Financial and capital market Commission, the provisions of regulations no 300 in Riga in 2011 on 9 December (pr. No. 56. p.)
The amendments to the "minimum capital requirements rules" Issued in accordance with the law of credit institutions, article 35 of the sixth and sixth article 50.8 and financial instruments market law article 121 second and eighth and sixth article 123.3 to make financial and capital market Commission regulations regulations No 02.05.2007.60 "minimum capital requirements rules" (hereinafter referred to as the rules) the following amendments: 1. provisions be supplemented by 60.1 points in this version : "repeated vērtspapirizēšan 60.1 (re-securitisation) – vērtspapirizēšan, in which the risks associated with its underlying exposure portfolio is split into a number of releases and at least one such portfolio exposures is a vērtspapirizēšan position."
2. Supplement with 61.1 points in the following wording: "the position of the repeating vērtspapirizēšan 61.1-exposures resulting from repeated vērtspapirizēšan."
3. Make the following paragraph 73: "73. the authority shall ensure the same amount of capital, which is always greater than or equal to the total of such capital requirements: 73.1. credit risk and risk reduction in recoverable value (dilution risk) capital requirements for all exposures, except for exposures that make up the reduction in equity, except for the trading book and the exposures if the authority does not use the exemption specified in paragraph 74 of its position risk calculation.
73.2. market risk capital requirements: 73.2.1. debt securities trading portfolio and equity position risk, the capital requirements determined in accordance with title II, Chapter 3 of part 1 of the conditions or by using the value at risk (RPVS) internal models corresponding to Chapter 3 of title II of part 6;
73.2.2. trading book counterparty credit risk, the capital requirements determined in accordance with title II, Chapter 3, part 3, and is subject to the financial and capital market Commission (hereinafter the Commission) permission to exceed the limit of large exposures of the trading book exposures to such excess capital requirements, calculated in accordance with Commission 13 November 2010 legislative rules no. 313 "exposure limit enforcement regulations";
73.2.3. non-trading portfolio and trading portfolio of foreign exchange risk, the capital requirements determined in accordance with title II, Chapter 3 of part 4 of the conditions or using RPVS internal models corresponding to Chapter 3 of title II of part 6;
73.2.4. non-trading book and the trading book capital requirements for commodities risk in accordance with Chapter 3 of title II of part 5 of the conditions or using RPVS internal models corresponding to Chapter 3 of title II of part 6;
73.2.5. non-trading and trading book capital requirements for settlement risk, determined in accordance with Chapter 3 of title II of part 2;
73.3. operational risk capital requirements established under Title II, Chapter 4 of the conditions. "
4. Make the following paragraph 93: "93.92. The provisions referred to in paragraph 1, the derivative exposure value is determined by using one of these rules specified in annex 1. methods, taking into account the novation contract or another including the impact of the agreement."
5. Make the following introductory paragraph 162:162. " If the authority – give significant credit risk of the sponsor, which is associated with the vērtspapirizēt exposures in accordance with the provisions of annex 4, part 2, it may: "6. paragraph 172 be expressed as follows:" 172. Authority-initiator or body-sponsored vērtspapirizēšan positions, risk weighted calculation made in accordance with paragraph 162 or sold his marketing portfolio tools so that the CHINESE authority no longer hold the equity of such instruments to cover the risk no obligation to provide such support to vērtspapirizēšan, exceeding its contractual obligations, with a view to reducing potential or actual investor losses. "
7. Make the following paragraph 182.1:182.1. If the authority as "the counterparty (protection against the credit risk of the seller, the seller of protection referred to) assume the credit risk, market risk capital requirements for the calculation of the use of the credit derivative notional value, unless otherwise specified. Calculation of capital requirements, the authority may reduce the credit derivative notional value of credit derivative market value since the start of trade. Calculating capital requirements for specific risk, the term applied instead of the credit derivative terminu, excluding swaps total revenue (total return swaps). The positions shall be determined as follows: ".
8. Express 182.1.7. point as follows: "182.1.7." If the nth to default credit derivatives in case the instrument has an external rating (rating), the seller of protection calculated specific risk capital requirement using a derivative of the external evaluation (ranking) and in application of the relevant vērtspapirizēšan the applicable risk; ".
9. Make the following paragraphs 190:190. "trading portfolio of debt securities specific risk capital requirement calculated as following specific risk capital requirements total: 190.1. specific risk capital requirement for debt securities, except for the vērtspapirizēšan positions, calculated as follows: NET 190.1.1. each position that is calculated in accordance with paragraph 174-187 conditions into one of 2 categories listed in table depending on the type of issuer/debtor the issuer/debtor, internal or external credit assessment and the rest of the period and taking into account paragraph 191-194, and multiplied by the specified in table 2 the weighing;
190.1.2. the amount according to the requirements of paragraph 190.1.1 the calculated weighted long and weighted short positions absolute values;
190.2. the position of the vērtspapirizēšan specific risk capital requirement calculated in accordance with the requirements of paragraph 195. "
10. To supplement the provisions of the following paragraph 190.1: "the specific risk 190.1 capital requirements under 190.195. or 195.3 points, the requirements, the authority may fix the rate and size of weighing the net position multiplied result limit applying specific risk capital requirement does not exceed the maximum default losses. Its short positions this limitation can be set as the value of all such positions change about who created, if the position of the underlying debt be immediately reclassified to non-debtor the risk. "
11. Make 191.192, 193, 194 and 195,. the following paragraphs: "191. Qualified debt securities are the following items make up the debt securities: debt securities 191.1. long and short positions, which, using the SP, the quality grades, corresponding to at least the ECAI ratings (see investment. 11. the annex);
191.2. debt securities in long and short positions, which, using the IRB approach, certain SNV not greater than 191.1. point debt securities listed in SNV;
191.3. debt securities in long and short positions, which are not available in the ECAI rating and which meet the following conditions: 191.3.1. positions are sufficiently liquid;
191.3.2. the quality of debt securities, the authorities believe, is at least equal to 191.1. debt securities referred to in paragraph 1;
191.3.3. debt securities are included in at least one regulated market in a Member State or in the list in annex 5 of these rules that foreign exchange recognised by the list;
191.4. debt securities issued by the authority, which comply with Directive 2006/48/EC to specific capital requirements, long and short positions in debt securities, if sufficiently liquid and their quality is at least equal to 191.1. debt securities referred to in paragraph 1;
191.5. the Authority's debt securities, credit quality which corresponds to or is higher than 2. credit quality in accordance with SP, where the body-issuer comply with Directive 2006/48/EC to specific capital requirements;
191.6. debt securities qualified for inclusion in the Securities Commission's inspection procedures and, if necessary, if it considers that a specific debt securities risk is too high or they do not meet the other criteria mentioned in this paragraph, the authorities amended the assessment.
192. Debt securities, other than debt securities qualified in accordance with paragraph 191, 8 percent or 12 percent rate of weighing in accordance with table 2.
193. the authority applying the IRB approach for exposure category, which includes debt instruments that can be applied to the weighing which corresponds in accordance with SP credit quality grade defined to have the same, or less, established in accordance with SNV IRB approach.
194. the financial instruments of the issuer which are signs of insolvency, the authority shall apply the rate of 12 percent.
195. The specific risk capital requirements for the trading book positions of vērtspapirizēšan, which according to paragraph 174-187 calculated net positions shall be determined as follows:

 195.1. the authority, which do not trade a portfolio's exposure to credit risk at the expense of capital requirements by using the SP, the specific risk capital requirement calculated as 8 percent of vērtspapirizēšan positions, risk weighted exposure determined in accordance with the provisions of annex 4 part 4 of 21-50;
 195.2. the authority, which do not trade a portfolio's exposure to credit risk at the expense of capital requirements using the IRB approach, specific risk capital requirement calculated as 8 percent of vērtspapirizēšan positions, risk weighted exposure determined in accordance with the provisions of annex 4, part 4:51.92;
 195.3. the authority may use the supervisory formula method 195.1. the needs and 195.2, just get the permission of the Commission, with the exception of those institutions – in this method, the sponsor can use the position of the vērtspapirizēšan credit risk capital requirements for the trading book setting. If the supervisory formula method requires the application to determine the risk of the counterparty and SNZ, SNV may do so under the IRB approach or set out in a separate Commission you receive permission, use of an alternative approach, based on those described in paragraph 287 estimates and corresponding to the IRB approach for quantitative standards laid down;
 195.4.14. these provisions to satisfy the requirements of annex vērtspapirizēšan of the net positions specific risk capital requirement calculated as 8 percent of in accordance with the conditions laid down in annex vērtspapirizēšan position risk weighted average values;
 195.5. sum the all-195.1. in accordance with paragraph 195.4 calculated weighted positions in short and long weighted position in absolute value;
 195.6. the transition period to 31 December 2013, by way of derogation from the requirements of paragraph 195.5, body counts separately the weighted long positions and the sum of the weighted short position absolute value amount and determines the specific risk capital requirement higher amounts. During this transitional period, the authority shall provide the Commission with information on such a short and a long weighted positions about the breakdown of the types of instruments that make up it. "
12. To supplement the rules by 195.1, 195.2, 195.3, 195.4, 195.5 and 195.6 points as follows: "specific risk capital 195.1 claim the vērtspapirizēšan position in the exposures that create equity reduction or with suitable interest risks 1 250 if their risk weighted value calculated in accordance with the provisions of annex 4, part 4, may not be less than that specified in accordance with the provisions of annex 4.
Vērtspapirizēšan the position of 195.2 liquidity provided that credit is not available to the ECAI ratings, capital is not less than the provisions of part 4 of annex 4 shows.
by way of derogation from paragraphs 195 195.3 requirements, the authority may trading portfolio correlation tools to determine specific risk capital requirement as the greater of the following amounts: 195.31. specific risk capital requirement that only a certain correlation trading portfolio net long positions;
 195.32. specific risk capital requirement that only a certain correlation trading portfolio NET short positions.
 195.4 correlation trading portfolio consists of positions and n-vērtspapirizēšan to the default credit derivative instruments that meet the following criteria: 195.41. the position is not the position of the repeating vērtspapirizēšan, options, commodity-based release of the vērtspapirizēšan, or any other derivatives, commodity-based vērtspapirizēšan transaction or scheme, which does not provide for the proportional part of the proceeds of the release vērtspapirizēšan;
 all reference tools 195.42. is either one of the issuer/debtor's instruments, including the debtor's credit risk with any related credit derivative instruments, for which there is a liquid two-way market, or generally marketable index based on this reference company assessments. Two-way market exists when there are independent good faith offers to buy and sell it, the price is logically linked to the last trade price or within one day are listed on the current good faith competitive purchase and sales prices, and at that price you can pay for a relatively short period of time, which corresponds to the trade practice.
 195.5 correlation trading book may not include positions, which is based on the following basic tools: 195.51. non-trading portfolio tool that corresponds to 97.8. in paragraph specified or 97.9 transaction categories;
 195.52. claim against MACHINE.
195.6 authority correlations can be included in the trading book positions, which are neither vērtspapirizēšan nor the position of the nth occurrence of default credit derivatives, but which prevent the risk of this portfolio position, provided that the instrument or instruments that exist in a liquid two-way market in accordance with paragraph 195.42. "
13. paragraphs 207 to express the following: 207. "equity specific risk capital requirement shall be calculated as follows: 207.1. the calculation of the equity of each net long position or net short positions in accordance with paragraph 174-186;
207.2. calculates for each national market in the common position, which is the relevant national market equity net long position and a net short position of the absolute value of the amount;
207.3. calculate the equity securities of specific risk capital requirement in the national market as 8 percent of the national total of market equity positions. "
14.226.227. Expressing and point as follows: "226. Settlement risk is the risk to which the body is exposed to the incomplete transactions in foreign currency, securities or goods, except for the repo transactions, securities or commodities lending or borrowing. Settlement risk consists of settlement/delivery risks and unpaid supplies (free deliver to) risk and settlement risk capital requirement is that risk capital requirements.
Settlement/delivery risks 227. Settlement/delivery risk is the risk to which the body is exposed to transactions with debt securities, equity securities, foreign exchange and commodities, where the body of debt securities, equity securities, foreign currencies or goods or receipt respectively receive cash or pay it, but both of the parties to the transaction have not taken the settlement and delivery within five days after the billing date and body damage may occur whose size is determined by the difference between the debt securities, equity securities, foreign currencies or commodity price and the current (capital requirements calculated day) market price. Capital requirements for determining authority must first calculate the difference between the debt securities, equity securities, foreign currencies or commodities on which the settlement price, the counterparty agreed, and the debt securities, equity securities, foreign currencies or commodities market price calculation of the capital requirements of the day. If this difference indicates a potential injury, the institution shall calculate the settlement/delivery risk capital requirements by multiplying the potential loss of the absolute value of the transaction settlement term corresponding to the delay set out in table 5 factor. "
15. Express part 6 by the following: "6. Value at risk, the use of internal models for the calculation of the capital requirements 271. Foreign exchange risk, for position risk, as well as the commodities risk capital requirement to determine the authority may use the RPVS internal models. RPVS internal models can be applied to one, several, or all the above risks in part or in full. Market risks (risk of) not subject to internal models RPVS market risk capital requirements calculated in accordance with the relevant title II, Chapter 3, 1, 4, and 5. the methods referred to in part with respect to market risk capital requirements.
272. the authority may use internal models RPVS market risk capital requirements for the calculation of the authorized by the Commission, if the authorities risk management system and internal RPVS models used meet the requirements of this part.
 Calculation of capital requirements by using internal models 273. Market risk capital requirement calculation shall include the following values: 273.1. the largest of the following values: 273.1.1. the previous working day RPVS (RPVS-1), calculated in accordance with the requirements of paragraph 274;
273.1.2. the previous 60 business days average RPVS (RPVvid), calculated in accordance with the requirements of paragraph 274, and multiplied by the coefficient (mc), which is equal to at least 3;
273.2. most of the following values: 273.2.1. the last available value risk in stressful situation (-1, SRPV), calculated in accordance with the requirements of paragraph 275;
273.2.2. previous 60 business days average SRPV (SRPVvid), calculated in accordance with the requirements of paragraph 275, and multiplied by the coefficient (ms), which is equal to at least 3;
273.3. market risk capital requirements calculated using RPVS internal models are in accordance with paragraph 273.1. and requirements established 273.2 value amount;
273.4. If the Authority Bill-specific risk capital requirement, using internal models, it adds in accordance with section 273.3 of the capital requirements calculated for:

273.4.1. trading book positions and vērtspapirizēšan the nth to default credit derivatives, in accordance with title II, Chapter 3 of part 1 of the calculated position risk total capital requirements, except for the correlation of the vērtspapirizēšan of the trade portfolio positions and the nth to default credit derivatives, which Bill capital requirements using the requirements of paragraph 289 of the internal model;
 273.4.2. the highest of the institution's trading book position risk of default and migration risk last calculated and 12 weeks average the capital requirements, calculated in accordance with the conditions of paragraph 287, and, where appropriate, the highest authority of all price risks and the last 12 weeks the calculated average capital requirements, calculated in accordance with paragraph 289.
Quantitative requirements RPVS model 274. This provision in paragraph 273.1 RPVS calculation used shall meet the following minimum quantitative requirements: 274.1. RPVS calculation is made at least once each working day;
274.2.99. is applied to the one-sided percentil (one-tailed) confidence interval;
274.3. position the holding period is equivalent to 10 working days. The authority may use the calculation a shorter holding period, extrapolating it to a 10-day period using the appropriate methodology for the model, for example by multiplying the calculated for one day RPVS to the square root of the required holding period. Authority that the calculation used a shorter holding period, regularly reviews the methodology used for extrapolation to ensure its compliance with the conditions of the market, and shall inform the Commission of any changes in the methodology;
274.4. There are at least one year historical observation period, except where a shorter observation period is justified by a significant price fluctuations;
274.5. all data set is updated not less frequently than once a month.
275. in addition to the RPVS institution shall calculate the value at risk of stress situations (hereinafter SRPV). This provision contained in paragraph SRPV 273.2 calculation shall meet the following minimum quantitative requirements: 275.1. SRPV calculation is done at least once a week;
275.2.99. is applied to the one-sided percentil (one-tailed) confidence interval;
275.3. position the holding period is equivalent to 10 working days;
SRPV 275.4. parameters and estimates are determined on the basis of at least one year historical observation period, corresponding to a period of financial stress, which significantly affects the institution's portfolio. The authority shall, at least once a year, review the historical observation period of choice, and the Commission and for the first time in the period chosen, and all changes to the historical observation period.
276.273.1.2. These provisions and referred to in paragraph 273.2.2 factors (mc) and (ms) increased by 0 and 1 in accordance with table 8 depending on retrospective examination of the number of exceedances found the last 250 working days. The excess determined in accordance with the requirements of paragraph 285. The number of exceedances is the largest of the hypothetical portfolio and actual portfolio retroactive checks detected the excess number. Factor review not less frequently than quarterly, and a specific factor is in effect until the next review.
table 8. The increase of the coefficient of determination of exceedances number depending on the number of Exceedances of the magnification