Read the untranslated law here: https://www.vestnesis.lv/ta/id/156949
Financial and capital market Commission Regulation No 61, Riga, 2 May 2007 (pr. Nr. 19 3. p.)
Disclosure rules Issued in accordance with the law of credit institutions, the second paragraph of article 36.3 and financial instruments market law, the first paragraph of article 123.2 i. General questions 1. information on banking and investment brokerage firm risks inherent to the risk management objectives, methods, and policies, as well as the same capital requirements and internal capital adequacy disclosure procedures.
2. The Republic of Latvia registered banks and investment brokerage company (hereinafter referred to as the authority), which must comply with the regulatory capital adequacy requirements, comply with the provisions of the individual or group level of consolidation on the basis of the law of credit institutions and financial instruments market law.
3. Established in another Member State authorities and the mother's mother's financial holding company registered in the Republic of Latvia, the subsidiary established in accordance with the law of credit institutions article 50.9 of the third and fourth part, the public rules 13 and 14 of the information referred to in paragraph 1 on the basis of the financial statements of the individual or sub-group level of consolidation (one individual or sub-consolidated basis).
4. the terms used in the rules comply with the financial and capital market Commission (hereinafter the Commission) on May 2, 2007. for Regulation No 60 "minimum capital requirements rules" (hereinafter referred to as the MKP) usage of terms.
II. Disclosure guidelines 5. Authority at least once a year, but not later than the year following the reporting year may 1, public information, set out in part III of the rules, choosing the appropriate storage media and location. Publication of information on the internet is considered a suitable publishing location.
6. the authority shall approve the disclosure policy and procedure that determines the relevance of the information requirements of the law, overriding the evaluation order of the examination of the information procedure and frequency of URu.tml. Taking into account the institution's significant features (such as the amount and diversity of operations, activities in different countries, the different financial sectors and participation in the international financial markets, and payment, settlement and clearing systems), the authority shall evaluate whether you need to share more information than is provided in part III of the rules, and do it more frequently than once a year, especially considering the need for common rules to be made public, 13.5 13.2 and 14.2-14.5. the information specified in points.
7. all provisions in part III of the said information, as far as is possible, be in one medium and place. Equivalent to the information that is made public in accordance with the Commission on 24 February 2006, the Regulation No. 46 "banks, investment companies and investment management company of the annual accounts and the consolidated annual report rules ', regulated market or other requirements may be considered to be made in accordance with the requirements of this regulation and is not made public. The authority separately this information (except for information contained in the financial statements) location.
8. the authority may not disclose any provision 11.-the information referred to in paragraph 24, if it is not essential. Information considered essential if its non-disclosure or presentation can change or affect a user who uses this information in the economic decision making, assessment or decision.
9. the authority may exceptionally be disclosed not any provision referred to in part III of the information if it is: 9.1. protected (proprietary). Information is considered sensitive if disclosure of that information to the public authorities may reduce competitiveness. It may include information about products or systems which, if it becomes known to the competitors, would reduce the value of the investment in the institution;
9.2. confidential. Information shall be considered confidential if there are obligations to the institution for customers or other business partners who are under obligations of confidentiality.
10. in paragraph 9 of the provisions in the cases specified in the authority information disclosed sensitive questions have not discovered them in the information provided, the reasons for non-disclosure of information, as well as the public in general information about the requested information unless they (the reasons for non-disclosure and General messages) is not protected or confidential pursuant to the provisions of paragraph 9.
III. Disclosure of information the public authority 11 the following information for each significant risk to which it is subject, the control objectives and policies: 11.1. risk management strategies and policies;
11.2. the risk management functions, structure and organization;
11.3. the risk measurement, evaluation and reporting system;
11.4. mitigation and hedging (hedging and mitigating) policy, as well as to limit the risks of procedures and abatement efficiency of permanent control.
12. the authority, which comply with the requirements of the rules or consolidation consolidation of sub-group at the group level, the public authorities in the consolidation: 12.1. Sub or parent company of the group to which you apply the disclosure requirements;
12.2. information about the differences to be included in the consolidation of public accounting (in accordance with international financial reporting standards (hereinafter IFRS)) or supervisory (according to the Commission, on 24 December 2004, regulations No 301 "provisions of consolidated supervision"), giving a brief description of the consolidation group (according to the Commission, on 24 December 2004, regulations No 301 "consolidated supervision") composition: 12.2.1. commercial companies that are consolidated by the full consolidation method 12.2.2. commercial companies, that consolidated by the proportional consolidation method, 12.2.3. share capital of the company made investments form the institution's own funds calculated a reduction in equity, 12.2.4. commercial companies, which are not consolidated and that the investments made in fixed capital does not make the institution's own funds, the calculation of the reduction of the equity capital;
12.3. any existing or foreseeable material practical or legal impediments to the prompt transfer of own funds elements or repayment of obligations between the parent company and its subsidiary companies;
12.4. the total amount for which the consolidation group in the monitoring of the subsidiaries not included in the actual equity is less than the sector regulatory provisions specified equity capital (own funds), and the following subsidiary titles;
12.5. If necessary, the conditions under which the law of credit institutions is used in article 50.8 or financial instruments market law article 123.3 option does not apply to the activities of the authority in regulatory requirements individually.
Own capital 13. public authority such information about the capital: 13.1. aggregate information on all components and the components of the main features of the conditions;
13.2. a level of equity, as well as the positive position and each item that is reduced to the first level of the equity in accordance with the provisions of paragraph 342.6 MKP;
13.3. the second level of the total equity and equity capital in total;
13.4. rules of MKP referred to in paragraph 348 of the equity reduction, which deducted from tier one capital and total capital tier totals. If the authority to calculate the capital requirements for credit risk, risk weighted exposure value calculation applied to the internal ratings based (IRB) approach, reflect the individual provisions of the MKP 348.6 paragraph excess expected loss over unsecured debts provisions and value adjustments and capital securities expected loss amount;
13.5 total useful (eligible) amount of equity, of which atsaitīt all reductions and calculated in accordance with the provisions of title III of the MKP.
Capital requirements and internal capital assessment 14. Authority on capital requirements and internal capital assessment public: 14.1. Summary of how the Authority assesses the internal capital adequacy of current and planned activities;
14.2. If a credit institution calculating the capital requirement, risk weighted exposure value calculation for the standardised approach (hereinafter referred to as the SP), public, how is 8 percent of risk weighted exposure for each exposure class specified in the provisions of paragraph 97 of the MKP;
14.3. If a credit institution calculating the capital requirement, risk weighted exposure value calculation for the IRB approach, the public, as are 8 percent of risk weighted exposure for each exposure class specified in paragraph 120 of the provisions of the MKP, URt.sk.: 14.3.1. small exposure class body public as there are 8 percent of risk weighted exposure for each exposure class, the subject of one of the correlations listed in annex 6 provisions of MKP 10.-13. paragraph 14.3.2. equity exposures (equity exposure) category authority the public as much as 8 percent of risk weighted exposure amounts calculated: 184.108.40.206. each approach, for the provisions of annex 6 of the MKP was 17 to 26, 220.127.116.11. Exchange traded instruments (Exchange traded exposure), not traded on a regulated market for equity securities (private equity exposure), whose portfolio is diversified enough and other exposures, 18.104.22.168. exposures for which the capital requirement calculated using MKP credit terms and transitional statutory conditions (or authorised by the Commission to apply the SP under the provisions of paragraph 115 of MKP) 22.214.171.124. exposures for which the Commission is authorized not to apply the IRB approach for the transition period, in accordance with the provisions of the MKP 380;
14.4. market risk to minimum capital requirements (non-trading portfolio and trading portfolio of foreign currency risk and commodity risk, the minimum capital requirements for the trading book, as well as for position risk, settlement and counterparty credit risk capital requirement and the minimum capital requirement of large exposure limit excess trading book exposures);
14.5. the minimum capital requirements for operational risk, calculated, separately for each of the provisions of the MKP 290.1 approach mentioned in paragraph.
Counterparty credit risk on the Authority's 15. counterparty credit risk Authority public: 15.1. Description of the methodology used by the authority for calculation of internal capital and credit limit;
15.2. a description of the policy with respect to security;
15.3. a description of the policy for exposures subject to the General and the specific correlation risks;
15.4. evaluation of the changes in the securities authority would give the authorities credit for decreasing;
15.5. derivatives the total positive fair value, the amounts included (not tted benefits), the net value of derivatives by mutual Treaty includes, security values and derivative credit risk for net worth. Derivative exposed to credit risk in net worth is a derivative exposed to credit risk value (calculated as the total positive fair value and the total amount of kredītekvivalent), which reduced the amount of mutual credited (in accordance with legally enforceable agreements) and apply all or part of the collateral;
15.6. derivative valuation procedures under one of the provisions of annex 1 of the MKP methods in the body;
15.7. to limit the use of credit risk credit derivatives the notional value of credit derivative and credit values subject to breakdown by exposure classes;
15.8. credit derivatives the notional value of the breakdown of the uses-institutions present in the portfolio or the brokering, including credit derivatives used types of distribution that each further derivatives group broken down by nature of protection, that is, whether it is purchased or sold.
Credit risk and risk reduction in recoverable value 16. authorities credit risk and risk reduction in recoverable value (dilution risk) public authority: 16.1. definition of accounting purposes using the concept of "late" (past due) and "impairment losses due to quality deterioration" (impaired);
16.2. the value adjustment (value adjustments) and the determination of the provision adopted approaches and methods;
16.3. the exposure totals by reciprocal claims including the IFRSs in the cases provided for, without taking into account the credit risk mitigation, as well as the impact of the exposure of the average amount in the reporting period with the breakdown of the different categories of exposures;
16.4. the exposure of major geographical breakdown by regions, which in turn subdivided into exposures in the main exposure categories (types), the level of detail that is required for understanding of the institution;
16.5. the distribution of exposures by industry or counterparty type, which in turn broken down into the types of exposures in a level of detail that is required for understanding of the institution;
16.6. the breakdown by residual maturity all exposures, which in turn broken down into the types of exposures in a level of detail that is required for understanding of the institution;
16.7. exposures the relevant industry or counterparty type cut: 16.7.1. exposure to losses in the value of quality deterioration and delayed exposure, 16.7.2. value adjustments and provisions are established does not secure debts, 16.7.3. value adjustments increase/decrease and the accrual of debt reduction is not secure income/expenses the accrual of debts building unsafe in the reporting period;
16.8. the exposure value of the losses due to quality deterioration and delayed exposure about the breakdown of the major geographical regions, indicating the amount of each separately, and, if appropriate, the results of the revaluation and the amount of stocks, by geographical regions;
16.9. revaluation reserve and accrual of unsafe movements of accounts receivable, including: 16.9.1. revaluation and savings descriptions, 16.9.2. revaluation reserves and stocks at the beginning of the period, the decrease 16.9.3. revaluation reserves and savings decrease the income reference period, 16.9.4. revaluation reserve growth in gum and costs savings, including foreign exchange gains, the revaluation reserve the revaluation reserve increase after the merger of the companies, subsidiaries or sales, as well as income from the past šējo years of recovery of assets written off;
16.9.5. revaluation reserves and accruals at the end of the period.
Standardised approach (SP) 17. Authority of risk weighted exposure value calculation for the SP, for all of the exposure classes specified in the provisions of paragraph 97 of the MKP, public: 17.1. credit assessments of external credit assessments the nominated institution (hereinafter referred to as "ECAIS") or the export credit agency (hereinafter EC) names as well as all those ECAIs and list the reasons for the changes;
17.2. the ECAI or EC, which estimates the credit institution uses the credit quality of the degree of detection, names for each exposure category separately;
17.3. Description of the procedure used to relate the issuer or credit assessments of emissions on the other claims against that counterparty, not included in the trading book;
17.4. each ECAI credit assessment used or external rating granted by the EC's compliance with credit quality grades for the SPA, given that this information should not be published if the authority makes the determination of conformity in accordance with the requirements of the Commission;
17.5. the exposure value before and after the application of credit risk mitigation for each credit quality as provided for SP, as well as the risk of the transaction, which represents a reduction in equity values before and after the application of credit risk mitigation.
To the internal ratings based approach 18. Authority that calculates the risk weighted value for specialised lending exposures in accordance with the provisions of annex 6 of the MKP 6 or equity risk-weighted value by applying the simple risk-tier approach in accordance with the provisions of annex 6 of the MKP was 19-21, public exposure values for each category referred to in the provisions of the MKP 6. in table 1 of the annex, or each risk referred to in the provisions of annex 6 of the MKP was 19-21,.
Market risks 19. public authority: 19.1. without the trading book and the trading book foreign exchange risk capital requirements;
19.2. the trading book and the trading book capital requirements for commodities risk;
19.3. the trading portfolio of debt securities and equity position risk capital requirement;
19.4. the trading book capital requirements for settlement risk;
19.5. the trading portfolio credit risk of the counterparty capital requirements;
12.2. capital requirements for large exposures restrictions, excess trading book exposures.
Value of internal risk models 20. Authority that calculate market risk capital requirements using value at risk (RPVS) internal models, public: 20.1. every apakšportfel for the RPVS, internal models: 20.1.1. Description of the model used, 20.1.2. stress test applied description 20.1.3. Description of the approaches used for carrying and backdated checks internal models and modelling processes for accuracy and consistency for approval;
20.2. information on risks, which the Commission authorised the RPVS internal models to apply in whole or in part;
20.3. for information on the methodology used to determine the authority of the internal control systems for the trading portfolio in compliance with the provisions of annex 7 of the MKP, part 2, the requirements and the extent to which it complies with the provisions of annex 7 of the MKP, part 2.
21. Operational risk authority with respect to operational risk public: 21.1. information about MKP rule referred to in paragraph 290 approach or combination of approaches used by the authority for operational risk capital requirements;
21.2. the developed measuring operational risk approaches methodology description if the institution uses this approach, including a list of relevant internal and external data, scenario analysis, and business environment and internal control creators that authority includes the operational risk assessment methodology. If the approach is used in part, describes the different approaches used.
Equity exposure On equity 22. exposures that are not included in the trading book, the public authority:
22.1. information on risks after the graduation of objectives, distinguishing information about the equity securities purchased by appreciation purpose and strategic reasons, the accounting methods used and the evaluation methodology, including the main assumptions and practices that influence the valuation, as well as significant changes in the practice, compared to the last published information;
22.2. the carrying amounts and fair values of the regulated market in traded equity securities fair values compared with the market value, if it differs from the true value;
22.3. information about the instruments traded on a regulated market, a regulated market of non-equity securities traded, of which the portfolio is diversified enough, and other types of exposures and character, as well as the instrument (securities business);
22.4. the cumulative realized gains/losses to the capital during which sold or eliminated from the balance sheet (liquidation) for other reasons, in the reporting period;
22.5. unrealized profit/loss (revaluation reserves, which results in the available-for-sale equity securities, the total amount of revaluation), the revaluation reserve, which is not reflected in the balance sheet of the institution and the profit/loss statement (latent revaluation gain/loss amount for the revaluation reserve, which may lead to equity securities (which are reflected in the balance sheet at purchase value) Revaluation) and any of the following amounts that are included in the first or second level of equity.
Interest rate risk on trade of 23. portfolio of interest rate risk of the body public: 23.1. for information on the nature of the interest rate risk (the cause of occurrence) and main assumptions (including assumptions about loan priekšatmaks and perpetual deposits) and interest rate risk measurement frequency;
23.2. the value of revenue and economic fluctuations or other suitable calculations, which the body uses to determine the interest rate increase or decrease shock effects in accordance with the methods of management interest rate risk measurement in each currency in which the significant volume of transactions.
24. the authority of the Vērtspapirizēšan, which calculates the weighted value of risk positions, public vērtspapirizēšan: 24.1. the Authority's goals for vērtspapirizēšan;
24.2. for information on the role of the authority in vērtspapirizēšan (for example, the authority-in the body-ciator sponsor URu.tml.);
15.1. information on the extent to which the authority engages in every role;
15.2. the approach that authority uses the vērtspapirizēšan position on the exposure risk weighted value calculation;
15.2. the accounting policies relating to summary, including vērtspapirizēšan: vērtspapirizēt risk 24.5.1. transaction tracking – or appropriate sales or financing inventories, sales profit recognition 24.5.2.,. 24.5.3 of the remaining missing engagement vērtspapirizēt exposures in the portfolio (retained interest) evaluation of synthetic transactions vērtspapirizēšan 24.5.4.;
24.6. the names of the ECAIs, where ratings are used in vērtspapirizēšan, and some types of exposure are used each ECAI ratings;
24.7. vērtspapirizēt exposure to residual value total exposure types, separate the cut, whether it is traditional or synthetic vērtspapirizēšan;
15.4. vērtspapirizēt exposure total risk of cut type, with a separate indication of each type of exposures to unsafe and delayed exposure amounts and the authorities recognised the loss during the reference period;
15.5. the remainder (retained) or vērtspapirizēt position acquired total exposure types of cut;
24.10. the remainder (retained) or vērtspapirizēt position in total purchased, broken down by risk grades of quality. Information about the positions that the degree of risk is 1 250 percent or which constitute a reduction of equity, separately;
24.11. vērtspapirizēt renewable residual value of exposures (outstanding amount), which divided the initiator and investor interest are interested;
24.12. brief description of the activities of the vērtspapirizēšan in the reporting period, including the vērtspapirizēt exposure amount (after exposure), and each type of exposures to recognised (recognized) the profit/loss from the sale.
Special requirements for the use of tools and methods to the internal ratings based approach 25. Authority of risk weighted exposure value calculation for the IRB approach, the public: 25.1. information about the permissions for the application of the IRB approach or a gradual implementation of them;
25.2. explanation and description: 25.2.1. internal ratings system structure and internal and external ratings, internal estimates use 25.2.2. needs not associated with exposure risk weighted calculation (in accordance with the provisions of annex 6 of the MKP-132), 25.2.3. management of credit risk mitigation and recognition process, the rating system 25.2.4. control mechanisms, including their independence, exposure and rating systems review;
25.3. the internal rating process description for separately for each exposure category: 25.3.1. central Governments and central banks, institutions, 126.96.36.199.3.3. commercial companies, including small and medium-sized company, specialised in loans and purchased a company-accounts receivable, 25.3.4. small exposure category for each exposure class, the subject of one of the correlations listed in annex 6 provisions of MKP 10.-13. paragraph 25.3.5. equity securities.
Description shall include the types of exposures included in the exposure category definitions, methods and data to the default probability (probability of default) (SNV) and to calculate the approval and, if necessary, a loss that can arise in the case of default (loss given default) (SNZ), and the degree of adjustment, including the assumptions used for the calculation of these variables, as well as a description of relevant exceptions to the default definitions defined in annex 6 of the provisions of the MKP was 120-125;
25.4. the amount of the exposure for each exposure class specified in paragraph 120 of the provisions of the MKP. Exposures to central Governments and central banks, institutions and commercial companies, which use the same authority within certain degrees of risk adjustment SNZ or weighted value calculation, the value of the specified separately from exposures that the authority does not use such ratings;
25.5. for each exposure category (business with central Governments and central banks, institutions, commercial companies and equity securities) and debtor (in sufficient detail) cut (including debtors in default) that allows you to allocate credit risk correctly: 25.5.1. overall exposure (Central Government and central banks, institutions and commercial exposure category, the outstanding loans (outstanding loans) and the unused commitment amount (undrawn commitment) , equity securities – residual value (the outstanding amount)), a-weighted exposure 25.5.2. average SNZ, expressed in percentage, if the institution uses its own SNZ risk weighted calculation, 25.5.3. exposure weighted average risk, the unused commitment 25.5.4. (undrawn commitment) and the exposure weighted average exposure value of all exposure categories, if the institution uses the same set of adjustments (conversion factors) the risk-weighted value calculation;
6. for each exposure class referred to in paragraph 25.3.4 terms (if necessary, further broken down apakšportfeļo (on a pooled basis)), the information referred to in paragraph 15.8, the rules or risk a deal (if necessary broken down apakšportfeļo (on a pooled basis)) analysis (outstanding loans (outstanding loans) or exposure value unused commitments (undrawn commitment)), broken down by expected loss (expected loss) categories to distinguish the credit risk based;
25.7. actual (revaluation) value adjustments for reporting period in each exposure category (small exposure class, each category referred to in rule 25.3.4. point) and their differences, compared with the previous period;
25.8. the factors that contributed to the description of the actual losses during the reference period (for example, or the default level of authority has been higher than average, or have had higher average levels of correction and SNZ);
16.1. each exposure category (small exposure class, each category referred to in rule 25.3.4. authorities) loss estimates comparison with actual damages over a longer time period (a period that is sufficient to properly assess the internal rating process efficiency). If appropriate, the authority shall provide further information about SNV analysis and if the institution uses the same ratings SNZ and/or the degree of adjustment, and the degree of adjustment results SNZ comparison with estimates.
26. Risk mitigation body which apply risk mitigation methods public: 26.1. balance sheet and off-balance sheet items included in the mutual claims (netting) policies and procedures, as well as information on the extent to which authority they use;
26.2. the security assessment and management policies and procedures;
16.3. the main types of collateral description, which is accepted by the authority;
26.4. the greatest guarantor and credit derivatives counterparties, as well as information about the guarantor and the credit worthiness of the counterparty;
26.5. information about the market risk or credit risk concentration of credit risk mitigation authority uses;
16.5. If the institution calculates risk-weighted value by applying the SP or the IRB approach, but does not provide the same ratings SNZ or correction factors for exposure categories, each category of exposures exposures total (after the balance sheet and off-balance sheet items included in the mutual claims, if applicable), which is a cover (after application of the adjustment the oscillation) with appropriate financial collateral or other suitable security;
16.6. If the Authority's exposure risk weighted value calculation for the SP or the IRB approach, for each category of exposures exposures total (after the balance sheet and off-balance sheet items included in the mutual claims, if applicable), which is covered by guarantees or credit derivatives. Equity exposure class, this requirement applies to each approach, for the provisions of annex 6 of the MKP was 17 to 26.
Developed operational risk measurement approach 27. the authority, which uses operational risk capital requirements for operational risk advanced measurement approach, a public summary of the use of risk mitigation insurance.
Informative reference to European Union directives, the regulations include provisions resulting from: 1) European Parliament and Council Directive 2006/48/EC relating to the taking up and pursuit of the business of credit institutions (recast);
2) European Parliament and Council Directive 2006/49/EC on the capital adequacy of investment firms and credit institutions.
Financial and capital market Commission President When the U.
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