Financial and capital market Commission, the provisions of regulations No 303 in Riga in 2011 on 9 December (pr. No 56 5. p.)
The amendments to the "disclosure and transparency of the regulatory authority regulations" 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 make financial and capital market Commission of 2 May 2007 legislative rules No 61 "disclosure and transparency of the authority of the legislative provisions (hereinafter referred to as the rules) the following amendments: 1. provisions supplementing with 20.1.4. paragraph by the following:" 20.1.4. authority that uses the default risk and the risk of internal migration patterns, and body that uses correlation trading book risk internal models, the description of internal models, methods and risk assessment, revealing the liquidity period approach, capital requirements, the methods used for the determination and evaluation of the model approach; ".
2. Express 20.4. point as follows: "20.4. information about the following elements: 20.4.1. calculated the highest, lowest and average each day for the calculation of value-at-risk measures and the period at the end of the reporting period, the estimated higher, 20.4.2. lower and medium-value at risk of stress test results during the reporting period and at the end of the reporting period, 20.4.3. the authority, which uses the default risk and the risk of internal migration patterns, and body that uses correlation trading book risk internal models, calculated the highest, lowest and average capital requirements during the reporting period and at the end of the reporting period; ".
3. Supplement with 20.6 points in the following wording: "20.6. authority that uses the default risk and the risk of internal migration patterns, and body that uses correlation trading book risk internal models, the capital requirement calculated with the weighted average liquidity in the period for each position or a position in the portfolio as a whole."
4. Make the following paragraph 24: "24. the authority, which calculates the weighted value of risk positions or vērtspapirizēšan specific risk capital requirements for the trading book positions, vērtspapirizēšan by trading and non-trading portfolio of public authority objectives: 24.1. for vērtspapirizēšan;
24.2. other risks, a description of the nature, t.sk. liquidity risk investment instruments vērtspapirizēšan description;
24.3. the position of the vērtspapirizēšan exposure types by their retention time and investments, which are based on the position of vērtspapirizēšan and which is purchased and the remainder (retained) in vērtspapirizēšan;
15.2. information on the Authority's roles in vērtspapirizēšan (for example, the authority, the authority, the sponsor, the sponsor of the URu.tml.);
15.2. information on the extent to which the authority engages in every role;
24.6. the procedural position of the vērtspapirizēšan credit risk and market risk management, changes t.sk. about how vērtspapirizēšan affects the base of investment positions, and a description of how this process differs from vērtspapirizēšan again heading;
24.7. a description of the policy, which applies to vērtspapirizēšan position and the position of the repeating vērtspapirizēšan hedging and unfunded credit protection, t.sk. identifies the significant risk of counterparties, by main types of exposures;
15.4. the approach that authority uses the vērtspapirizēšan position on the exposure risk weighted value calculation, t.sk. identifies the vērtspapirizēšan positions covered by the approach of each;
15.5. the MACHINE the way the institution-sponsor used to vērtspapirizēt the third-party exposures, indicating the manner in which and extent and whether the authority has made the exposures to this MACHINE by the breakdown of the balance sheet and off-balance-sheet items, risk exposures, as well as the list of companies, which manages the authority or advising and investing in either the vērtspapirizēšan of that body is vērtspapirizējus, or MACHINE, which the authority sponsored;
24.10. accounting policy for a summary of the vērtspapirizēšan, including: 24.10.1. vērtspapirizēt exposure records, or suitable for sales or financing inventories, sales profit recognition 24.10.2., 24.10.3. vērtspapirizēšan method for evaluation of positions and the basic assumption, the value increases and changes compared to the previous accounting period, synthetic transactions 24.10.4. vērtspapirizēšan recognition, 24.10.5. investment instruments for vērtspapirizēšan assessment, indicating whether they are registered or not trading authority trading portfolio, 24.10.6. recognition policy measures requiring the authority to maintain investment in vērtspapirizēšan instruments;
24.11. the names of the ECAIs, where ratings are used in vērtspapirizēšan, and some types of exposure are used each ECAI ratings;
24.12. internal assessment approach, if it is used t.sk. the internal structure of the evaluation process and the link between internal and external ratings, the use of internal assessment other purpose than that for which the internal assessment approach capital requirement purposes, internal control assessment process description, t.sk. independence, accountability and the internal quality of the evaluation process, the types of exposures, the internal assessment process, and stress factors, which are used to determine the risks of quality;
24.13. quantitative information which is made public in accordance with the provisions of paragraph 24.14-24.17, the major changes that have occurred since the last reporting period;
24.14. individual information on sales and trading portfolio, broken down by the following exposures: 24.14.1. vērtspapirizēt exposure to residual total by types of exposures, with a separate indication of conventional and synthetic vērtspapirizēšan and vērtspapirizēšan, which the authority only sponsor, 24.14.2. residual (retained) or purchased the balance-sheet and off-balance-sheet total of vērtspapirizēšan positions, 24.14.3. investment instruments for vērtspapirizēšan the total amount of vērtspapirizēšan containing 24.14.4. premature wear condition about, in the interest of the investor mover and make finished exposures total, total capital requirements institutions against the initiator and the institution's overall capital requirement against the investor's share of sold and not risk used in transactions, 24.14.5. vērtspapirizēšan position it total, that risk is 1 250 percent or forming the equity reduction, 24.14.6. short description of the activities of the vērtspapirizēšan in the reporting period, including vērtspapirizēt the extent of the exposure (by exposure type) and each type of exposures to recognised (recognized) the sales profit/loss amount;
24.15. on trade and not to trade portfolio to the public the following information: 24.15.1. remaining (retained) or purchased a total of vērtspapirizēšan positions and related capital requirements, dividing the vērtspapirizēšan and then the vērtspapirizēšan, which according to the indicate the breakdown of the risk-weighted value or capital requirements of the group for each specific risk capital requirements approach. the remaining 24.15.2 (retained) or the position of the repeating vērtspapirizēšan, dividing the total risk transactions before and after hedging/insurance and risk transactions by financial collateral management , shown by the rating of the collateral provider or the collateral category names;
24.16. the trading book and the exposures of the vērtspapirizēt the total breakdown of the types of exposures, with a separate indication of the investment instruments vērtspapirizēšan impairment and delayed exposure amounts and impairment loss recognised in the current period;
24.17. the trade portfolio market risk capital requirements the corresponding deferred vērtspapirizēt the total amount of the exposures, broken down into traditional and synthetic vērtspapirizēšan and exposure. "
5. Make an informative reference to European Union directive in paragraph 5 by the following: "5) European Parliament and Council directive 2010/76/EC amending Directive 2006/48/EC and 2006/49/EC as regards capital requirements for the trading book and for repeated vērtspapirizācij, and with regard to remuneration policy supervisory review."
Financial and capital market Commission Vice Chairman j. Brazovsk a