exchange position. | 7. | Pristojni organi obravnavajo kot pozicije v istem blagu naslednje pozicije: | (a) | pozicije v različnih podvrstah blaga v primerih, ko so le-te medsebojno zamenljive; in | (b) | pozicije v podobnih vrstah blaga, če so te vrste blaga približni substituti in če je minimalno korelacijo 0,9 med spremembami cen za te vrste blaga mogoče jasno ugotoviti najmanj v obdobju enega leta. |
| 3. | Posebni instrumenti |
| By derogation from points 1 and 2 and pending further coordination, the competent authorities may prescribe or allow institutions to use the following procedures for the purposes of this Annex. | 8. | Terminske pogodbe na blago in terminski nakup ali prodajo posameznega blaga se izrazijo kot nominalni znesek standardnih merskih enot in se jim glede na datum poravnave pripiše zapadlost. | Pristojni organi lahko dovolijo, da je kapitalska zahteva za terminske pogodbe na blago, s katerimi se trguje na borzi, enaka kritju, ki ga zahteva borza, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo tveganja terminske pogodbe in je najmanj enako kapitalski zahtevi za terminsko pogodbo, če se ta izračuna po metodi, navedeni v tej prilogi ali z uporabo notranjih modelov iz Priloge V. | Pristojni organi lahko dovolijo, da je kapitalska zahteva za izvedene finančne instrumente na blago iz tega odstavka, s katerimi se trguje na prostem trgu (OTC) izvedenimi in za katere izvaja poravnavo priznana klirinška hiša, enaka kritju, ki ga zahteva klirinška hiša, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo tveganja iz naslova pogodbe z izvedenimi finančnimi instrumenti in je najmanj enako kapitalski zahtevi iz zadevne pogodbe, če se ta izračuna po metodi, iz te priloge ali z uporabo notranjih modelov iz Priloge V. |
| 3.1. | 9. | Blagovne zamenjave, pri katerih ima ena stran transakcije določeno fiksno ceno in druga stran tekočo tržno ceno, se vključijo v pristop lestvice zapadlosti, kakor je določen v odstavkih 13 do 18, kot serije pozicij, enakih nominalnemu znesku pogodbe, pri čemer ena pozicija ustreza posameznemu plačilu v okviru zamenjave in se kot taka vnese v lestvico zapadlosti natančneje opredeljeno v tabeli 1 k odstavku 13. Če institucija plačuje določeno fiksno ceno in sprejema tekočo tržno ceno, gre za dolge pozicije, pri kratkih pozicijah pa institucija sprejema določeno fiksno ceno in plačuje tekočo tržno ceno. | Blagovne zamenjave, pri katerih se obe strani transakcije nanašata na različni vrsti blaga, se pri pristopu lestvice zapadlosti poročajo v ustreznem delu lestvice . |
| The competent authorities may allow institutions to provide lower capital requirements against positions in closely correlated currencies than those which would result from applying points 1 and 2 to them. The competent authorities may deem a pair of currencies to be closely correlated only if the likelihood of a loss — calculated on the basis of daily exchange‐rate data for the preceding three or five years — occurring on equal and opposite positions in such currencies over the following 10 working days, which is 4 % or less of the value of the matched position in question (valued in terms of the reporting currency) has a probability of at least 99 %, when an observation period of three years is used, or 95 %, when an observation period of five years is used. The own‐funds requirement on the matched position in two closely correlated currencies shall be 4 % multiplied by the value of the matched position. The capital requirement on unmatched positions in closely correlated currencies, and all positions in other currencies, shall be 8 %, multiplied by the higher of the sum of the net short or the net long positions in those currencies after the removal of matched positions in closely correlated currencies. | 10. | Za namene te priloge se opcije na blago ali opcije na izvedene finančne instrumente na blago obravnavajo kot pozicije z vrednostjo, ki je enaka vrednosti osnovnih finančnih instrumentov na katere se opcije nanašajo, pomnožene z njihovimi deltami. Slednje pozicije je mogoče pobotati z nasprotnimi pozicijami v istovrstnem osnovnem blagu ali v osnovnem izvedenem finančnem instrumentu na blago . Uporabljeno delto izračuna borza, pristojni organi ali, če nobeden od teh ni na voljo ali za OTC opcije, institucija sama, če so pristojni organi prepričani, da je model, ki ga institucija uporablja za izračun delte, primeren. | Vendar pristojni organi lahko zahtevajo, da institucije svoje delte izračunavati po metodologiji, ki jo oni določijo. | Druga tveganja, razen delte, povezana z opcijami na blago so tudi krita . | Pristojni organi lahko dovolijo, da je kapitalska zahteva za izdane opcije na blago, s katerimi se trguje na borzi, enaka kritju, ki ga zahteva borza, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo z opcijo povezanega tveganja in je najmanj enako kapitalski zahtevi opcije, če se ta izračuna po metodi, navedeni v nadaljevanju te priloge ali z uporabo notranjih modelov iz Priloge V. | Pristojni organi lahko dovolijo, da je kapitalska zahteva za opcije na blago, s katerimi se trguje na prostem trgu (OTC) in za katere poravnavo izvaja priznana klirinška hiša, , enaka kritju, ki ga zahteva klirinška hiša, če so popolnoma prepričani, da to kritje zagotavlja natančno merilo z opcijami povezanega tveganja in je najmanj enako kapitalski zahtevi za OTC opcije, če se ta izračuna po metodi, navedeni v nadaljevanju te priloge, ali z uporabo notranjih modelov iz Priloge V. | Poleg tega pristojni organi lahko dovolijo, da je kapitalska zahteva za kupljene opcije na blago, s katerimi se trguje na borzah ali na prostem trgu (OTC) , enaka osnovnemu instrumentu na katerega se opcije nanašajo, pod pogojem, da izračunana kapitalska zahteva ne presega tržne vrednosti teh opcij. Kapitalska zahteva za izdano opcijo na blago, s katero se trguje na prostem trgu (OTC) se določi glede na blago, ki je osnovni instrument opcije. |
| 3.2. | 11. | Nakupni boni na blago se obravnavajo na enak način kot opcije na blago iz odstavka 10. |
| The competent authorities may allow institutions to remove positions in any currency which is subject to a legally binding intergovernmental agreement to limit its variation relative to other currencies covered by the same agreement from whichever of the methods described in points 1, 2 and 3.1 that they apply. Institutions shall calculate their matched positions in such currencies and subject them to a capital requirement no lower than half of the maximum permissible variation laid down in the intergovernmental agreement in question in respect of the currencies concerned. Unmatched positions in those currencies shall be treated in the same way as other currencies. | 12. | Prenosnik blaga ali zajamčenih pravic, glede na pravice na blago v okviru poslov začasne prodaje/začasnega nakupa in posojevalec v okviru poslov posoje/izposoje blaga, vključita to blago v izračun kapitalske zahteve v skladu s to prilogo. |
| By derogation from the first paragraph, the competent authorities may allow the capital requirement on the matched positions in currencies of Member States participating in the second stage of the economic and monetary union to be 1,6 %, multiplied by the value of such matched positions. | (a) Pristop lestvice zapadlosti |
| 4. | 13. | Institucija za vsako vrsto blaga uporabi svojo lestvico zapadlosti v skladu s tabelo 1. Vse pozicije v isti vrsti blaga in vse pozicije, ki se v skladu z odstavkom 7 obravnavajo kot pozicije v isti vrsti blaga, se uvrstijo v ustrezen razred zapadlosti. Fizične zaloge blaga se uvrstijo v prvi razred zapadlosti. | Tabela 1 | Razredi zapadlosti | (1) | Razmik (v %) | (2) | 0 ≤ 1 mesec | 1,50 | > 1 ≤ 3 mesece | 1,50 | > 3 ≤ 6 mesecev | 1,50 | > 6 ≤ 12 mesecev | 1,50 | > 1 ≤ 2 leti | 1,50 | > 2 ≤ 3 leta | 1,50 | > 3 leta | 1,50 |
| Net positions in composite currencies may be broken down into the component currencies according to the quotas in force. | 14. | Pristojni organi lahko dovolijo, da se pozicije skladne z odstavkom 7 obravnavajo kot pozicije v isti vrsti blaga, pobotajo in uvrščajo v ustrezni razred zapadlosti v neto vrednosti, pri čemer dovoljenje velja za naslednje: | (a) | pozicije v pogodbah z istim dnevom zapadlosti; in | (b) | pozicije v pogodbah, med katerih dnevi zapadlosti ne preteče več kot 10 dni, če se s pogodbami trguje na trgih, kjer se dnevno določa datum poravnave. |
| ANNEX IV | 15. | Institucija nato izračuna vsoto dolgih in vsoto kratkih pozicij v vsakem posameznem razredu zapadlosti. Vsota prvih (drugih), ki so izravnanih z drugimi (prvimi) v določenem razredu zapadlosti, je izravnana pozicija tega razreda zapadlosti, medtem ko preostala dolga oziroma kratka pozicija neizravnana pozicija tega razreda zapadlosti. |
| CALCULATING CAPITAL REQUIREMENTS FOR COMMODITIES RISK | 16. | Del neizravnane dolge (kratke) pozicije za določen razred zapadlosti, ki se izravna z neizravnano kratko (dolgo) pozicijo v naslednjem razredu zapadlosti, predstavlja izravnano pozicijo med dvema razredoma zapadlosti. Del neizravnane dolge ali neizravnane kratke pozicije med tema dvema razredoma predstavlja neizravnano pozicijo. |
| 1. | 17. | Kapitalska zahteva institucije za vsako vrsto blaga se izračuna na podlagi ustrezne lestvice zapadlosti kot vsota naslednjih: | (a) | vsota izravnanih dolgih in kratkih pozicij, pomnoženih z ustreznim razmikom, ki je naveden v drugem stolpcu tabele 1 k odstavku 13, in s promptno ceno za blago za vsak razred zapadlosti; | (b) | neizravnana pozicija, ki ostane po izravnavi v določenem razredu zapadlosti, se prenese v naslednji razred zapadlosti, kjer se izravnava z neizravnano pozicijo tega razreda neizravnana pozicija, ki se prenese, se pomnoži z 0,6 % (carry rate) in s promptno ceno za blago; in | (c) | preostale neizravnane pozicije, pomnožene s 15 % (outright rate) in s promptno ceno za blago. |
| Each position in commodities or commodity derivatives shall be expressed in terms of the standard unit of measurement. The spot price in each commodity shall be expressed in the reporting currency. | 18. | Skupna kapitalska zahteva institucije za tveganja spremembe cen blaga se v skladu z odstavkom 17 izračuna kot vsota kapitalskih zahtev za vsako vrsto blaga. |
| 2. | (b) Enostavni pristop |
| Positions in gold or gold derivatives shall be considered as being subject to foreign‐exchange risk and treated according to Annex III or Annex V, as appropriate, for the purpose of calculating market risk. | 19. | Kapitalska zahteva institucije za vsako vrsto blaga se izračuna kot vsota: | (a) | 15 % neto pozicije, dolge ali kratke, pomnožene s promptno ceno za blago; in | (b) | 3 % bruto pozicije, vsota dolge in kratke pozicije, pomnožene s promptno ceno za blago. |
| 3. | 20. | Skupna kapitalska zahteva institucije za tveganja v zvezi z borznim blagom se v skladu z odstavkom 19 izračuna kot seštevek kapitalskih zahtev za vsako vrsto borznega blaga. |
| For the purposes of this Annex, positions which are purely stock financing may be excluded from the commodities risk calculation only. | (c) Razširjeni pristop lestvice zapadlosti |
| 4. | 21. | Pristojni organi lahko dovolijo institucijam, da namesto določil iz členov 13, 14, 17 in 18 uporabljajo minimalni razmik, ceno prenosa (carry rate) in skupno ceno (outright rate) iz spodnje tabele 2, če po mnenju svojih pristojnih organov: | (a) | institucije sklepajo pomemben obseg poslov z blagom, | (b) | imajo razpršen portfelj za blago, in | (c) | še niso morejo uporabljati notranjih modelov za izračun kapitalske zahteve za tveganja spremembe cen blaga v skladu s Prilogo V. | Tabela 2 | | Plemenite kovine (razen zlata) | Ostale kovine | Kmetijski proizvodi (razen kovin) | Drugo blago, vključno z energetskim blagom | Razmik ( %) | 1,0 | 1,2 | 1,5 | 1,5 | Cena prenosa (carry rate) ( %) | 0,3 | 0,5 | 0,6 | 0,6 | Skupna cena (outright rate) ( %) | 8 | 10 | 12 | 15 |
| The interest‐rate and foreign‐exchange risks not covered by other provisions of this Annex shall be included in the calculation of general risk for traded debt instruments and in the calculation of foreign‐exchange risk. | PRILOGA V |
| 5. | UPORABA NOTRANJIH MODELOV ZA IZRAČUN KAPITALSKIH ZAHTEV |
| When the short position falls due before the long position, institutions shall also guard against the risk of a shortage of liquidity which may exist in some markets. | 1. | Pristojni organi lahko ob upoštevanju pogojev iz te priloge institucijam dovolijo, da izračunajo kapitalsko zahtevo za pozicijsko tveganje, valutno tveganje in/ali tveganje spremembe cen blaga po svojih notranjih modelih za upravljanje s tveganji namesto ali v kombinaciji z metodami, ki so navedene v Prilogah I, III in IV. V vsakem primeru mora biti uporaba modelov za izvajanje nadzora nad kapitalom priznana s strani pristojnih organov. |
| 6. | 2. | Pristojni organi priznajo notranje modele sistema upravljanja s tveganji institucij le, če so prepričani, da je konceptualno ustrezen, se dosledno izvaja in, da predvsem izpolnjuje naslednje pogoje: | (a) | notranji model merjenja tveganj je vgrajen v dnevni proces upravljanja s tveganji institucije in je podlaga za poročanje višjemu vodstvu institucije o izpostavljenosti tveganjem; | (b) | institucija ima enoto za upravljanje s tveganji, ki deluje neodvisno od enot, ki se ukvarjajo s trgovanjem in poroča neposredno višjemu vodstvu institucije. Enota mora biti odgovorna za oblikovanje in vzpostavitev notranjega modela institucije. Pripravlja in analizira dnevna poročila o rezultatih notranjega modela, ter o ustreznih ukrepih glede trgovalnih limitov. Enota izvaja začetno in tekoče ovrednotenje notranjega modela; | (c) | uprava in višje vodstvo institucije aktivno sodelujeta v procesu upravljanja s tveganji, in dnevna poročila, ki jih pripravi enota za upravljanje s tveganji, pregledajo vsi vodilni delavci, ki imajo ustrezna pooblastila za ukrepanje v smislu zmanjševanja pozicij posameznih trgovcev kot tudi zmanjševanja celotne izpostavljenosti institucije; | (d) | institucija ima zadostno število zaposlenih usposobljenih za delo z modeli na področju trgovanja, upravljanja s tveganji, revidiranja in zalednih služb; | (e) | institucija ima vzpostavljene ustrezne postopke za spremljanje in zagotavljanje skladnosti uporabe modelov z dokumentiranimi notranjimi politikami in kontrolami na celotno delovanje notranjega modela; | (f) | notranji modeli institucije morajo dajati zanesljive dokaze o zadostni stopnji natančnosti pri merjenju tveganj; | (g) | institucija pogosto izvaja programe testiranja izjemnih situacij. Rezultate testiranja redno pregleduje višje vodstvo. Rezultati se morajo odražati v sprejetih politikah in limitih trgovanja, ki jih določi višje vodstvo. Testiranje izjemnih situacij se nanaša zlasti na nelikvidnost trgov v izjemnih tržnih pogojih, tveganje koncentracije, enosmerne trge, tveganje neplačila in tveganje skokovitega naraščanja verjetnosti neplačila, nelinearnost produktov, pozicije, ki se jih ne izplača izvršiti, pozicije, ki so predmet velikega cenovnega razkoraka in druga tveganja, ki niso ustrezno zajeta z notranjim modelom. Testiranje izjemnih situacij mora odražati značilnosti portfeljev in čas, ki bi bil potreben za uvedbo varovanja ali upravljanja s tveganji pri zelo slabih tržnih pogojih; in | (h) | kot del lastne notranje revizije mora institucija opraviti neodvisen pregled svojega notranjega modela. | Pregled iz točke (h) prvega pododstavka pokriva tako delovanje enot, ki se ukvarjajo s trgovanjem in neodvisne enote za upravljanje s tveganji. Najmanj enkrat na leto mora institucija opraviti celovit pregled sistema upravljanja s tveganji. | Pregled vključuje naslednje: | (a) | ustreznost dokumentiranosti sistema in procesov upravljanja s tveganji in organizacije enote za upravljanje s tveganji; | (b) | vključenost merjenja tržnih tveganj v dnevno upravljanje s tveganji in celovitost sistema obveščanja vodstva; | (c) | proces, ki ga institucija uporablja za odobravanje cenovnih modelov in sistemov vrednotenja, ki jih uporabljajo zaposleni v enoti za trgovanje in zaledni službi; | (d) | obseg tržnih tveganj, zajetih v notranje modele in ovrednotenje vseh pomembnejših sprememb v notranjem modelu; | (e) | natančnost in popolnost podatkov o pozicijah, natančnost in primernost predpostavk za določanje nestanovitnosti in korelacij ter natančnost vrednotenja in izračunov občutljivosti na tveganje; | (f) | proces preverjanja doslednosti, pravočasnosti, neodvisnosti in zanesljivosti virov podatkov, na katerih temeljijo notranji modeli; in | (g) | proces za preverjanje testiranja za nazaj, s pomočjo katerega se ocenjuje natančnost notranjega modela. |
| For the purpose of point 19, the excess of an institution's long (short) positions over its short (long) positions in the same commodity and identical commodity futures, options and warrants shall be its net position in each commodity. | 3. | Institucije imajo vzpostavljene procese, da zagotovijo, da njihove interne modele primerno ovrednoteni s strani ustrezno kvalificiranih oseb, neodvisno od procesa razvoja modelov, da zagotovijo, da so konceptualno ustrezni in primerno zajemajo vsa bistvena tveganja. Ovrednotenje se izvede ob začetku uporabe modelov in ob vseh večjih spremembah notranjih modelov. Ovrednotenje se izvaja tudi periodično, zlasti ko pride do večjih strukturnih sprememb na trgu ali v primeru sprememb sestave portfelja, zaradi česar notranji modeli morda niso več ustrezni. Institucije uporabljajo razvoj tehnik in dobre prakse. Ovrednotenje notranjih modelov ni omejeno na testiranje za nazaj ampak vključuje pa najmanj naslednje: | (a) | testiranja, ki dokazujejo, da so vse predpostavke v zvezi z notranjimi modeli ustrezne, in da ne podcenjujejo ali precenjujejo tveganja; | (b) | poleg zakonsko določenih programov testiranja za nazaj, institucije izvajajo lastna testiranja za ovrednotenje notranjih modelov v zvezi s tveganji in strukturami svojih portfeljev; in | (c) | uporabo hipotetičnih portfeljev, da se dokaže, da so notranji modeli zmožni upoštevati posebne strukturne okoliščine, ki bi lahko nastale, kot sta na primer večje bazično tveganje in tveganje koncentracije. |
| The competent authorities shall allow positions in derivative instruments to be treated, as laid down in points 8, 9 and 10, as positions in the underlying commodity. | 4. | Institucija natančnost in izvajanje svojih notranjih modelov spremlja s testiranjem za nazaj. Testiranje za nazaj mora za vsak delovni dan zagotoviti primerjavo med enodnevno mero tvegane vrednosti, izračunano na podlagi notranjega modela institucije za izračun pozicij portfelja ob koncu dneva in enodnevno spremembo vrednosti portfelja. | Pristojni organi preverijo sposobnost institucije, da izvaja testiranje za nazaj za dejanske in hipotetične spremembe vrednosti portfelja. Testiranje hipotetične spremembe vrednosti portfelja za nazaj temelji na primerjavi med zaključno dnevno vrednostjo portfelja in, ob nespremenjenih pozicijah, njegovo vrednostjo ob koncu naslednjega dne. Pristojni organi od institucij zahtevajo, da sprejmejo potrebne ukrepe za izboljšanje svojih programov testiranja za nazaj, če so ti pomanjkljivi. Pristojni organi lahko od institucij zahtevajo, da izvedejo testiranje za nazaj tako na rezultate hipotetičnega portfelja trgovanja (z uporabo sprememb vrednosti portfelja, ki bi nastale, če bi pozicije ob zaključku dneva ostale nespremenjene) kakor tudi na rezultate dejanskih dnevnih dobičkov in izgub iz trgovanja (brez odpravnin, provizij in čistih prihodkov iz obresti), ali za oboje. |
| 7. | 5. | Za izračun kapitalske zahteve za posebno tveganje iz naslova dolžniških in lastniških finančnih instrumentov lahko pristojni organi priznajo instituciji uporabo notranjih modelov, če notranji modeli v skladu s pogoji iz te priloge izpolnjujejo naslednje pogoje: | (a) | odražajo preteklo variabilnost cen, ki so zajete v portfelju; | (b) | morajo zajeti koncentracijo v smislu velikosti portfelja in spremembe sestave portfelja; | (c) | ustrezno delujejo v škodljivem okolju, morajo biti robustni v primeru neugodnih tržnih gibanj; | (d) | ustreznost modelov se preverja in potrjuje skozi testiranje za nazaj, katerega namen je oceniti, ali se posebno tveganje zajema natančno. Če pristojni organi dovolijo, da se to testiranje za nazaj izvaja na podlagi ustreznih podportfeljev, mora biti izbira teh dosledna; | (e) | da zajamejo bazično tveganje, to je, da institucije dokažejo, da so notranji modeli občutljivi na bistvene značilne razlike med sicer podobnimi, vendar ne identičnimi pozicijami; in | (f) | da zajamejo tveganje nastanka nepričakovanih neugodnih dogodkov (event risk). | Institucija mora izpolniti tudi naslednje pogoje: | — | Če je institucija izpostavljena tveganju nastanka nepričakovanih neugodnih dogodkov (event risk), ki ni zajeto v njeni meri tvegane vrednosti – (VaR), ker presega 10-dnevno obdobje posedovanja in 99-odstotni enostranski interval zaupanja (dogodki „majhna verjetnost – velik vpliv“), institucija zagotovi, da je vpliv takih dogodkov vključen v oceni njenega ekonomskega kapitala; in | — | notranji modeli institucije morajo konzervativno oceniti tveganja, ki izhajajo iz manj likvidnih pozicij in pozicij z omejeno preglednostjo cen na podlagi realističnih tržnih scenarijev. Poleg tega morajo notranji modeli izpolniti tudi minimalne standarde, ki se nanašajo na podatke. Približki podatkov (proxies) so ustrezno konzervativni in se lahko uporabijo samo, če so razpoložljivi podatki nezadostni ali ne odražajo resnične nestanovitnosti pozicije ali portfelja. | Institucije pri uporabi notranjih modelov upoštevajo razvoj tehnik in dobre prakse, takoj ko so na voljo. | Poleg tega ima institucija vzpostavljeno metodo, ki zajema, pri izračunu kapitalskih zahtev, tveganje neplačila svojih pozicij v trgovalni knjigi, ki preseže tveganje neplačila, zajeto v izračunu na podlagi tvegane vrednosti, kakor je določeno v prejšnjih zahtevah iz tega odstavka. Da bi se kreditna institucija izognila dvojnemu štetju pri izračunu dodatne kapitalske zahteve za tveganje neplačila, lahko upošteva obseg, v katerem je bilo tveganje neplačila že vključeno v izračun tvegane vrednosti, zlasti za tveganost pozicij, ki bi lahko bile in bi bile zaprte v 10 dneh v primeru neugodnih razmer na trgu ali drugih znakov poslabšanja kreditnega okolja. Če institucija izračuna dodatno kapitalsko zahtevo za presežno tveganje neplačila, mora imeti vzpostavljene metodologije za potrjevanje izračuna. | Institucija mora dokazati, da njen pristop izpolnjuje standarde ustreznosti na način primerljiv kot pristop, določen v členih 84 do 89 Direktive 2006/48/ES, pod predpostavko nespremenjene stopnje tveganja, in da se po potrebi prilagaja z upoštevanjem vpliva likvidnosti, koncentracij, varovanja in raznolikosti (optionality). | Institucija, ki ne zajame presežnega tveganja neplačila z notranjimi razvitimi pristopi (notranjimi modeli), izračuna dodatno kapitalsko zahtevo na podlagi pristopa, ki je skladen s pristopi, določenimi v členih 78 do 83 ali 84 do 89 Direktive 2006/48/ES. | V zvezi z pozicijami v denarnih sredstvih ali sintetičnih izpostavljenostih listinjenja, za katere bi se uporabljal odbitek na podlagi obravnave, določene v členu 66(2) Direktive 2006/48/ES, ali ki se tehtajo z utežjo tveganja 1 250 %, kakor je določeno v delu 4 Priloge IX k navedeni direktivi, se za te pozicije uporablja kapitalska zahteva, ki ni manjša od zahteve, opredeljene v okviru navedene obravnave. Institucije, ki trgujejo s takimi izpostavljenostmi, lahko uporabijo drugačno obravnavo, pri čemer morajo biti zmožne pristojnim organom poleg namena trgovanja dokazati tudi, da za izpostavljenosti listinjenja ali, v primeru sintetičnih listinjenj, ki se opirajo izključno na kreditne izvedene finančne instrumente, za izpostavljenosti listinjenja kot take ali za njihove sestavne dele tveganja (risk components), obstaja dvosmerni likvidni trg. Za namene tega oddelka se šteje, da dvosmerni trg obstaja, če obstajajo neodvisne ponudbe v dobri veri za nakup ali prodajo, tako da se lahko cena, ki je razumno povezana z zadnjo prodajno ceno ali v dobri veri s trenutno konkurenčno ponudbo oz. kotacijo povpraševanja, določi v enem dnevu in po tej ceni tudi poravna v razmeroma kratkem času v skladu s trgovalnimi običaji. Da lahko institucija uporabi to izjemo, mora imeti tudi dovolj tržnih podatkov, da zagotovi, da v celoti zajame koncentrirano tveganje neplačila pri teh izpostavljenosti v svojih notranjih modelih za merjenje presežnega tveganja neplačila v skladu z zgoraj navedenimi standardi. |
| The competent authorities may regard the following positions as positions in the same commodity: | 6. | Institucije, ki uporabljajo notranje modele, ki niso priznani v skladu z odstavkom 4, so predmet dodatne kapitalske zahteve za posebno tveganje, ki se izračuna v skladu s Prilogo I. |
| (a) | positions in different sub‐categories of commodities in cases where the sub‐categories are deliverable against each other; and | 7. | Za namene odstavka 9(b) se rezultati notranjih modelov institucije razvrstijo po multiplikatorju, ki je najmanj 3. |
| (b) | positions in similar commodities if they are close substitutes and if a minimum correlation of 0,9 between price movements can be clearly established over a minimum period of one year. | 8. | Multiplikator se poveča za plus faktor med 0 in 1 v skladu s tabelo 1, v odvisnosti od števila preseganj za zadnjih 250 delovnih dni, ugotovljenih s testiranjem za nazaj, ki ga opravi institucija. Pristojni organi zahtevajo, da institucije dosledno izračunavajo ta preseganja s testiranjem za nazaj na podlagi dejanskih ali hipotetičnih sprememb vrednosti portfelja. Preseganje pomeni enodnevno spremembo vrednosti portfelja, ki presega ustrezno enodnevno mero tvegane vrednosti, izračunane z notranjim modelom institucije. Za določitev plus faktorja je treba število preseganj ugotavljati konsistentno vsaj četrtletno. | Tabela 1 | Število preseganj | Plus faktor | manj kot 5 | 0,0 | 5 | 0,40 | 6 | 0,50 | 7 | 0,65 | 8 | 0,75 | 9 | 0,85 | 10 ali več | 1,00 | V posameznih primerih in zaradi izjemnih razmer se lahko pristojni organi odpovejo uveljavljanju zahteve, da se multiplikator poveča za vrednost plus faktorja v skladu s tabelo 1, če je institucija pristojnim organom dokazala, da je tako povečanje neupravičeno in da je notranji model v osnovi dobro deluje. | Če veliko število preseganj kaže, da notranji model ni zadosti natančen, pristojni organi lahko notranjemu modelu odvzamejo soglasje o primernosti notranjega modela ali uveljavijo primerne ukrepe, s katerimi zagotovijo primerno izboljšanje notranjega modela. | Zaradi možnosti pristojnih organov, da stalno spremljajo ustreznost plus faktorja, morajo institucije nemudoma in v vsakem primeru najkasneje v petih delovnih dneh obvestiti pristojne organe o preseganjih, ugotovljenih na podlagi testiranja za nazaj, ki bi po zgornji tabeli pomenilo povečanje plus faktorja. |
| Particular instruments | 9. | Vsaka institucija mora izpolniti kapitalsko zahtevo, ki je izražena kot višji izmed: | (a) | tvegane vrednosti prejšnjega dne, izračunane v skladu s parametri, določenimi v tej prilogi, ki se ji po potrebi prišteje dodatna kapitalska zahteva za presežno tveganje neplačila, zahtevano v skladu z odstavkom 5; ali | (b) | povprečja dnevnih mer tvegane vrednosti na vsakega od predhodnih 60 delovnih dni, pomnoženega s faktorjem, navedenim v odstavku 7 in prilagojeno za faktor, naveden v odstavku 8, ki se mu po potrebi prišteje dodatna kapitalska zahteva za presežno tveganje neplačila, zahtevana v skladu z odstavkom 5. |
| 8. | Commodity futures and forward commitments to buy or sell individual commodities shall be incorporated in the measurement system as notional amounts in terms of the standard unit of measurement and assigned a maturity with reference to expiry date. | The competent authorities may allow the capital requirement for an exchange‐traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. | The competent authorities may also allow the capital requirement for an OTC commodity derivatives contract of the type referred to in this point cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement for the contract in question that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. | 10. | Pri izračunu tvegane vrednosti z notranjimi modeli veljajo naslednji minimalni standardi: | (a) | tvegana vrednost se izračunava vsaj dnevno; | (b) | tvegana vrednost se izračuna z 99 % enostranskim intervalom zaupanja; | (c) | uporaba faktorja, ki odraža nestanovitnost cen za obdobje 10 dni posedovanja (holding period); | (d) | učinkovita metoda za opazovanje preteklih dogodkov za vsaj eno leto, razen če je krajše obdobje upravičeno zaradi večjega povečanja cenovne nestanovitnosti; in | (e) | ažuriranje podatkov vsaj četrtletno. |
| 9. | Commodity swaps where one side of the transaction is a fixed price and the other the current market price shall be incorporated into the maturity ladder approach, as set out in points 13 to 18, as a series of positions equal to the notional amount of the contract, with one position corresponding with each payment on the swap and slotted into the maturity ladder set out in Table 1 to point 13. The positions would be long positions if the institution is paying a fixed price and receiving a floating price and short positions if the institution is receiving a fixed price and paying a floating price. | Commodity swaps where the sides of the transaction are in different commodities are to be reported in the relevant reporting ladder for the maturity ladder approach. | 11. | Pristojni organi zahtevajo, da notranji modeli natančno zajemajo vsa materialno pomembna cenovna tveganja iz naslova opcij ali opcijam podobnih instrumentov in da se druga tveganja, ki jih model ne zajema, ustrezno krijejo iz lastnih sredstev institucije. |
| 10. | Options on commodities or on commodity derivatives shall be treated as if they were positions equal in value to the amount of the underlying to which the option refers, multiplied by its delta for the purposes of this Annex. The latter positions may be netted off against any offsetting positions in the identical underlying commodity or commodity derivative. The delta used shall be that of the exchange concerned, that calculated by the competent authorities or, where none of those is available, or for OTC options, that calculated by the institution itself, subject to the competent authorities being satisfied that the model used by the institution is reasonable. | However, the competent authorities may also prescribe that institutions calculate their deltas using a methodology specified by the competent authorities. | Other risks, apart from the delta risk, associated with commodity options shall be safeguarded against. | The competent authorities may allow the requirement for a written exchange‐traded commodity option to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement against an option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. | The competent authorities may also allow the capital requirement for an OTC commodity option cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement for an OTC option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V. | In addition they may allow the requirement on a bought exchange‐traded or OTC commodity option to be the same as that for the commodity underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement for a written OTC option shall be set in relation to the commodity underlying it. | 12. | Notranji modeli zajemajo zadostno število dejavnikov tveganj, odvisno od stopnje aktivnosti institucije na zadevnih trgih in zlasti od naslednjega. |
| 11. | Warrants relating to commodities shall be treated in the same way as commodity options referred to in point 10. | Tveganje spremembe obrestnih mer |
| 12. | The transferor of commodities or guaranteed rights relating to title to commodities in a repurchase agreement and the lender of commodities in a commodities lending agreement shall include such commodities in the calculation of its capital requirement under this Annex. | Notranji modeli za merjenje tveganj vključijo niz dejavnikov tveganja, ki ustrezajo obrestnim meram v posamezni valuti, v kateri ima institucija obrestno občutljive bilančne ali zunajbilančne postavke. Institucija mora izdelati krivulje donosnosti s pomočjo splošno sprejetih metodologij. Za materialno pomembne izpostavljenosti obrestnemu tveganju v pomemebnih valutah in na pomembnih trgih, se krivulja donosnosti po zapadlosti razdeli na najmanj šest razredov tako, da zajame spremembe nestanovitnosti obrestnih mer na krivulji donosnosti. Notranji modeli morajo zajeti tudi tveganje ne nepopolnih korelacijskih gibanj različnih krivulj donosnosti. |
| (a) Maturity ladder approach | Valutno tveganje |
| 13. | The institution shall use a separate maturity ladder in line with Table 1 for each commodity. All positions in that commodity and all positions which are regarded as positions in the same commodity pursuant to point 7 shall be assigned to the appropriate maturity bands. Physical stocks shall be assigned to the first maturity band. | Table 1 | Maturity band | (1) | Spread rate (in %) | (2) | 0 ≤ 1 month | 1,50 | > 1 ≤ 3 months | 1,50 | > 3 ≤ 6 months | 1,50 | > 6 ≤ 12 months | 1,50 | > 1 ≤ 2 years | 1,50 | > 2 ≤ 3 years | 1,50 | > 3 years | 1,50 | Notranji modeli vključijo dejavnike tveganja, ki se nanašajo na zlato in posamezne tuje valute, v katerih so pozicije institucije izražene. |
| 14. | Competent authorities may allow positions which are, or are regarded pursuant to point 7 as, positions in the same commodity to be offset and assigned to the appropriate maturity bands on a net basis for the following: | (a) | positions in contracts maturing on the same date; and | (b) | positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates. | Za CIU se upoštevajo dejanske pozicije CIU v tujih valutah. Institucije se lahko zanesejo na poročanje tretje stranke o pozicijah CIU v tujih valutah, pri čemer se ustrezno zagotovi pravilnost tega poročila. Če institucija ni zmožna ugotoviti pozicij CIU v tujih valutah, se ta pozicija v CIU izloči in obravnava v skladu z četrtim pododstavkom točke 2.1 Priloge III. |
| 15. | The institution shall then calculate the sum of the long positions and the sum of the short positions in each maturity band. The amount of the former (latter) which are matched by the latter (former) in a given maturity band shall be the matched positions in that band, while the residual long or short position shall be the unmatched position for the same band. | Tveganje v zvezi z lastniškimi finančnimi instrumenti |
| 16. | That part of the unmatched long (short) position for a given maturity band that is matched by the unmatched short (long) position for a maturity band further out shall be the matched position between two maturity bands. That part of the unmatched long or unmatched short position that cannot be thus matched shall be the unmatched position. | Notranji modeli uporabljajo poseben dejavnik tveganja vsaj za vsak trg lastniških finančnih instrumentov, na katerem institucija ima pomembne pozicije. |
| 17. | The institution's capital requirement for each commodity shall be calculated on the basis of the relevant maturity ladder as the sum of the following: | (a) | the sum of the matched long and short positions, multiplied by the appropriate spread rate as indicated in the second column of Table 1 to point 13 for each maturity band and by the spot price for the commodity; | (b) | the matched position between two maturity bands for each maturity band into which an unmatched position is carried forward, multiplied by 0,6 % (carry rate) and by the spot price for the commodity; and | (c) | the residual unmatched positions, multiplied by 15 % (outright rate) and by the spot price for the commodity. | Tveganje spremembe cen blaga |
| 18. | The institution's overall capital requirement for commodities risk shall be calculated as the sum of the capital requirements calculated for each commodity according to point 17. | Notranji modeli uporabljajo poseben dejavnik tveganja vsaj za vsako vrsto blaga, v katerem institucija ima pomembne pozicije. Notranji modeli morajo zajemati tudi tveganje nepopolnih korelacijskih gibanj med podobnimi, toda neenakimi vrstami blaga in izpostavljenostjo spremembam terminskih cen zaradi neusklajenih zapadlosti. Upoštevati morajo tudi značilnosti trga, predvsem datume izročitve oz. poravnave in možnosti, ki jih imajo trgovci na voljo za zapiranje pozicij. |
| (b) Simplified approach | 13. | Pristojni organi lahko dovolijo, da institucije uporabljajo empirične korelacije znotraj kategorij tveganj in med njimi, če se prepričajo, da ima institucija zanesljiv sistem za merjenje korelacij in se izvaja celovito. |
| 19. | The institution's capital requirement for each commodity shall be calculated as the sum of: | (a) | 15 % of the net position, long or short, multiplied by the spot price for the commodity; and | (b) | 3 % of the gross position, long plus short, multiplied by the spot price for the commodity. | PRILOGA VI |
| 20. | The institution's overall capital requirement for commodities risk shall be calculated as the sum of the capital requirements calculated for each commodity according to point 19. | IZRAČUN KAPITALSKIH ZAHTEV ZA VELIKE IZPOSTAVLJENOSTI |
| (c) Extended Maturity ladder approach | 1. | Presežek iz člena 31(b) se izračuna na podlagi tistih posameznih izpostavljenosti iz trgovanja do posameznih oseb ali skupine povezanih oseb, za katere je potrebno izračunati najvišjo kapitalsko zahtev za posebno tveganje iz Priloge I in/ali najvišjo kapitalsko zahtevo iz Priloge II ter vsota katerih je enaka znesku presežnih izpostavljenosti iz trgovanja iz člena 31(a); |
| 21. | Competent authorities may authorise institutions to use the minimum spread, carry and outright rates set out in the following table (Table 2) instead of those indicated in points 13, 14, 17 and 18 provided that the institutions, in the opinion of their competent authorities: | (a) | undertake significant commodities business; | (b) | have a diversified commodities portfolio; and | (c) | are not yet in a position to use internal models for the purpose of calculating the capital requirement on commodities risk in accordance with Annex V. | Table 2 | | Precious metals (except gold) | Base metals | Agricultural products (softs) | Other, including energy products | Spread rate ( %) | 1,0 | 1,2 | 1,5 | 1,5 | Carry rate ( %) | 0,3 | 0,5 | 0,6 | 0,6 | Outright rate ( %) | 8 | 10 | 12 | 15 | 2. | Kjer presežna izpostavljenost iz trgovanja obstaja 10 dni ali manj, je dodatna kapitalska zahteva za tveganje preseganja največjih dopustnih izpostavljenosti iz trgovanja enaka 200 % zahtev iz odstavka 1 za te komponente. |
| ANNEX V | 3. | Po 10 dneh od nastanka presežne izpostavljenosti se posamezne presežne izpostavljenosti iz trgovanja izbrane v skladu z odstavkom 1, razvrstijo v ustrezno vrstico v stolpec 1 spodnje tabele 1 v naraščajočem vrstnem redu glede na njihovo kapitalsko zahtevo za posebno tveganje iz Priloge I in/ali kapitalsko zahtevo iz Priloge II. Dodatno kapitalsko zahtevo se izračuna kot vsoto kapitalskih zahtev za posebno tveganje iz Priloge I in/ali kapitalskih zahtev za te komponente iz Priloge II, pomnoženih z ustreznim faktorjem v stolpcu 2 tabele 1. | Tabela 1 | Preseganje omejitev | (kot delež v lastnih sredstvih) | Faktorji | Do 40 % | 200 % | od 40 % do 60 % | 300 % | od 60 % do 80 % | 400 % | od 80 % do 100 % | 500 % | od 100 % do 250 % | 600 % | nad 250 % | 900 % |
| USE OF INTERNAL MODELS TO CALCULATE CAPITAL REQUIREMENTS | PRILOGA VII |
| 1. | TRGOVANJE |
| The competent authorities may, subject to the conditions laid down in this Annex, allow institutions to calculate their capital requirements for position risk, foreign‐exchange risk and/or commodities risk using their own internal risk‐management models instead of or in combination with the methods described in Annexes I, III and IV. Explicit recognition by the competent authorities of the use of models for supervisory capital purposes shall be required in each case. | DEL A |
| 2. | Namen trgovanja |
| Recognition shall only be given if the competent authority is satisfied that the institution's risk‐management system is conceptually sound and implemented with integrity and that, in particular, the following qualitative standards are met: | 1. | Pozicije/portfelji za namene trgovanja ustrezajo naslednjim zahtevam: | (a) | obstajati mora jasno dokumentirana strategija trgovanja za pozicijo/instrument ali portfelje, ki jo odobri višje vodstvo in ki vključuje pričakovano obdobje posedovanja; | (b) | obstajati morajo jasno opredeljene politike in postopki za aktivno upravljanje pozicije, ki vključujejo naslednje: | (i) | pozicije so odprte prek trgovalne enote; | (ii) | limiti so določeni, njihova ustreznost pa se redno spremlja; | (iii) | trgovci so neodvisni pri sklepanju/upravljanju pozicije v okviru dogovorjenih limitov in v skladu z odobreno strategijo; | (iv) | pozicije se sporočajo višjemu vodstvu kot sestavni del procesa institucije za upravljanje s tveganji; in | (v) | pozicije se aktivno spremljajo glede na tržne informacije in ocene o možnosti prodaje, sklepanja poslov varovanja pozicije ali njenih tveganj, vključno zlasti s kvaliteto in razpoložljivostjo vhodnih tržnih podatkov v procesu vrednotenja, obsegom tržnega prometa in obsegom pozicij, ki so predmet trgovanja; in | (c) | obstajati morajo jasno opredeljene politike in postopki za spremljanje pozicije v skladu s strategijo trgovanja institucije, vključno s spremljanjem prometa in prodajnih pozicij v trgovalni knjigi institucije. |
| (a) | the internal risk‐measurement model is closely integrated into the daily risk‐management process of the institution and serves as the basis for reporting risk exposures to senior management of the institution; | DEL B |
| (b) | the institution has a risk control unit that is independent from business trading units and reports directly to senior management. The unit must be responsible for designing and implementing the institution's risk‐management system. It shall produce and analyse daily reports on the output of the risk‐measurement model and on the appropriate measures to be taken in terms of trading limits. The unit shall also conduct the initial and on-going validation of the internal model; | Sistemi in kontrole |
| (c) | the institution's board of directors and senior management are actively involved in the risk‐control process and the daily reports produced by the risk‐control unit are reviewed by a level of management with sufficient authority to enforce both reductions of positions taken by individual traders as well as in the institution's overall risk exposure; | 1. | Institucije vzpostavijo in vzdržujejo sisteme in kontrole, ustrezne za zagotavljanje preudarnih in zanesljivih ocen vrednotenja. |
| (d) | the institution has sufficient numbers of staff skilled in the use of sophisticated models in the trading, risk‐control, audit and back‐office areas; | 2. | Sistemi in kontrole vključujejo vsaj naslednje elemente: | (a) | dokumentirane politike in postopke za proces vrednotenja. To vključuje jasno opredeljene odgovornosti različnih področij, vključenih v proces vrednotenja, tržne informacije in preverjanje njihove primernosti, pogostost neodvisnega vrednotenja, časovni okvir končnih cen, postopke za prilagajanje vrednotenj, postopke potrjevanja ob koncu meseca in izredne postopke potrjevanja; in | (b) | jasno in neodvisno (tj. neodvisno od trgovalne enote) linijo poročanja oddelka, ki je odgovoren za proces vrednotenja. | Poročanje se izvaja navzgor vse do uprave. |
| (e) | the institution has established procedures for monitoring and ensuring compliance with a documented set of internal policies and controls concerning the overall operation of the risk‐measurement system; | Metode preudarnega vrednotenja |
| (f) | the institution's model has a proven track record of reasonable accuracy in measuring risks; | 3. | Vrednotenje na podlagi tekočih tržnih cen pomeni vsaj dnevno vrednotenje pozicij po dostopnih realiziranih cenah, pridobljenih od neodvisnih virov kot so na primer: borzne cene, elektronske kotacije ali kotacije več neodvisnih uglednih borznih posrednikov. |
| (g) | the institution frequently conducts a rigorous programme of stress testing and the results of these tests are reviewed by senior management and reflected in the policies and limits it sets. This process shall particularly address illiquidity of markets in stressed market conditions, concentration risk, one way markets, event and jump‐to‐default risks, non-linearity of products, deep out‐of‐the‐money positions, positions subject to the gapping of prices and other risks that may not be captured appropriately in the internal models. The shocks applied shall reflect the nature of the portfolios and the time it could take to hedge out or manage risks under severe market conditions; and | 4. | Pri uporabi vrednotenja na podlagi tekočih tržnih cen se upošteva načelo previdnosti. Institucija uporabi preudarnejšo stran nakupnega ali prodajnega tečaja, razen če je institucija pomemben vzdrževalec trga za določeno vrsto finančnega instrumenta ali blaga in lahko zaključi trgovanje po povprečnem tržnem tečaju. |
| (h) | the institution must conduct, as part of its regular internal auditing process, an independent review of its risk‐measurement system. | 5. | Če uporaba tekočih tržnih cen ni možna, morajo institucije pred uporabo obravnave ki velja za trgovalno knjigo uporabiti svoj notranji model za vrednotenje pozicij/portfeljev. Uporaba notranjega modela je opredeljena kot vsakršno vrednotenje, ki mora biti opravljeno na podlagi primerjave, ekstrapolirano ali drugače izračunano na podlagi vhodnih tržnih podatkov. |
| The review referred to in point (h) of the first paragraph shall include both the activities of the business trading units and of the independent risk‐control unit. At least once a year, the institution must conduct a review of its overall risk‐management process. | 6. | Pri uporabi notranjega modela vrednotenja morajo biti izpolnjene naslednje zahteve: | (a) | višje vodstvo je seznanjeno s postavkami trgovalne knjige, ki so predmet vrednotenja, opravljenega z uporabo notranjega modela, in razume pomen negotovosti, ki zaradi tega nastane pri poročanju o tveganju/učinkovitosti poslovanja; | (b) | vhodni tržni podatki so po možnosti usklajeni s tržnimi cenami, primernost vhodnih tržnih podatkov določene pozicije, ki se vrednoti, in parametri notranjega modela, pa se ocenjujejo pogosto; | (c) | če so na voljo, se uporabljajo metodologije vrednotenja, ki so sprejeta tržna praksa za določene finančne instrumente ali blago; | (d) | če institucija notranji model razvije sama, temelji slednji na ustreznih predpostavkah, ki so jih ocenili in preskusili ustrezno usposobljeni strokovnjaki, ki niso sodelovali v procesu razvoja; | (e) | vzpostavljeni so formalni postopki za kontrolo sprememb, varna kopija modela pa se shrani in občasno uporabi za preverjanje vrednotenj; | (f) | upravljavec s tveganji se mora zavedati slabosti uporabljenega notranjega modela in mora vedeti, kako jih na najboljši možni način upoštevati v rezultatih vrednotenja; in | (g) | notranji model se redno pregleduje, da se določi natančnost njegovega delovanja (npr. pri ocenjevanju kontinuirane ustreznosti predpostavk, analizi dobičkov/izgub glede na dejavnike tveganja, primerjavi dejanskih končnih vrednosti z rezultati notranjega modela). | Za namene točke (d) se model razvije ali odobri neodvisno od trgovalne enote in se neodvisno preskusi, kar vključuje ovrednotenje matematičnih izračunov, predpostavk in programske opreme. |
| The review shall consider the following: | 7. | Poleg dnevnega vrednotenja z uporabo tekočih tržnih cen ali vrednotenja z uporabo notranjega modela se opravi tudi neodvisen pregled cen. To je proces, s katerim se redno potrjujeta natančnost in neodvisnost tržnih cen ter vhodnih tržnih podatkov. Dnevno vrednotenje z uporabo tekočih tržnih cen lahko opravljajo trgovci, potrjevanje tržnih cen in vhodnih podatkov za notranji model pa naj opravlja enota, ki je neodvisna od trgovalne enote, najmanj enkrat mesečno (ali pogosteje, glede na naravo tržne/trgovalne dejavnosti). Če neodvisni viri oblikovanja cen niso na voljo ali so subjektivni, bi lahko bila primerna uporaba previdnostnih ukrepov, kot so prilagoditve vrednotenja. |
| (a) | the adequacy of the documentation of the risk‐management system and process and the organisation of the risk‐control unit; | Prilagoditve vrednotenja ali rezervacije |
| (b) | the integration of market risk measures into daily risk management and the integrity of the management information system; | 8. | Institucije vzpostavijo in vzdržujejo postopke za upoštevanje prilagoditev vrednotenja/rezervacij. |
| (c) | the process the institution employs for approving risk‐pricing models and valuation systems that are used by front and back‐office personnel; | Splošni standardi |
| (d) | the scope of market risks captured by the risk‐measurement model and the validation of any significant changes in the risk‐measurement process; | 9. | Pristojni organi zahtevajo formalno upoštevanje prilagoditev vrednotenja/rezervacij zaradi naslednjih: pričakovanih neplačil nerealiziranega kreditnega razmika, stroškov zapiranja pozicij, operativnih tveganj, predčasnega zapiranja pozicij, stroškov investiranja in financiranja, prihodnjih administrativnih stroškov in po potrebi tveganja uporabe notranjega modela. |
| (e) | the accuracy and completeness of position data, the accuracy and appropriateness of volatility and correlation assumptions, and the accuracy of valuation and risk sensitivity calculations; | Standardi za manj likvidne postavke |
| (f) | the verification process the institution employs to evaluate the consistency, timeliness and reliability of data sources used to run internal models, including the independence of such data sources; and | 10. | Manj likvidne pozicije izhajajo tako iz dogodkov na trgu kot iz razmer, povezanih z institucijo, npr. koncentrirane in/ali zastarele pozicije. |
| (g) | the verification process the institution uses to evaluate back‐testing that is conducted to assess the models' accuracy. | 11. | Institucije upoštevajo več dejavnikov pri ugotavljanju, ali je za manj likvidne postavke potrebno oblikovati rezervacije vrednotenja. Ti dejavniki vključujejo časovno obdobje, potrebno za vzpostavitev varovanje pozicij/tveganj znotraj pozicije, nestanovitnost in povprečje razponov prodajnega/nakupnega tečaja, razpoložljivost tržnih kotacij (število in identiteta vzdrževalcev trga), nestanovitnost in povprečje trgovalnih obsegov, koncentracije na trgu, staranje pozicij, obseg, v katerem se vrednotenje opira na uporabo notranjega modela, in vpliv drugih tveganj, povezanih z uporabo modela. |
| 3. | 12. | Pri uporabi vrednotenja, ki ga opravi tretja oseba, ali vrednotenja z uporabo notranjega modela institucije same ocenijo, ali bodo naredile oz. upoštevale prilagoditve vrednotenja. Poleg tega institucije preučijo potrebo po oblikovanju rezervacij za manj likvidne pozicije in redno preverjajo njihovo ustreznost. |
| Institutions shall have processes in place to ensure that their internal models have been adequately validated by suitably qualified parties independent of the development process to ensure that they are conceptually sound and adequately capture all material risks. The validation shall be conducted when the internal model is initially developed and when any significant changes are made to the internal model. The validation shall also be conducted on a periodic basis but especially where there have been any significant structural changes in the market or changes to the composition of the portfolio which might lead to the internal model no longer being adequate. As techniques and best practices evolve, institutions shall avail themselves of these advances. Internal model validation shall not be limited to back-testing, but shall, at a minimum, also include the following: | 13. | Če prilagoditve vrednotenja/rezervacije povzročijo materialno pomembne izgube v tekočem finančnem letu, se slednje odštejejo od lastnih sredstev institucije v skladu s točko (k) člena 57 Direktive 2006/48/ES. |
| (a) | tests to demonstrate that any assumptions made within the internal model are appropriate and do not underestimate or overestimate the risk; | 14. | Drugi dobički/izgube iz naslova prilagoditev vrednotenja/rezervacij se vključijo v izračun „čistih dobičkov iz trgovalne knjige“, navedenih v točki (b) člena 13(2), in se v skladu z navedenimi določbami dodajo/odštejejo od dodatnih lastnih sredstev, primernih za pokrivanje za tržna tveganja. |
| (b) | in addition to the regulatory back-testing programmes, institutions shall carry out their own internal model validation tests in relation to the risks and structures of their portfolios; and | 15. | Prilagoditve/rezervacije vrednotenja, ki presegajo tiste iz računovodskega okvira, veljavnega za institucijo, se obravnavajo v skladu z odstavkom 13, če povzročijo materialno pomembno izgubo, drugače pa v skladu z odstavkom 14. |
| (c) | the use of hypothetical portfolios to ensure that the internal model is able to account for particular structural features that may arise, for example material basis risks and concentration risk. | DEL C |
| 4. | Notranja varovanja |
| The institution shall monitor the accuracy and performance of its model by conducting a back‐testing programme. The back‐testing has to provide for each business day a comparison of the one‐day value‐at‐risk measure generated by the institution's model for the portfolio's end‐of‐day positions to the one‐day change of the portfolio's value by the end of the subsequent business day. | 1. | Notranje varovanje pred tveganji je pozicija, ki bistveno ali povsem izloči tveganje, vsebovano v poziciji ali nizu pozicij, ki ne izhajajo iz trgovalne knjige. Pozicije notranjega varovanja pred tveganji, so primerne za isto obravnavo kot postavke oz. pozicije trgovalne knjige, pod pogojem, da so namenjene trgovanju in da so izpolnjena splošna merila, ki se nanašajo na namen trgovanja in preudarno vrednotenje, določena v delih A in B. Pri tem se upošteva zlasti naslednje: | (a) | prvotni namen pozicij notranjega varovanja pred tveganji ni izogibanje ali zmanjšanje kapitalskih zahtev; | (b) | notranja varovanja pred tveganji so ustrezno dokumentirana in so predmet posebne notranje odobritve in revizijskih postopkov; | (c) | notranje transakcije, povezane z notranjim varovanjem pred tveganji, se opravljajo po tržnih pogojih; | (d) | pretežni del tržnega tveganja, ki izhaja iz notranjega varovanja pred tveganji, se upravlja dinamično znotraj dovoljenih limitov v trgovalni knjigi; in | (e) | notranje transakcije se skrbno spremljajo. | Tako spremljanje se zagotovi z ustreznimi postopki. |
| Competent authorities shall examine the institution's capability to perform back‐testing on both actual and hypothetical changes in the portfolio's value. Back‐testing on hypothetical changes in the portfolio's value is based on a comparison between the portfolio's end‐of‐day value and, assuming unchanged positions, its value at the end of the subsequent day. Competent authorities shall require institutions to take appropriate measures to improve their back‐testing programme if deemed deficient. Competent authorities may require institutions to perform back-testing on either hypothetical (using changes in portfolio value that would occur were end-of-day positions to remain unchanged), or actual trading (excluding fees, commissions, and net interest income) outcomes, or both. | 2. | Obravnava iz odstavka 1 se uporablja brez poseganja v izračun kapitalske zahteve, ki velja za „stran pozicije notranjega varovanja pred tveganji, ki ne izhaja iz trgovalne knjige“. |
| 5. | 3. | Brez poseganja v določbe odstavkov 1 in 2, kadar institucija varuje izpostavljenosti bančne knjige z uporabo kreditnega izvedenega finančnega instrumenta iz trgovalne knjige (z uporabo notranjega varovanja), se šteje, da izpostavljenost bančne knjige ni varovana za namene izračuna kapitalskih zahtev, razen če institucija kupi od primernega tretjega dajalca zavarovanja za izpostavljenost bančne knjige kupi kreditni izvedeni finančni instrument, ki izpolnjuje zahteve, določene v odstavku 19 dela 2 Priloge VIII k Direktivi 2006/48/ES. Če je tako zavarovanje tretje osebe kupljeno in priznano kot varovanje za postavko bančne knjige za namene izračunavanja kapitalskih zahtev, v trgovalno knjigo ne bi bila vključena niti notranje varovanje s kreditnim izvedenim finančnim instrumentom niti zunanje varovanje s kreditnim izvedenim finančnim instrumentom za namene izračunavanja kapitalskih zahtev. |
| For the purpose of calculating capital requirements for specific risk associated with traded debt and equity positions, the competent authorities may recognise the use of an institution's internal model if, in addition to compliance with the conditions in the remainder of this Annex, the internal model meets the following conditions: | DEL D |
| (a) | it explains the historical price variation in the portfolio; | Vključitev v trgovalno knjigo |
| (b) | it captures concentration in terms of magnitude and changes of composition of the portfolio; | 1. | Institucije imajo jasno opredeljene politike in postopke za določanje, katere pozicije je potrebno vključiti v trgovalno knjigo za namene izračuna kapitalskih zahtev, v skladu z merili, določenimi v členu 11, in ob upoštevanju sposobnosti in izkušenj, ki jih ima institucija na področju upravljanja s tveganji. Skladnost s temi politikami in postopki je v celoti dokumentirana in je predmet rednih pregledov notranje revizijske službe. |
| (c) | it is robust to an adverse environment; | 2. | Institucije imajo jasno opredeljene politike in postopke za celovito upravljanje trgovalne knjige. Te politike in postopki vključujejo najmanj: | (a) | posle, za katere institucija meni, da so namenjeni trgovanju in spadajo trgovalni knjigi za namene izračuna kapitalskih zahtev; | (b) | obseg, v katerem se lahko pozicije vrednoti po dnevnih tržnih cenah na aktivnem, dvosmernem likvidnem trgu; | (c) | za pozicije, ki se vrednotijo na z uporabo notranjega modela, obseg, v katerem lahko institucija: | (i) | ugotovi vsa bistvena tveganja te pozicije; | (ii) | zagotovi varovanje za vsa bistvena tveganja pozicij z instrumenti, za katere obstaja aktivni, dvosmerni likvidni trg; in | (iii) | naredi zanesljive ocene za ključne predpostavke in parametre, ki se uporabljajo v notranjem modelu; | (d) | obseg, v katerem lahko institucija in v katerem se od nje zahteva, da pripravi vrednotenja za pozicijo, ki je lahko predmet doslednega zunanjega ovrednotenja; | (e) | obseg, v katerem bi lahko zakonske omejitve ali druge operativne zahteve ovirale sposobnost institucije, da proda ali zagotovi varovanje pozicije na kratek rok; | (f) | obseg, v katerem lahko institucija in v katerem se od nje zahteva, da aktivno upravlja s tveganji v zvezi z pozicijo v okviru svojega trgovanja; in | (g) | obseg, v katerem lahko institucija prenaša tveganje ali pozicije med bančno in trgovalno knjigo ter kriterije za take prenose. |
| (d) | it is validated through back‐testing aimed at assessing whether specific risk is being accurately captured. If competent authorities allow this back‐testing to be performed on the basis of relevant sub‐portfolios, these must be chosen in a consistent manner; | 3. | Pristojni organi lahko dovolijo institucijam, da pozicije v trgovalni knjigi, določene v členu 57(l), (m) in (n) Direktive 2006/48/ES, obravnavajo kot lastniške instrumente ali dolžniške instrumente, če je to primerno in če kreditna institucija dokaže, da je aktivni vzdrževalec trga. V tem primeru mora imeti institucija ustrezne sisteme in kontrole za spremljanje trgovanja s primernimi instrumenti lastnih sredstev. |
| (e) | it captures name-related basis risk, that is institutions shall demonstrate that the internal model is sensitive to material idiosyncratic differences between similar but not identical positions; and | 4. | Trgovanje s postavkami, podobnimi poslom začasne prodaje/začasnega nakupa, ki jih institucija vključi v svojo bančno knjigo, se lahko vključijo v trgovalno knjigo za namene kapitalskih zahtev, če tako obravnava vse take posle . Za ta namen so posli, ki so povezani s trgovanjem in so podobni poslom začasne prodaje/začasnega nakupa, opredeljeni kot posli, ki izpolnjujejo pogoje iz člena 11(2) in dela A Priloge VII, pri čemer sta obe strani pozicij v obliki denarnih sredstev ali vrednostnih papirjev, ki jih je mogoče vključiti v trgovalno knjigo. Ne glede na to, kje se vključijo, so vsi posli, podobni poslom začasne prodaje/začasnega nakupa, predmet izračuna kapitalske zahteve za kreditno tveganje nasprotne stranke v bančni knjigi (CCR). |
| (f) | it captures event risk. | PRILOGA VIII |
| The institution shall also meet the following conditions: | RAZVELJAVLJENE DIREKTIVE |
| — | where an institution is subject to event risk that is not reflected in its value‐at‐risk measure, because it is beyond the 10-day holding period and 99 percent confidence interval (low probability and high severity events), the institution shall ensure that the impact of such events is factored in to its internal capital assessment; and | DEL A |
| — | the institution's internal model shall conservatively assess the risk arising from less liquid positions and positions with limited price transparency under realistic market scenarios. In addition, the internal model shall meet minimum data standards. Proxies shall be appropriately conservative and may be used only where available data is insufficient or is not reflective of the true volatility of a position or portfolio. | Razveljavljene direktive skupaj z njihovimi spremembami |
| Further, as techniques and best practices evolve, institutions shall avail themselves of these advances. | (iz člena 52) |
| In addition, the institution shall have an approach in place to capture, in the calculation of its capital requirements, the default risk of its trading book positions that is incremental to the default risk captured by the value-at-risk measure as specified in the previous requirements of this point. To avoid double counting, an institution may, when calculating its incremental default risk charge, take into account the extent to which default risk has already been incorporated into the value‐at‐risk measure, especially for risk positions that could and would be closed within 10 days in the event of adverse market conditions or other indications of deterioration in the credit environment. Where an institution captures its incremental default risk through a surcharge, it shall have in place methodologies for validating the measure. | Direktiva Sveta 93/6/EGS z dne 15. marca 1993 o kapitalski ustreznosti investicijskih podjetij in kreditnih institucij |
| The institution shall demonstrate that its approach meets soundness standards comparable to the approach set out in Articles 84 to 89 of Directive 2006/48/EC, under the assumption of a constant level of risk, and adjusted where appropriate to reflect the impact of liquidity, concentrations, hedging and optionality. | Direktiva 98/31/ES Evropskega parlamenta in Sveta z dne 22. junija 1998 o spremembi Direktive Sveta 93/6/EGS o kapitalski ustreznosti investicijskih podjetij in kreditnih institucij |
| An institution that does not capture the incremental default risk through an internally developed approach shall calculate the surcharge through an approach consistent with the either the approach set out in Articles 78 to 83 of Directive 2006/48/EC or the approach set out in Articles 84 to 89 of that Directive. | Direktiva 98/33/ES Evropskega parlamenta in Sveta z dne 22. junija 1998 o spremembi člena 12 Direktive Sveta 77/780/EGS o začetku upravljanja in opravljanju dejavnosti kreditnih institucij, členov 2, 5, 6, 7, 8 in Prilog II in III Direktive Sveta 89/647/EGS o stopnji plačilne sposobnosti za kreditne institucije ter člena 2 in Priloge II k Direktivi Sveta 93/6/EGS o kapitalski ustreznosti investicijskih podjetij in kreditnih institucij |
| With respect to cash or synthetic securitisation exposures that would be subject to a deduction treatment under the treatment set out in Article 66(2) of Directive 2006/48/EC, or risk-weighted at 1,250 % as set out in Part 4 of Annex IX to that Directive, these positions shall be subject to a capital charge that is no less than set forth under that treatment. Institutions that are dealers in these exposures may apply a different treatment where they can demonstrate to their competent authorities, in addition to trading intent, that a liquid two-way market exists for the securitisation exposures or, in the case of synthetic securitisations that rely solely on credit derivatives, for the securitisation exposures themselves or all their constituent risk components. For the purposes of this section a two-way market is deemed to exist where there are independent good faith offers to buy and sell so that a price reasonably related to the last sales price or current good faith competitive bid and offer quotations can be determined within one day and settled at such a price within a relatively short time conforming to trade custom. For an institution to apply a different treatment, it shall have sufficient market data to ensure that it fully captures the concentrated default risk of these exposures in its internal approach for measuring the incremental default risk in accordance with the standards set out above. | Direktiva 2002/87/ES Evropskega parlamenta in Sveta z dne 16. decembra 2002 o dopolnilnem nadzoru kreditnih institucij, zavarovalnic in investicijskih podjetij v finančnem konglomeratu in o spremembi Direktiv Sveta 73/239/EGS, 79/267/EGS, 92/49/EGS, 92/96/EGS, 93/6/EGS in 93/22/EGS ter Direktiv 98/78/ES in 2000/12/ES Evropskega parlamenta in Sveta |
| 6. | Samo člen 26 |
| Institutions using internal models which are not recognised in accordance with point 4 shall be subject to a separate capital charge for specific risk as calculated according to Annex I. | Direktiva 2004/39/ES Evropskega parlamenta in Sveta z dne 21. aprila 2004 o trgih finančnih instrumentov in o spremembi Direktiv Sveta 85/611/EGS in 93/6/EGS ter Direktive 2000/12/ES Evropskega parlamenta in Sveta ter o razveljavitvi Direktive Sveta 93/22/EGS |
| 7. | Samo člen 67 |
| For the purposes of point 9(b), the results of the institution's own calculation shall be scaled up by a multiplication factor of at least 3. | DEL B |
| 8. | Roki za izvedbo |
| The multiplication factor shall be increased by a plus‐factor of between 0 and 1 in accordance with Table 1, depending on the number of overshootings for the most recent 250 business days as evidenced by the institution's back‐testing. Competent authorities shall require the institutions to calculate overshootings consistently on the basis of back‐testing either on actual or on hypothetical changes in the portfolio's value. An overshooting is a one‐day change in the portfolio's value that exceeds the related one‐day value‐at‐risk measure generated by the institution's model. For the purpose of determining the plus‐factor the number of overshootings shall be assessed at least quarterly. | (iz člena 52) |
| Table 1 | Direktiva | Rok za izvedbo |
| Number of overshootings | Plus-factor | Direktiva Sveta 93/6/EGS | 1.7.1995 |
| Fewer than 5 | 0,00 | Direktiva 98/31/ES | 21.7.2000 |
| 5 | 0,40 | Direktiva 98/33/ES | 21.7.2000 |
| 6 | 0,50 | Direktiva 2002/87/ES | 11.8.2004 |
| 7 | 0,65 | Direktiva 2004/39/ES | 30.4.2006/31.1.2007 |
| 8 | 0,75 | Direktiva 2005/1/ES | 13.5.2005 |
| 9 | 0,85 | PRILOGA IX |
| 10 or more | 1,00 | KORELACIJSKA TABELA |
| The competent authorities may, in individual cases and owing to an exceptional situation, waive the requirement to increase the multiplication factor by the ‘plus‐factor’ in accordance with Table 1, if the institution has demonstrated to the satisfaction of the competent authorities that such an increase is unjustified and that the model is basically sound. | Ta direktiva | Direktiva 93/6/EGS | Direktiva 98/31/ES | Direktiva 98/33/ES | Direktiva 2002/87/ES | Direktiva 2004/39/ES |
| If numerous overshootings indicate that the model is not sufficiently accurate, the competent authorities shall revoke the model's recognition or impose appropriate measures to ensure that the model is improved promptly. | Prvi stavek člena 1(1) | | | | | |
| In order to allow competent authorities to monitor the appropriateness of the plus‐factor on an ongoing basis, institutions shall notify promptly, and in any case no later than within five working days, the competent authorities of overshootings that result form their back‐testing programme and that would according to the above table imply an increase of a plus‐factor. | Drugi stavek in (2) člena 1(1) | Člen 1 | | | | |
| 9. | Člen 2(1) | | | | | |
| Each institution must meet a capital requirement expressed as the higher of: | Člen 2(2) | Člen 7(3) | | | | |
| (a) | its previous day's value‐at‐risk measure according to the parameters specified in this Annex plus, where appropriate, the incremental default risk charge required under point 5; or | Člen 3(1)(a) | Člen 2(1) | | | | |
| (b) | an average of the daily value‐at‐risk measures on each of the preceding 60 business days, multiplied by the factor mentioned in point 7, adjusted by the factor referred to in point 8 plus, where appropriate, the incremental default risk charge required under point 5. | Člen 3(1)(b) | Člen 2(2) | | | | Člen 67(1) |
| 10. | Člen 3(1)(c) do (e) | Člen 2(3) do (5) | | | | |
| The calculation of the value‐at‐risk measure shall be subject to the following minimum standards: | Člen 3(1)(f) do (g) | | | | | |
| (a) | at least daily calculation of the value‐at‐risk measure; | Člen 3(1)(h) | Člen 2(10) | | | | |
| (b) | a 99th percentile, one‐tailed confidence interval; | Člen 3(1)(i) | Člen 2(11) | | Člen 3(1) | | |
| (c) | a 10‐day equivalent holding period; | Člen 3(1)(j) | Člen 2(14) | | | | |
| (d) | an effective historical observation period of at least one year except where a shorter observation period is justified by a significant upsurge in price volatility; and | Člen 3(1)(k) in (l) | Člen 2(15) in (16) | Člen 1(1)(b) | | | |
| (e) | three‐monthly data set updates. | Člen 3(1)(m) | Člen 2(17) | Člen 1(1)(c) | | | |
| 11. | Člen 3(1)(n) | Člen 2(18) | Člen 1(1)(d) | | | |
| The competent authorities shall require that the model captures accurately all the material price risks of options or option‐like positions and that any other risks not captured by the model are covered adequately by own funds. | Člen 3(1)(o) do (q) | Člen 2(19) do (21) | | | | |
| 12. | Člen 3(1)(r) | Člen 2(23) | | | | |
| The risk‐measurement model shall capture a sufficient number of risk factors, depending on the level of activity of the institution in the respective markets and in particular the following. | Člen 3(1)(s) | Člen 2(26) | | | | |
| Interest rate risk | Člen 3(2) | Člen 2(7) in (8) | | | | |
| The risk‐measurement system shall incorporate a set of risk factors corresponding to the interest rates in each currency in which the institution has interest rate sensitive on- or off‐balance sheet positions. The institution shall model the yield curves using one of the generally accepted approaches. For material exposures to interest‐rate risk in the major currencies and markets, the yield curve shall be divided into a minimum of six maturity segments, to capture the variations of volatility of rates along the yield curve. The risk‐measurement system must also capture the risk of less than perfectly correlated movements between different yield curves. | Člen 3(3)(a) in (b) | Člen 7(3) | | | Člen 26 | |
| Foreign-exchange risk | Člen 3(3)(c) | Člen 7(3) | | | | |
| The risk‐measurement system shall incorporate risk factors corresponding to gold and to the individual foreign currencies in which the institution's positions are denominated. | Člen 4 | Člen 2(24) | | | | |
| For CIUs the actual foreign exchange positions of the CIU shall be taken into account. Institutions may rely on third party reporting of the foreign exchange position of the CIU, where the correctness of this report is adequately ensured. If an institution is not aware of the foreign exchange positions of a CIU, this position should be carved out and treated in accordance with the fourth paragraph of point 2.1 of Annex III. | Člen 5 | Člen 3(1) in (2) | | | | |
| Equity risk | Člen 6 | Člen 3(4) | | | | Člen 67(2) |
| The risk‐measurement system shall use a separate risk factor at least for each of the equity markets in which the institution holds significant positions. | Člen 7 | Člen 3(4a) | | | | Člen 67(3) |
| Commodity risk | Člen 8 | Člen 3(4b) | | | | Člen 67(3) |
| The risk‐measurement system shall use a separate risk factor at least for each commodity in which the institution holds significant positions. The risk‐measurement system must also capture the risk of less than perfectly correlated movements between similar, but not identical, commodities and the exposure to changes in forward prices arising from maturity mismatches. It shall also take account of market characteristics, notably delivery dates and the scope provided to traders to close out positions. | Člen 9 | Člen 3(3) | | | | |
| 13. | Člen 10 | Člen 3(5) do (8) | | | | |
| The competent authorities may allow institutions to use empirical correlations within risk categories and across risk categories if they are satisfied that the institution's system for measuring correlations is sound and implemented with integrity. | Člen 11 | Člen 2(6) | | | | |
| ANNEX VI | Prvi odstavek člena 12 | Člen 2(25) | | | | |
| CALCULATING CAPITAL REQUIREMENTS FOR LARGE EXPOSURES | Drugi odstavek člena 12 | | | | | |
| 1. | Prvi pododstavek člena 13(1) | Prvi pododstavek Priloge V(1) | | | | |
| The excess referred to in Article 31(b) shall be calculated by selecting those components of the total trading exposure to the client or group of clients in question which attract the highest specific‐risk requirements in Annex I and/or requirements in Annex II, the sum of which equals the amount of the excess referred to in Article 31(a). | Drugi pododstavek člena 13(1) in odstavki (2) do (5) | Drugi pododstavek Priloge V(1) in odstavka (2) do (5) | Člen 1(7) in Priloga 4(a)(b) | | | |
| 2. | Člen 14 | Priloga V(6) in (7) | Priloga 4(c) | | | |
| Where the excess has not persisted for more than 10 days, the additional capital requirement shall be 200 % of the requirements referred to in point 1, on these components. | Člen 15 | Priloga V(8) | | | | |
| 3. | Člen 16 | Priloga V(9) | | | | |
| As from 10 days after the excess has occurred, the components of the excess, selected in accordance with point 1, shall be allocated to the appropriate line in column 1 of Table 1 in ascending order of specific‐risk requirements in Annex I and/or requirements in Annex II. The additional capital requirement shall be equal to the sum of the specific‐risk requirements in Annex I and/or the Annex II requirements on these components, multiplied by the corresponding factor in column 2 of Table 1. | Člen 17 | | | | | |
| Table 1 | Prvi pododstavek člena 18(1) | Prvi pododstavek člena 4(1) | | | | |
| Excess over the limits | (on the basis of a percentage of own funds) | Factors | Člen 18(1)(a) in (b) | Člen 4(1)(i) in (ii) | Člen 1(2) | | | |
| Up to 40 % | 200 % | Člen 18(2) do (4) | Člen 4(6) do (8) | | | | |
| From 40 % to 60 % | 300 % | Člen 19(1) | | | | | |
| From 60 % to 80 % | 400 % | Člen 19(2) | Člen 11(2) | | | | |
| From 80 % to 100 % | 500 % | Člen 19(3) | | | | | |
| From 100 % to 250 % | 600 % | Člen 20 | | | | | |
| Over 250 % | 900 % | Člen 21 | Priloga IV | | | | |
| ANNEX VII | Člen 22 | | | | | |
| TRADING | Prvi in drugi odstavek člena 23 | Člen 7(5) in (6) | | | | |
| PART A | Tretji pododstavek člena 23 | | | | | |
| Trading Intent | Člen 24 | | | | | |
| 1. | Positions/portfolios held with trading intent shall comply with the following requirements: | (a) | there must be a clearly documented trading strategy for the position/instrument or portfolios, approved by senior management, which shall include expected holding horizon; | (b) | there must be clearly defined policies and procedures for the active management of the position, which shall include the following: | (i) | positions entered into on a trading desk; | (ii) | position limits are set and monitored for appropriateness; | (iii) | dealers have the autonomy to enter into/manage the position within agreed limits and according to the approved strategy; | (iv) | positions are reported to senior management as an integral part of the institution's risk management process; and | (v) | positions are actively monitored with reference to market information sources and an assessment made of the marketability or hedge‐ability of the position or its component risks, including the assessment of, the quality and availability of market inputs to the valuation process, level of market turnover, sizes of positions traded in the market; and | (c) | there must be clearly defined policy and procedures to monitor the position against the institution's trading strategy including the monitoring of turnover and stale positions in the institution's trading book. | Člen 25 | | | | | |
| PART B | Člen 26(1) | Člen 7(10) | Člen 1(4) | | | |
| Systems and Controls | Člen 26(2) do (4) | Člen 7(11) do (13) | | | | |
| 1. | Institutions shall establish and maintain systems and controls sufficient to provide prudent and reliable valuation estimates. | Člen 27 | Člen 7(14) in (15) | | | | |
| 2. | Systems and controls shall include at least the following elements: | (a) | documented policies and procedures for the process of valuation. This includes clearly defined responsibilities of the various areas involved in the determination of the valuation, sources of market information and review of their appropriateness, frequency of independent valuation, timing of closing prices, procedures for adjusting valuations, month end and ad‐hoc verification procedures; and | (b) | reporting lines for the department accountable for the valuation process that are clear and independent of the front office. | The reporting line shall ultimately be to a main board executive director. | Člen 28(1) | Člen 5(1) | | | | |
| Prudent Valuation Methods | Člen 28(2) | Člen 5(2) | Člen 1(3) | | | |
| 3. | Marking to market is the at least daily valuation of positions at readily available close out prices that are sourced independently. Examples include exchange prices, screen prices, or quotes from several independent reputable brokers. | Člen 28(3) | | | | | |
| 4. | When marking to market, the more prudent side of bid/offer shall be used unless the institution is a significant market maker in the particular type of financial instrument or commodity in question and it can close out at mid market. | Člen 29(1)(a) do (c) in naslednja dva pododstavka | Priloga VI(2) | | | | |
| 5. | Where marking to market is not possible, institutions must mark to model their positions/portfolios before applying trading book capital treatment. Marking to model is defined as any valuation which has to be benchmarked, extrapolated or otherwise calculated from a market input. | Zadnji pododstavek člena 29(1) | | | | | |
| 6. | The following requirements must be complied with when marking to model: | (a) | senior management shall be aware of the elements of the trading book which are subject to mark to model and shall understand the materiality of the uncertainty this creates in the reporting of the risk/performance of the business; | (b) | market inputs shall be sourced, where possible, in line with market prices, and the appropriateness of the market inputs of the particular position being valued and the parameters of the model shall be assessed on a frequent basis; | (c) | where available, valuation methodologies which are accepted market practice for particular financial instruments or commodities shall be used; | (d) | where the model is developed by the institution itself, it shall be based on appropriate assumptions, which have been assessed and challenged by suitably qualified parties independent of the development process; | (e) | there shall be formal change control procedures in place and a secure copy of the model shall be held and periodically used to check valuations; | (f) | risk management shall be aware of the weaknesses of the models used and how best to reflect those in the valuation output; and | (g) | the model shall be subject to periodic review to determine the accuracy of its performance (e.g. assessing the continued appropriateness of assumptions, analysis of profit and loss versus risk factors, comparison of actual close out values to model outputs). | For the purposes of point (d), the model shall be developed or approved independently of the front office and shall be independently tested, including validation of the mathematics, assumptions and software implementation. | Člen 29(2) | Priloga VI(3) | | | | |
| 7. | Independent price verification should be performed in addition to daily marking to market or marking to model. This is the process by which market prices or model inputs are regularly verified for accuracy and independence. While daily marking to market may be performed by dealers, verification of market prices and model inputs should be performed by a unit independent of the dealing room, at least monthly (or, depending on the nature of the market/trading activity, more frequently). Where independent pricing sources are not available or pricing sources are more subjective, prudent measures such as valuation adjustments may be appropriate. | Prvi pododstavek člena 30(1) in odstavek (2) | Priloga VI(4) in (5) | | | | |
| Valuation adjustments or reserves | Drugi pododstavek člena 30(2) | | | | | |
| 8. | Institutions shall establish and maintain procedures for considering valuation adjustments/reserves. | Člen 30(3) in (4) | Priloga VI(6) in (7) | | | | |
| General standards | Člen 31 | Priloga VI(8)(1), (2) prvi stavek, odstavki (3) do (5) | | | | |
| 9. | The competent authorities shall require the following valuation adjustments/reserves to be formally considered: unearned credit spreads, close‐out costs, operational risks, early termination, investing and funding costs, future administrative costs and, where relevant, model risk. | Člen 32 | Priloga VI(9) in (10) | | | | |
| Standards for less liquid positions | Člen 33(1) in (2) | | | | | |
| 10. | Less liquid positions could arise from both market events and institution‐related situations e.g. concentrated positions and/or stale positions. | Člen 33(3) | Člen 6(2) | | | | |
| 11. | Institutions shall consider several factors when determining whether a valuation reserve is necessary for less liquid positions. These factors include the amount of time it would take to hedge out the position/risks within the position, the volatility and average of bid/offer spreads, the availability of market quotes (number and identity of market makers) and the volatility and average of trading volumes, market concentrations, the aging of positions, the extent to which valuation relies on marking-to-model, and the impact of other model risks. | Člen 34 | | | | | |
| 12. | When using third party valuations or marking to model, institutions shall consider whether to apply a valuation adjustment. In addition, institutions shall consider the need for establishing reserves for less liquid positions and on an ongoing basis review their continued suitability. | Člen 35(1) do (4) | Člen 8(1) do (4) | | | | |
| 13. | When valuation adjustments/reserves give rise to material losses of the current financial year, these shall be deducted from an institution's original own funds according to point (k) of Article 57 of Directive 2006/48/EC | Člen 35(5) | Prvi stavek člena 8(5) | Člen 1(5) | | | |
| 14. | Other profits/losses originating from valuation adjustments/reserves shall be included in the calculation of ‘net trading book profits’ mentioned in point (b) of Article 13(2) and be added to/deducted from the additional own funds eligible to cover market risk requirements according to such provisions. | Člen 36 | Člen 9(1) do (3) | | | | |
| 15. | Valuation adjustments/reserves which exceed those made under the accounting framework to which the institution is subject shall be treated in accordance with point 13 if they give rise to material losses, or point 14 otherwise. | Člen 37 | | | | | |
| PART C | Člen 38 | Člen 9(4) | | | | |
| Internal Hedges | Člen 39 | | | | | |
| 1. | An internal hedge is a position that materially or completely offsets the component risk element of a non‐trading book position or a set of positions. Positions arising from internal hedges are eligible for trading book capital treatment, provided that they are held with trading intent and that the general criteria on trading intent and prudent valuation specified in Parts A and B are met. In particular: | (a) | internal hedges shall not be primarily intended to avoid or reduce capital requirements; | (b) | internal hedges shall be properly documented and subject to particular internal approval and audit procedures; | (c) | the internal transaction shall be dealt with at market conditions; | (d) | the bulk of the market risk that is generated by the internal hedge shall be dynamically managed in the trading book within the authorised limits; and | (e) | internal transactions shall be carefully monitored. | Monitoring must be ensured by adequate procedures. | Člen 40 | Člen 2(9) | | | | |
| 2. | The treatment referred to in point 1 applies without prejudice to the capital requirements applicable to the ‘non‐trading book leg’ of the internal hedge. | Člen 41 | | | | | |
| 3. | Notwithstanding points 1 and 2, when an institution hedges a non‐trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non‐trading book exposure is not deemed to be hedged for the purposes of calculating capital requirements unless the institution purchases from an eligible third party protection provider a credit derivative meeting the requirements set out in point 19 of Part 2 of Annex VIII to Directive 2006/48/EC with regard to the non‐trading book exposure. Where such third party protection is purchased and is recognised as a hedge of a non-trading book exposure for the purposes of calculating capital requirements, neither the internal nor external credit derivative hedge shall be included in the trading book for the purposes of calculating capital requirements. | Člen 42(1)(a) do (c) | Prva, druga in tretja alinea člena 10 | | | | |
| PART D | Člen 42(1)(d) in (e) | | | | | |
| Inclusion In The Trading Book | Člen 42(1)(f) | Četrta alinea člena 10 | | | | |
| 1. | Institutions shall have clearly defined policies and procedures for determining which position to include in the trading book for the purposes of calculating their capital requirements, consistent with the criteria set out in Article 11 and taking into account the institution's risk management capabilities and practices. Compliance with these policies and procedures shall be fully documented and subject to periodic internal audit. | Člen 42(1)(g) | | | | | |
| 2. | Institutions shall have clearly defined policies and procedures for overall management of the trading book. At a minimum these policies and procedures shall address: | (a) | the activities the institution considers to be trading and as constituting part of the trading book for capital requirement purposes; | (b) | the extent to which a position can be marked‐to‐market daily by reference to an active, liquid two-way market; | (c) | for positions that are marked‐to‐model, the extent to which the institution can: | (i) | identify all material risks of the position; | (ii) | hedge all material risks of the position with instruments for which an active, liquid two‐way market exists; and | (iii) | derive reliable estimates for the key assumptions and parameters used in the model; | (d) | the extent to which the institution can, and is required to, generate valuations for the position that can be validated externally in a consistent manner; | (e) | the extent to which legal restrictions or other operational requirements would impede the institution's ability to effect a liquidation or hedge of the position in the short term; | (f) | the extent to which the institution can, and is required to, actively risk manage the position within its trading operation; and | (g) | the extent to which the institution may transfer risk or positions between the non‐trading and trading books and the criteria for such transfers. | Člen 43 | | | | | |
| 3. | Competent authorities may allow institutions to treat positions that are holdings in the trading book as set out in Article 57(l), (m) and (n) of Directive 2006/48/EC as equity or debt instruments, as appropriate, where an institution demonstrates that it is an active market maker in these positions. In this case, the institution shall have adequate systems and controls surrounding the trading of eligible own funds instruments. | Člen 44 | | | | | |
| 4. | Term trading-related repo‐style transactions that an institution accounts for in its non‐trading book may be included in the trading book for capital requirement purposes so long as all such repo-style transactions are included. For this purpose, trading‐related repo‐style transactions are defined as those that meet the requirements of Article 11(2) and of Annex VII, Part A, and both legs are in the form of either cash or securities includable in the trading book. Regardless of where they are booked, all repo‐style transactions are subject to a non‐trading book counterparty credit risk charge. | Člen 45 | | | | | |
| ANNEX VIII | Člen 46 | Člen 12 | | | | |
| REPEALED DIRECTIVES | Člen 47 | | | | | |
| PART A | Člen 48 | | | | | |
| Repealed directives together with their successive amendments | Člen 49 | | | | | |
| (referred to in Article 52) | Člen 50 | Člen 15 | | | | |
| Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions | Priloga I(1) do (4) | Priloga I(1) do (4) | | | | |
| Directive 98/31/EC of the European Parliament and of the Council of 22 June 1998 amending Council Directive 93/6/EEC on the capital adequacy of investment firms and credit institutions | Zadnji pododstavek Priloge I(4) | Člen 2(22) | | | | |
| Directive 98/33/EC of the European Parliament and of the Council of 22 June 1998 amending Article 12 of Council Directive 77/780/EEC on the taking up and pursuit of the business of credit institutions, Articles 2, 5, 6, 7, 8 of and Annexes II and III to Council Directive 89/647/EEC on a solvency ratio for credit institutions and Article 2 of and Annex II to Council Directive 93/6/EEC on the capital adequacy of investment firms and credit institutions | Priloga I(5) do (7) | Priloga I(5) do (7) | | | | |
| Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate and amending Council Directives 73/239/EEC, 79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/22/EEC, and Directives 98/78/EC and 2000/12/EC of the European Parliament and of the Council: | Priloga I(8) | | | | | |
| Only Article 26 | Priloga I(9) do (11) | Priloga I(8) do (10) | | | | |
| Directive 2004/39/EC of the European Parliament and of the Council of 21 April 2004 on markets in financial instruments amending Council Directives 85/611/EEC and 93/6/EEC and Directive 2000/12/EC of the European Parliament and of the Council and repealing Council Directive 93/22/EEC: | Priloga I(12) do (14) | Priloga I(12) do (14) | | | | |
| Only Article 67 | Priloga I(15) in (16) | Člen 2(12) | | | | |
| PART B | Priloga I(17) do (41) | Priloga I(15) do (39) | | | | |
| Deadlines for transposition | Priloga I(42) do (56) | | | | | |
| (referred to in Article 52) | Priloga II(1) in (2) | Priloga II(1) in (2) | | | | |
| Directive | Deadline for transposition | Priloga II(3) do (11) | | | | | |
| Council Directive 93/6/EEC | 1.7.1995 | Priloga III(1) | Prvi pododstavek Priloge III(1) | Člen 1(7) in Priloga 3(a) | | | |
| Directive 98/31/EC | 21.7.2000 | Priloga III(2) | Priloga III(2) | | | | |
| Directive 98/33/EC | 21.7.2000 | Prvi do tretji pododstavek Priloge III(2.1) | Priloga III(3.1) | Člen 1(7) in Priloga 3(b) | | | |
| Directive 2002/87/EC | 11.8.2004 | Četrti pododstavek Priloge III(2.1) | | | | | |
| Directive 2004/39/EC | 30.4.2006/31.1.2007 | Peti pododstavek Priloge III(2.1) | Priloga III(3.2) | Člen 1(7) in Priloga 3(b) | | | |
| Directive 2005/1/EC | 13.5.2005 | Priloga III(2.2), (3), (3.1) | Priloga III(4) do (6) | Člen 1(7) in Priloga 3(c) | | | |
| ANNEX IX | Priloga III(3.2) | Priloga III(8) | | | | |
| CORRELATION TABLE | Priloga III(4) | Priloga III(11) | | | | |
| This Directive | Directive 93/6/EEC | Directive 98/31/EC | Directive 98/33/EC | Directive 2002/87/EC | Directive 2004/39/EC | Priloga IV(1) do (20) | Priloga VII(1) do (20) | Člen 1(7) in Priloga 5 | | | |
| Article 1(1) first sentence | | | | | | Priloga IV(21) | Člen 11a | Člen 1(6) | | | |
| Article 1(1) second sentence and (2) | Article 1 | | | | | Četrti pododstavek Priloge V(1) do (12) | Priloga VIII(1) do (13)(ii) | Člen 1(7) in Priloga 5 | | | |
| Article 2(1) | | | | | | Priloga V(12) peti pododstavek | | | | | |
| Article 2(2) | Article 7(3) | | | | | Priloga V(12) šesti pododstavek k (13) | Priloga VIII(13)(iii) do (14) | Člen 1(7) in Priloga 5 | | | |
| Article 3(1)(a) | Article 2(1) | | | | | Priloga VI | Priloga VI(8)(2) po prvem stavku | | | | |
| Article 3(1)(b) | Article 2(2) | | | | Article 67(1) | Priloga VII | | | | | |
| Article 3(1)(c) to (e) | Article 2(3) to (5) | | | | | Priloga VIII | | | | | |
| Article 3(1)(f) and (g) | | | | | | Priloga IX | | | | | |
| Article 3(1)(h) | Article 2(10) | | | | | |
| Article 3(1)(i) | Article 2(11) | | Article 3(1) | | | |
| Article 3(1)(j) | Article 2(14) | | | | | |
| Article 3(1)(k) and (l) | Article 2(15) and (16) | Article 1(1)(b) | | | | |
| Article 3(1)(m) | Article 2(17) | Article 1(1)(c) | | | | |
| Article 3(1)(n) | Article 2(18) | Article 1(1)(d) | | | | |
| Article 3(1)(o) to (q) | Article 2(19) to (21) | | | | | |
| Article 3(1)(r) | Article 2(23) | | | | | |
| Article 3(1)(s) | Article 2(26) | | | | | |
| Article 3(2) | Article 2(7) and (8) | | | | | |
| Article 3(3)(a) and (b) | Article 7(3) | | | Article 26 | | |
| Article 3(3)(c) | Article 7(3) | | | | | |
| Article 4 | Article 2(24) | | | | | |
| Article 5 | Article 3(1) and (2) | | | | | |
| Article 6 | Article 3(4) | | | | Article 67(2) | |
| Article 7 | Article 3(4a) | | | | Article 67(3) | |
| Article 8 | Article 3(4b) | | | | Article 67(3) | |
| Article 9 | Article 3(3) | | | | | |
| Article 10 | Article 3(5) to (8) | | | | | |
| Article 11 | Article 2(6) | | | | | |
| Article 12 first paragraph | Article 2(25) | | | | | |
| Article 12 second paragraph | | | | | | |
| Article 13(1) first sub-paragraph | Annex V(1) first sub-paragraph | | | | | |
| Article 13(1) second sub‐paragraph and (2) to (5) | Annex V(1) second sub‐paragraph and (2) to (5) | Article 1(7) and Annex 4(a)(b) | | | | |
| Article 14 | Annex V(6) and (7) | Annex 4(c) | | | | |
| Article 15 | Annex V(8) | | | | | |
| Article 16 | Annex V(9) | | | | | |
| Article 17 | | | | | | |
| Article 18(1) first sub-paragraph | Article 4(1) first sub-paragraph | | | | | |
| Article 18(1)(a) and (b) | Article 4(1)(i) and (ii) | Article 1(2) | | | | |
| Article 18(2) to (4) | Article 4(6) to (8) | | | | | |
| Article 19(1) | | | | | | |
| Article 19(2) | Article 11(2) | | | | | |
| Article 19(3) | | | | | | |
| Article 20 | | | | | | |
| Article 21 | Annex IV | | | | | |
| Article 22 | | | | | | |
| Article 23 first and second paragraph | Article 7(5) and (6) | | | | | |
| Article 23 third paragraph | | | | | | |
| Article 24 | | | | | | |
| Article 25 | | | | | | |
| Article 26(1) | Article 7(10) | Article 1(4) | | | | |
| Article 26(2) to (4) | Article 7(11) to (13) | | | | | |
| Article 27 | Article 7(14) and (15) | | | | | |
| Article 28(1) | Article 5(1) | | | | | |
| Article 28(2) | Article 5(2) | Article 1(3) | | | | |
| Article 28(3) | | | | | | |
| Article 29(1)(a) to (c) and next two sub-paragraphs | Annex VI(2) | | | | | |
| Article 29(1) last sub-paragraph | | | | | | |
| Article 29(2) | Annex VI(3) | | | | | |
| Article 30(1) and (2) first sub‐paragraph | Annex VI(4) and (5) | | | | | |
| Article 30(2) second sub‐paragraph | | | | | | |
| Article 30(3) and (4) | Annex VI(6) and (7) | | | | | |
| Article 31 | Annex VI(8)(1), (2) first sentence, (3) to (5) | | | | | |
| Article 32 | Annex VI(9) and (10) | | | | | |
| Article 33(1) and (2) | | | | | | |
| Article 33(3) | Article 6(2) | | | | | |
| Article 34 | | | | | | |
| Article 35(1) to (4) | Article 8(1) to (4) | | | | | |
| Article 35(5) | Article 8(5) first sentence | Article 1(5) | | | | |
| Article 36 | Article 9(1) to (3) | | | | | |
| Article 37 | | | | | | |
| Article 38 | Article 9(4) | | | | | |
| Article 39 | | | | | | |
| Article 40 | Article 2(9) | | | | | |
| Article 41(1)(a) to (c) | Article 10 first, second and third indents | | | | | |
| Article 41(1)(d) and (e) | | | | | | |
| Article 41(1)(f) | Article 10 fourth indent | | | | | |
| Article 41(1)(g) | | | | | | |
| Article 42 | | | | | | |
| Article 43 | | | | | | |
| Article 44 | | | | | | |
| Article 45 | | | | | | |
| Article 46 | Article 12 | | | | | |
| Article 47 | | | | | | |
| Article 48 | | | | | | |
| Article 49 | | | | | | |
| Article 50 | Article 15 | | | | | |
| Annex I(1) to (4) | Annex I(1) to (4) | | | | | |
| Annex I(4) last paragraph | Article 2(22) | | | | | |
| Annex I(5) to (7) | Annex I(5) to (7) | | | | | |
| Annex I(8) | | | | | | |
| Annex I(9) to (11) | Annex I(8) to (10) | | | | | |
| Annex I(12) to (14) | Annex I(12) to (14) | | | | | |
| Annex I(15) and (16) | Article 2(12) | | | | | |
| Annex I(17) to (41) | Annex I(15) to (39) | | | | | |
| Annex I(42) to (56) | | | | | | |
| Annex II(1) and (2) | Annex II(1) and (2) | | | | | |
| Annex II(3) to (10) | | | | | | |
| Annex III(1) | Annex III(1) first sub-paragraph | Article 1(7) and Annex 3(a) | | | | |
| Annex III(2) | Annex III(2) | | | | | |
| Annex III(2.1) first to third paragraphs | Annex III(3.1) | Article 1(7) and Annex 3(b) | | | | |
| Annex III(2.1) fourth paragraph | | | | | | |
| Annex III(2.1) fifth paragraph | Annex III(3.2) | Article 1(7) and Annex 3(b) | | | | |
| Annex III(2.2), (3), (3.1) | Annex III(4) to (6) | Article 1(7) and Annex 3(c) | | | | |
| Annex III(3.2) | Annex III(8) | | | | | |
| Annex III(4) | Annex III(11) | | | | | |
| Annex IV(1) to (20) | Annex VII(1) to (20) | Article 1(7) and Annex 5 | | | | |
| Annex IV(21) | Article 11a | Article 1(6) | | | | |
| Annex V(1) to (12) fourth paragraph | Annex VIII(1) to (13)(ii) | Article 1(7) and Annex 5 | | | | |
| Annex V(12) fifth paragraph | | | | | | |
| Annex V(12) sixth paragraph to (13) | Annex VIII(13)(iii) to (14) | Article 1(7) and Annex 5 | | | | |
| Annex VI | Annex VI(8)(2) after the first sentence | | | | | |
| Annex VII | | | | | | |
| Annex VIII | | | | | | |
| Annex IX | | | | | | |
