INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of December 28, 2016 No. 178-I

About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions

This Instruction based on Articles 56, 62 and 68 Federal Laws of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348, Art. 4357; No. 41, Art. 5639; No. 48, Art. 6699; 2016, No. 1, Art. 23, Art. 46, Art. 50; No. 26, Art. 3891; No. 27, the Art. 4225, the Art. 4273, the Art. 4295) (further - the Federal Law No. 86-FZ) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of December 23, 2016 No. 35) establish the sizes (limits) of open foreign exchange positions, technique of their calculation and feature of implementation of supervision of their observance by credit institutions.

Chapter 1. Method of calculation of the sizes (limits) of open foreign exchange positions

1.1. Credit institutions calculate the sizes (limits) of open foreign exchange positions for the purpose of restriction of currency risk and determination of size of the currency risk included in calculation of size of market risk according to the Provision of the Bank of Russia of December 3, 2015 in No. 511-P "About procedure of payments credit institutions of size of market risk", the registered Ministry of Justice of the Russian Federation on December 28, 2015 No. 40328 ("the Bulletin of the Bank of Russia" of December 31, 2015 No. 122) (further - the Provision of the Bank of Russia No. 511-P).

The sizes (limits) of open foreign exchange positions for restriction of currency risk are calculated as ratio of open foreign exchange positions in separate foreign currencies and separate precious metals, the balancing line item in rubles, the amounts of open foreign exchange positions in separate foreign currencies and separate precious metals and own means (capital) of credit institutions which size is determined according to requirements of the Provision of the Bank of Russia of December 28, 2012 No. 395-P "About technique of determination of size of own means (capital) of credit institutions ("Basel III")", No. registered by the Ministry of Justice of the Russian Federation on February 22, 2013 27259, on November 29, 2013 No. 30499, on October 2, 2014 No. 34227, on December 11, 2014 No. 35134, on December 17, 2014 No. 35225, on March 24, 2015 No. 36548, on June 5, 2015 No. 37549, on October 5, 2015 No. 39152, on December 8, 2015 No. 40018, on December 17, 2015 No. 40151, on August 26, 2016 No. 43442 ("the Bulletin of the Bank of Russia" of February 27, 2013 No. 11, of November 30, 2013 No. 69, of October 8, 2014 No. 93, of December 22, 2014 No. 112, of December 26, 2014 No. 114, of March 30, 2015 No. 27, of June 16, 2015 No. 52, of October 12, 2015 No. 86, of December 16, 2015 No. 115, of December 24, 2015 No. 118, of September 8, 2016 No. 80).

For determination of size of the currency risk included in calculation of size of market risk according to the Provision of the Bank of Russia No. 511-P precious metals, except gold are excluded from the size of open foreign exchange positions. At the same time the size of open foreign exchange positions is calculated as the amount of two following sizes: the greatest of the amount of all long open foreign exchange positions or the amount of all short open foreign exchange positions in separate foreign currencies (in absolute expression) and net open line item in gold (long or short) in absolute expression.

1.1.1. For the purpose of payment of open foreign exchange positions in separate foreign currencies and separate precious metals net line items are determined as difference between balance sheet assets and liabilities, off-balance requirements and obligations by each foreign currency and each precious metal (in physical shape and the depersonalized type).

1.1.2. Calculation of net line items also joins balance sheet assets and liabilities (except for the derivative financial instruments reflected in balance sheet accounts on accounting of derivative financial instruments), off-balance requirements and obligations in rubles which size depends on change of the corresponding foreign exchange rates established by the Bank of Russia in relation to ruble (further - the foreign exchange rate) and (or) the prices of precious metals (further - book price on precious metals) in which net line items are calculated.

The specified balance sheet assets and liabilities, off-balance requirements and obligations join in calculation of net line items in the following procedure:

balance sheet assets and liabilities, off-balance requirements and obligations in rubles are converted into foreign currency or precious metal on which their size, at the corresponding foreign exchange rate or on the corresponding book price on precious metals for settlement date of limits of open foreign exchange positions depends;

the received size is summed up with the balance sheet assets and liabilities, off-balance requirements and obligations expressed in the same foreign currency or in the same precious metal on which change in the exchange rate or book price of which the size of balance sheet assets and liabilities, off-balance requirements and obligations in rubles respectively depends.

1.1.3. When calculating the sizes (limits) of open foreign exchange positions the credit institutions performing functions of the central partner, corresponding to conditions of code 8846 of appendix 1 to the Instruction of the Bank of Russia of November 29, 2019 No. 199-I "About obligatory standard rates and allowances to capital adequacy ratios of banks with the universal license" registered by the Ministry of Justice of the Russian Federation on December 27, 2019 No. 57008 (further - the Instruction of the Bank of Russia No. 199-I), balance sheet assets and liabilities, off-balance requirements and obligations in foreign currencies and precious metals, and also in rubles which size depends on change of the foreign exchange rates and (or) book prices on the precious metals formed as a result of carrying out transactions when implementing clearing activities and functions of the central partner do not join.

1.2. For the purpose of calculation of the sizes (limits) of open foreign exchange positions separately following reporting indicators daily are calculated.

1.2.1. On each of foreign currencies and each of precious metals net line items (balance sheet; spot; urgent; option; on guarantees (bank guarantees), guarantees and letters of credit).

1.2.2. Cumulative balance sheet line item on each of foreign currencies and each of precious metals (the amount of net balance sheet line item and net spot line item taking into account sign of line items).

1.2.3. Cumulative off-balance line item on each of foreign currencies and each of precious metals (the amount of net urgent line item, net option line item, net line item on guarantees (bank guarantees), guarantees and letters of credit taking into account sign of line items, and also remaining balance in the foreign currencies and precious metals reflected in off-balance accounts on accounting of uncollected percent on interbank credits, deposits and other placed means and uncollected percent on the credits and the other placed means (except interbank) provided to clients). The uncollected percent in foreign currencies and precious metals reflected in the specified off-balance accounts are included cumulative off-balance line item in the size calculated by formula:

 

where:

Xi - the size of uncollected percent in foreign currencies and precious metals on i-y to the loan included in calculation of cumulative off-balance line item;

PPi - the size of settlement reserve as a percentage on i-y to the loan determined according to the Provision of the Bank of Russia of March 26, 2004 No. 254-P "About procedure for forming by credit institutions of reserves on possible losses by loans, on the loan and equated to it debt", the registered Ministry of Justice of the Russian Federation on April 26, 2004 No. 5774, on April 20, 2006 No. 7728, on December 27, 2006 No. 8676, on December 10, 2007 No. 10660, on January 23, 2008 No. 10968, on May 22, 2008 No. 11724, on May 22, 2008 No. 11730, on June 30, 2008 No. 11903, on January 29, 2009 No. 13219, on February 20, 2009 No. 13414, on December 21, 2009 No. 15772, on December 24, 2009 No. 15811, on August 17, 2012 No. 25204, on December 13, 2012 No. 26113, on December 28, 2012 No. 26407, on June 26, 2013 No. 28896, on September 24, 2013 No. 30005, on November 29, 2013 No. 30494, on June 18, 2014 No. 32736, on November 10, 2014 No. 34627, on December 11, 2014 No. 35134, on December 26, 2014 No. 35437, on July 13, 2015 No. 37996, on September 25, 2015 No. 39006, on December 6, 2016 No. 44596 ("the Bulletin of the Bank of Russia" of May 7, 2004 No. 28, of May 4, 2006 No. 26, of January 15, 2007 No. 1, of December 17, 2007 No. 69, of January 31, 2008 No. 4, of May 28, 2008 No. 25, of June 4, 2008 No. 28, of July 9, 2008 No. 36, of February 4, 2009 No. 7, of March 4, 2009 No. 15, of December 28, 2009 No. 77, of August 22, 2012 No. 50, of December 19, 2012 No. 73, of December 29, 2012 No. 78, of June 28, 2013 No. 36, of October 2, 2013 No. 54, of November 30, 2013 No. 69, of July 9, 2014 No. 63, of November 26, 2014 No. 105, of December 22, 2014 No. 112, of December 31, 2014 No. 117 - 118, of July 22, 2015 No. 60, of October 12, 2015 No. 86, of December 14, 2016 No. 109) (further - the Provision of the Bank of Russia No. 254-P);

Ci - remaining balance on the corresponding personal account of the specified off-balance accounts on accounting of uncollected percent on i-y to the loan.

1.2.4. Open foreign exchange positions in separate foreign currencies and separate precious metals.

1.2.5. The balancing line item in rubles.

1.2.6. The amount of open foreign exchange positions in separate foreign currencies and separate precious metals.

1.3. For the purpose of calculation of the size (limits) of open foreign exchange positions sizes of open foreign exchange positions in separate foreign currencies and separate precious metals by summing of net balance sheet line item, net spot line item, net urgent line item, net option line item and net line item are determined by guarantees (bank guarantees), guarantees and letters of credit taking into account sign of line items.

With the sign "+" payment of open foreign exchange positions in separate foreign currencies and separate precious metals joins long net position which represents positive result of calculation.

With sign "-" payment of open foreign exchange positions in separate foreign currencies and separate precious metals joins short net position which represents negative result of calculation.

1.4. The net balance sheet line item is calculated as difference between the amount of balance sheet assets and the amount of balance sheet liabilities in the same foreign currency and the same precious metal taking into account features, stipulated in Item 1.5 these Instructions.

1.5. Calculation of net balance sheet line item is made taking into account the following features.

1.5.1. Balance sheet assets join in calculation of net balance sheet line item minus currency equivalent of the reserves on possible losses created according to the Provision of the Bank of Russia No. 254-P and the Provision of the Bank of Russia of March 20, 2006 No. 283-P "About procedure for forming by credit institutions of reserves on possible losses" the registered Ministry of Justice of the Russian Federation on April 25, 2006 No. 7741, on July 2, 2007 No. 9739, on December 6, 2007 No. 10639, on September 10, 2008 No. 12260, on August 5, 2009 No. 14477, on December 17, 2009 No. 15670, on May 24, 2011 No. 20837, on December 21, 2011 No. 22714, on December 18, 2012 No. 26162, on December 11, 2013 No. 30582, on October 20, 2014 No. 34363, on September 25, 2015 No. 39003, on August 26, 2016 No. 43443 ("the Bulletin of the Bank of Russia" of May 4, 2006 No. 26, of July 11, 2007 No. 39, of December 17, 2007 No. 69, of September 17, 2008 No. 49, of August 12, 2009 No. 47, of December 28, 2009 No. 77, of June 1, 2011 No. 30, of December 28, 2011 No. 74, of December 26, 2012 No. 75, of December 18, 2013 No. 73, of October 23, 2014 No. 99, of October 12 2015 No. 86, of September 8, 2016 No. 80) (further - the Provision of the Bank of Russia No. 283-P), under the specified balance sheet assets in the same foreign currency or in the same precious metal in which the net balance sheet line item is calculated. The currency equivalent of reserves on possible losses is determined as the size of the created reserves on possible losses converted into foreign currency proceeding from the foreign exchange rate or in precious metal proceeding from book price on precious metals established on the last from dates of their forming or refining.

1.5.2. Calculation of net balance sheet line item does not join requirements and obligations of credit institution concerning which the revaluation caused by change of the foreign exchange rates is not performed according to requirements of the legislation of the Russian Federation.

1.5.3. The securities nominated in foreign currency, estimated at fair value through profit or loss, and also securities available for sale which fair value can be reliably determined join in calculation of net balance sheet line item at book value taking into account the revaluation reflected in currency of the Russian Federation converted into foreign currency proceeding from rate of the Bank of Russia established on date of the last revaluation of securities at fair value.

1.5.4. In case when the credit institution is the performing bank according to the letter of credit at the rate of net balance sheet line item cover amounts in foreign currency according to the letters of credit classified by professional judgment of credit institution in the IV-V quality category according to the Provision of the Bank of Russia No. 283-P are excluded. At the same time the risk assessment is made concerning emitting bank of the letter of credit.

1.6. Net the spot line item is calculated as difference between requirements and obligations in the same foreign currency and the same precious metal according to the transactions determined as other agreements (transactions) under which calculations and delivery are performed not earlier than the next day after date of the conclusion of the agreement (transaction) according to the Provision of the Bank of Russia of July 16, 2012 No. 385-P "About rules of conducting financial accounting in the credit institutions located in the territory of the Russian Federation" the registered Ministry of Justice of the Russian Federation on September 3, 2012 No. 25350, on October 15, 2012 No. 25670, on October 15, 2013 No. 30198, on December 9, 2013 No. 30568, on December 23, 2013 No. 30721, on December 27, 2013 No. 30883, on August 7, 2014 No. 33470, on September 2, 2014 No. 33940, on January 28, 2015 No. 35764, on February 9, 2015 No. 35936, on April 1, 2015 No. 36678, on April 28, 2015 No. 37042, on June 17, 2015 No. 37684, on July 16, 2015 No. 38043, on October 21, 2015 No. 39402, on November 12, 2015 No. 39700, on December 2, 2015 No. 39932, on December 18, 2015 No. 40164, on August 4, 2016 No. 43114 ("the Bulletin of the Bank of Russia" of September 25, 2012 No. 56 - 57, of October 24, 2012 No. 62, of October 23, 2013 No. 57, of December 19, 2013 No. 74, of January 14, 2014 No. 1, of January 15, 2014 No. 2, of August 20, 2014 No. 74, of September 12, 2014 No. 82, of February 4, 2015 No. 9, of February 17, 2015 No. 13, of April 22, 2015 No. 36, of May 26, 2015 No. 45, of June 25, 2015 No. 55, of July 24, 2015 No. 61, of November 11, 2015 No. 101, of November 26, 2015 No. 107, of December 9, 2015 No. 112, of December 25, 2015 No. 119, of August 17, 2016 No. 74) (further - the Provision of the Bank of Russia No. 385-P). Requirements and (or) agreement obligations (transactions), included in calculation net in spot line item, are determined by data of off-balance accounting.

1.7. The net urgent line item is calculated as difference between requirements and obligations in the same foreign currency and the same precious metal under agreements (transactions) (except for options) on which action of the Provision of the Bank of Russia of July 4, 2011 No. 372-P "On procedure for conducting financial accounting of derivative financial instruments", No. registered by the Ministry of Justice of the Russian Federation on July 22, 2011 21445, on December 6, 2013 No. 30553, on December 18, 2015 No. 40165 ("the Bulletin of the Bank of Russia" of August 4, 2011 No. 43, of December 19, 2013 No. 74, of December 25, 2015 No. 119) expatiates, taking into account the features determined by subitems 1.7.1 - 1.7.4 presents of Item. Requirements and (or) agreement obligations (transactions), included in calculation of net urgent line item, are determined by data of off-balance accounting.

1.7.1. The requirements and (or) obligations participating in calculation of net urgent line item join requirements and (or) obligations by urgent part of the settlement forward of the conversion transaction representing combination of two transactions: the currency forward agreement (urgent part of the settlement forward) and the obligation on carrying out the counter transaction for completion date of the forward agreement (cash part of the settlement forward).

From the date of determination of size of requirements and obligations for the forward which conditions do not provide delivery of basic (basic) asset calculation of net urgent line item for this transaction joins requirements or obligations in payment size in foreign currency.

1.7.2. The requirements and (or) obligations participating in calculation of net urgent line item join requirements and (or) obligations on the hedging instruments concluded for the purpose of compensation of the possible losses resulting from adverse change in value of object of hedging (the basic tool).

Calculation joins the hedging instruments concluded:

on organized trading floors (through the organizer of trade);

not on organized trading floors (not through the organizer of trade) with the legal entities performing release and (or) issue of the securities accepted as a deposit according to the allowed loans and also with guarantors (guarantors, guarantors, acceptors) taking into account requirements of Items 6.2 and 6.3 of the Provision of the Bank of Russia No. 254-P, on condition of compliance of hedging instruments to the requirements to providing established by Chapter 6 of the Provision of the Bank of Russia No. 254-P.

The hedging instruments concluded with other partners do not join in calculation of net urgent line item.

1.7.3. Until calculation of the price of the bargains of purchase and sale of financial instruments, foreign currencies and (or) precious metals, the agreement performed in accordance with the terms concluded not at the organized biddings, requirements and obligations according to transactions on purchase (sale) of financial instruments, foreign currencies and (or) precious metals, calculations for which according to agreements will be perfromed at the price calculated for the date defined by the agreement, do not participate in calculation of net urgent line item.

From the moment of calculation of transaction price of purchase and sale of financial instruments, foreign currencies and (or) precious metals of the requirement and (or) the obligation for the specified transactions participate in calculation net spot line item and (or) net urgent line item (depending on term between pricing date and the delivery date of financial instruments, foreign currencies and (or) precious metals).

1.7.4. The requirements and (or) obligations participating in calculation of net urgent line item do not join requirements and (or) obligations according to the bargains of purchase and sale of foreign currency, precious metals and (or) other contracts with financial instruments concluded not at the organized biddings in foreign currency or precious metals, with the absent date of calculations.

From the moment of determination of date of payment under transactions of purchase and sale of financial instruments, foreign currencies and (or) precious metals, the requirement and (or) obligations according to the specified transactions participate in calculation net spot line item and (or) net urgent line item (depending on term between pricing date and the delivery date of financial instruments, foreign currencies and (or) precious metals).

1.8. The net option line item is calculated as difference between the requirements and obligations in the same foreign currency and (or) precious metal caused by purchase (sale) of options by credit institution.

If basic (basic) asset of the option are the foreign currencies, precious metals or assets expressed in rubles which size depends on change of the foreign exchange rates or book price on precious metals in calculation of net option line item of the requirement or obligation for basic (basic) asset join in the size equal to the work of the current market value of basic (basic) asset of the option expressed in foreign currency or precious metal and absolute value of coefficient the delta.

If basic (basic) asset of the option are other asset types other than the foreign currencies, precious metals or assets expressed in rubles which size depends on the foreign exchange rates or book price on precious metals, and also derivative financial instruments which basic (basic) assets are the specified assets in calculation of net option line item of the requirement or obligation for basic (basic) asset join in the size equal to fair value of the option. On options, calculations for which provide transfer of margin, fair value is accepted to the equal price of the option calculated and disclosed by the organizer of trade. In case of lack of information on price size the credit institution independently perfroms calculation of fair value according to the methods established in accounting policy of credit institution for each type of options.

If the accounting currency of the option is other than ruble or depends on change of the foreign exchange rates or book price on precious metals, calculation of net option line item joins requirements or obligations on money (on delivery of money) in the size equal to the work of the cost of the option contract defined by the agreement and expressed in accounting currency and absolute value of coefficient the delta.

1.8.1. On the options which are traded on the organized market the absolute value of coefficient the delta calculated and opened by the organizer of trade is applied. In case of lack of information on coefficient size the delta the credit institution perfroms its calculation according to the procedure established by subitems 1.8.2 - 1.8.6 these Items.

1.8.2. Calculation of coefficient the delta is perfromed by credit institution by simple method or by method of quantitative assessment.

1.8.3. The credit institution has the right to make the decision (to change earlier made decision) on application of one of the methods of calculation of coefficient provided by subitem 1.8.2 of this Item the delta according to the procedure established in internal documents of credit institution. Information on adoption (change) by authorized body of bank of the decision on application of method of quantitative assessment for calculation of size of coefficient the delta is carried by bank to authorized structural division of the Bank of Russia exercising supervision of its activities (further - authorized structural division of the Bank of Russia), in writing within seven working days from decision date.

1.8.4. The coefficient the delta is calculated by simple method in the following procedure.

(Put options) for the purpose of calculation of coefficient the delta is determined difference between the cost of basic (basic) asset of the option defined by the agreement, and the current market value of basic (basic) asset by options for sale.

For the purpose of calculation of coefficient the delta is determined difference between the current market value of basic (basic) asset of the option and cost of basic (basic) asset of the option defined by the agreement by purchase options (call options).

The current market value of basic (basic) asset of the option is determined by the weighted average rate and (or) weighted average price of basic (basic) asset calculated (calculated) organized trading floor on which the credit institution signed the option agreement. In the absence of weighted average price of the basic (basic) asset which is traded on the foreign organized market, the current market value of basic (basic) asset of the option is determined according to the procedure, established by the corresponding national legal system (authorized body). In the absence of stock exchange quotations of foreign currencies or precious metals their current market value is determined by rate of the corresponding foreign currency or by book price on precious metals.

In case of the conclusion of the option agreement which basic (basic) asset are securities in foreign currency their current market value is determined according to the procedure, provided for determination of fair value of securities according to the Provision of the Bank of Russia No. 385-P. Concerning option agreements which basic (basic) asset are the securities in foreign currency which do not have the current market value coefficient the delta is not calculated and calculation of net option line item joins the size of off-balance requirements and (or) obligations in full.

If the result of calculation received according to requirements of paragraphs two or third this subitem:

less 0, that coefficient the delta is accepted equal 0;

the coefficient is equal 0, that the delta is accepted by equal 0,5;

more 0, that coefficient the delta is accepted equal 1.

1.8.5. When using method of quantitative assessment coefficient the delta is determined as the relation of change of the current (fair) value of the option in case of small change in value of basic asset to the size of the specified change in value of basic asset.

The methods of quantitative assessment used for calculation of coefficient the delta shall match with the methods of calculation of fair value for each type of options established in accounting policy of credit institution. The methods of calculation of coefficient used by credit institution the delta for each type of options shall be determined in accounting policy of credit institution and shall not be reviewed more often than once within calendar year. The example of use of method of quantitative assessment for calculation of size of coefficient the delta is given in appendix to this Instruction.

1.8.6. From the moment of decision making about option exercise and (or) from the date of determination of payment on the option in case of automatic exercise this transaction is considered to similarly forward transaction and the delta joins in calculation of net option line item in the size of requirements and (or) obligations of receipt (payment) of foreign currency cash without coefficient.

1.9. The net line item on guarantees (bank guarantees), guarantees and letters of credit is calculated as difference between off-balance requirements and obligations in the same foreign currency on the obtained and issued independent guarantees (bank guarantees) and guarantees, and also letters of credit.

1.9.1. Join in the requirements and (or) obligations in foreign currency participating in calculation of net line item for guarantees (bank guarantees), guarantees and letters of credit:

the issued independent guarantees (bank guarantees) which extradition treaties provide their irrevocability, and also guarantees issued on similar conditions;

the issued independent guarantees (bank guarantees) which extradition treaties do not contain condition about their irrevocability and guarantees concerning which the credit institution had professional judgment that they will be performed (will not be withdrawn);

the obtained independent guarantees (bank guarantees) and guarantees;

the exposed covered and uncovered irrevocable letters of credit;

the exposed covered and uncovered revocable letters of credit concerning which the credit institution had professional judgment that they will be performed (will not be withdrawn);

the pledge nominated in foreign currency or precious metal accepted in providing on the placed means.

The issued independent guarantees (bank guarantees) and guarantees, and also the exposed letters of credit join in calculation of net line item for guarantees (bank guarantees), guarantees and letters of credit minus currency equivalent of the reserves on possible losses created according to the Provision of the Bank of Russia No. 283-P and determined according to subitem 1.5.1 of Item 1.5 of this Instruction.

1.9.2. The size of the requirements and (or) obligations participating in calculation of net line item for guarantees (bank guarantees), guarantees and letters of credit is determined taking into account the following.

The issued independent guarantees (bank guarantees) and guarantees in foreign currency join in calculation of net line item since the moment when the specified financial instruments are classified by professional judgment of credit institution in the IV-V quality category according to the Provision of the Bank of Russia No. 283-P. Professional judgment can be based on information on non-execution (execution delay) by the principal (debtor) of the obligations including which do not have a direct bearing on conditions of this independent guarantee (bank guarantee) and guarantee. The procedure for forming and documentary registration of professional judgment of credit institution is established by internal documents of credit institution.

The obtained independent guarantees (bank guarantees) and guarantees in foreign currency join in calculation of net line item commencing on the effective date according to conditions of the relevant agreement.

The size of the obtained independent guarantees (bank guarantees) and (or) guarantees joins in calculation of net line item less difference between the settlement and created reserve on possible losses according to the conforming balance sheet requirement in which providing they are received, caused by accounting when forming reserve on possible losses of the received providing according to the Provision of the Bank of Russia No. 254-P and the Provision of the Bank of Russia No. 283-P included in calculation of open foreign exchange positions. At the same time the size of the obtained independent guarantees (bank guarantees) and (or) guarantees calculated taking into account the specified difference joins in calculation of open foreign exchange positions in the size which is not exceeding the size of the created reserve on possible losses according to the conforming balance sheet requirement.

If the financial position of the guarantor (guarantor) according to the approaches stated in Item 3.3 of the Provision of the Bank of Russia No. 254-P is estimated as bad and then proves to be true in the subsequent professional judgments constituted according to the procedure similar stated in subitem 3.1.5 of Item 3.1 of the Provision of the Bank of Russia No. 254-P, the obtained independent guarantees (bank guarantees) and guarantees join in calculation of net line item as follows:

during term up to 180 calendar days from the moment of initial assessment of financial position of the guarantor (guarantor) as bad the size of independent guarantee (bank guarantee) or guarantee joins in calculation in the amount of at least 75 percent from the size established by the agreement and reflected in off-balance accounts;

during term over 180 calendar days up to 270 calendar days from the moment of initial assessment of financial position of the guarantor (guarantor) as bad the size of independent guarantee (bank guarantee) or guarantee joins in calculation in the amount of at least 50 percent from the size established by the agreement and reflected in off-balance accounts;

during term over 270 calendar days up to 365 calendar days from the moment of initial assessment of financial position of the guarantor (guarantor) as bad the size of independent guarantee (bank guarantee) or guarantee joins in calculation in the amount of at least 25 percent from the size established by the agreement and reflected in off-balance accounts;

after 365 calendar days from the moment of initial assessment of financial position of the guarantor (guarantor) as bad the size of independent guarantee (bank guarantee) or guarantee can not join in calculation of net line item.

The procedure for forming and documentary registration of professional judgment of credit institution of financial position of the guarantor (guarantor) is established in internal documents of credit institution.

Financial instruments in which providing independent guarantees (bank guarantees) are obtained are:

the credit requirements specified in Item 2.3 of the Instruction of the Bank of Russia No. 199-I;

financial instruments concerning which the credit institution creates reserves on possible losses on contingent obligations of credit nature according to requirements of Chapter 3 of the Provision of the Bank of Russia No. 283-P.

1.9.3. Independent guarantees (bank guarantees) and guarantees in foreign currency received in providing on the issued independent guarantees (bank guarantees) and (or) guarantees in foreign currency join in calculation of net line item from coming into force of the relevant agreement, but not earlier than inclusion in calculation of net line item of the issued independent guarantees (bank guarantees) and (or) guarantees in foreign currency in which providing they are received.

Independent guarantees (bank guarantees) and (or) guarantees in foreign currency received in providing on the issued independent guarantees (bank guarantees) and guarantees join in calculation of net line item in the size which is not exceeding the size of the issued independent guarantees (bank guarantees) and (or) guarantees reduced by the size of the reserves on possible losses created according to the Provision of the Bank of Russia No. 283-P.

1.9.4. The obtained independent guarantees (bank guarantees) and guarantees join in calculation of net line item with the sign "+", issued - with sign" -", exposed covered and unpaid letters of credit - with sign" -".

1.9.5. Exposed covered and unpaid letters of credit join in calculation of net line item since the moment when - the issuer of the letter of credit the specified financial instruments are classified by professional judgment of credit institution in the IV-V quality category according to the Provision of the Bank of Russia No. 283-P.

1.9.6. The pledge nominated in foreign currency or precious metal joins in calculation of net line item according to the procedure, provided for the obtained independent guarantees (bank guarantees) and guarantees.

1.10. The balancing line item in rubles is calculated taking into account the following.

1.10.1. On each foreign currency net line items are converted into rubles at the foreign exchange rates established by the Bank of Russia for date of implementation of calculation.

1.10.2. On precious metals net line items in quantitative expression are converted into rubles on the book price established by the Bank of Russia for date of implementation of calculation.

1.10.3. The balancing line item in rubles is calculated as difference between the absolute amount of all short open foreign exchange positions in ruble assessment and the absolute amount of all long open foreign exchange positions in ruble assessment.

1.11. The amount of open foreign exchange positions in separate foreign currencies and separate precious metals is calculated as the amount of all long open foreign exchange positions in separate foreign currencies and separate precious metals (including the balancing line item in rubles if it long) which shall be equal (in absolute expression) to the amount of all short open foreign exchange positions in separate foreign currencies and separate precious metals (including the balancing line item in rubles if it short).

Chapter 2. Sizes (limits) of open foreign exchange position and control of credit institutions of their observance

2.1. For the purpose of restriction of currency risk of credit institutions the following sizes (limits) of open foreign exchange positions are established.

2.1.1. The amount of all long (short) open foreign exchange positions in separate foreign currencies and separate precious metals daily shall not exceed 20 percent from own means (capital) of credit institution.

2.1.2. Any long (short) open foreign exchange position in separate foreign currencies and separate precious metals, and also the balancing line item in rubles daily shall not exceed 10 percent from own means (capital) of credit institution.

2.2. Regulation of open foreign exchange positions with use of transactions of purchase and sale of foreign currency and (or) other transactions with financial instruments in foreign currency, and (or) transactions with precious metals is allowed if there are all bases to believe that the corresponding transaction will be performed or there are no reasons interfering its execution.

2.3. The credit institutions having branches, and the large credit institutions with wide network of divisions carried to those for the purpose of creation of the reporting according to the Instruction of the Bank of Russia of April 10, 2023 No. 6406-U "About forms, terms, procedure for creation and submission of the reporting of credit institutions (banking groups) to the Central bank of the Russian Federation, and also of the list of information on activities of credit institutions (banking groups)" (it is registered by the Ministry of Justice of the Russian Federation on August 16, 2023, registration No. 74823) (further - the Instruction of the Bank of Russia No. 6406-U), independently exercise control of the sizes (limits) of open foreign exchange positions taking into account the following.

2.3.1. One of methods of control of the sizes (limits) of the head offices and branches of credit institutions opened foreign exchange positions is establishment of sublimits by credit institutions on open foreign exchange positions of head offices and branches. Sublimits can be established as in percentage terms from the size of own means (capital) of credit institution, and in absolute expression. Distribution of sublimits between branches of credit institutions is performed by head offices of credit institutions within the restrictions provided by subitems 2.1.1 and 2.1.2 of Item 2.1 of this Instruction.

2.3.2. The credit institutions having branches and large credit institutions with wide network of divisions are developed and approve the internal documents determining procedure for control from head offices of sublimits of open foreign exchange positions of branches of credit institutions.

2.4. Credit institutions shall observe the sizes (limits) of open foreign exchange positions established by subitems 2.1.1 and 2.1.2 of Item 2.1 of this Instruction daily. The method of control of daily observance of the sizes (limits) of open foreign exchange positions by credit institutions is determined taking into account requirements of the Provision of the Bank of Russia of December 16, 2003 No. 242-P "About the organization of internal control in credit institutions and banking groups", No. registered by the Ministry of Justice of the Russian Federation on January 27, 2004 5489, on December 22, 2004 No. 6222, on March 20, 2009 No. 13547, on June 30, 2014 No. 32913 ("the Bulletin of the Bank of Russia" of February 4, 2004 No. 7, of December 31, 2004 No. 74, of April 1, 2009 No. 21, of July 9, 2014 No. 63).

Exceeding of the established sizes (limits) of open foreign exchange positions cannot be postponed by credit institutions to the next operational day.

The credit institutions performing transactions during week-end and non-working holidays, shall observe the sizes (limits) of open foreign exchange positions these days.

2.5. The credit institutions having licenses of the Bank of Russia for banking operations with means in rubles and foreign currency and (or) the license of the Bank of Russia for attraction in deposits and placement of precious metals provide observance of the sizes (limits) of open foreign exchange positions, since date of the first transaction (transaction) with financial instruments in foreign currency or precious metal, and also in rubles which size depends on change in the exchange rate of foreign currency or book price on precious metals, and also receipts of foreign currency in payment of the authorized capital.

2.6. The credit institutions which do not have the license of the Bank of Russia for banking operations with means in rubles and foreign currency and (or) the license of the Bank of Russia for attraction in deposits and placement of precious metals provide observance of the sizes (limits) of open foreign exchange positions, since receipt date of foreign currency in payment of the authorized capital and (or) making of transactions with bonds of internal state currency bonded loan and (or) financial instrument transactions in rubles which size depends on change in the exchange rate of foreign currency and book price on precious metals.

2.7. Credit institutions constitute and submit reports on the sizes (limits) of open foreign exchange positions on form of the reporting 0409634 "The report on open foreign exchange positions" (further - form 0409634) according to the procedure, established by appendix 1 to the Instruction of the Bank of Russia No. 6406-U.

2.8. Credit institutions which size of own means (capital) accepts negative value constitute and submit reports on the sizes (limits) of open foreign exchange positions according to requirements of this Chapter. In the report on form 0409634 negative value of the capital is specified, sizes of open foreign exchange positions percentage of own means (capital) and limits of open foreign exchange positions percentage of own means (capital) are not calculated.

Chapter 3. Bases and procedure for establishment of control values of the sizes (limits) for open foreign exchange positions

3.1. Establishment by authorized structural divisions of the Bank of Russia of control values of the sizes (limits) of open foreign exchange positions is understood as establishment of values of the sizes (limits) of open foreign exchange positions for quarter dates which allows to provide uniform reduction of values of the broken sizes (limits) of open foreign exchange positions to the established value.

Authorized structural divisions of the Bank of Russia can establish to credit institutions according to their petitions in case of exceeding of the sizes (limits) of open foreign exchange positions them (including predicted) control values of the sizes (limits) of open foreign exchange positions of the bases listed in Item 3.2 of this Instruction provided that there is direct cause and effect relationship between emergence of the basis and violation of the sizes (limits) of open foreign exchange positions by credit institution.

3.2. The bases for establishment of control values of the sizes (limits) of open foreign exchange positions are:

change of calculation procedure by the Bank of Russia of the sizes (limits) of open foreign exchange positions;

change of calculation procedure by the Bank of Russia of own means (capital) of credit institutions.

3.3. Establishment of control values of the sizes (limits) of open foreign exchange positions is performed in the following procedure.

3.3.1. In case of violation of the sizes (limits) of open foreign exchange positions of the bases listed in Item 3.2 of this Instruction, the credit institution can send to authorized structural division of the Bank of Russia the petition for establishment of control values of the sizes (limits) of open foreign exchange positions constituted in any form and signed by sole executive body of credit institution or his deputy, representatives to sign the reporting, the chief accountant or person replacing it.

3.3.2. The authorized structural division of the Bank of Russia considers the petition and within 10 working days from the date of receipt of the petition sends to credit institution the decision on establishment or refusal in establishment of control values of the sizes (limits) of open foreign exchange positions. If this decision is positive, the authorized structural division of the Bank of Russia sends to credit institution also information on control values of the sizes (limits) of open foreign exchange positions and term for which they are established.

The term for which the authorized structural division of the Bank of Russia establishes credit institution control values of the sizes (limits) of open foreign exchange positions cannot exceed one calendar year from the date of their enforcement.

Chapter 4. Features of implementation of supervision by the Bank of Russia of observance of the sizes (limits) of open foreign exchange positions by credit institutions

4.1. Authorized structural divisions of the Bank of Russia exercise supervision of observance of the sizes (limits) of open foreign exchange positions by credit institutions on the basis:

data of the reporting under forms 0409101 "The turnover sheet on accounts of financial accounting of credit institution" and 0409123 "Calculation of own means (capital) (Basel III)" appendices 1 to the Instruction of the Bank of Russia No. 6406-U i of form 0409634, represented by credit institutions as of the first, following reporting;

this to the reporting represented by credit institutions upon the demand of the Bank of Russia for intra monthly date (intra monthly dates) in form 0409634;

these checks performed by the Bank of Russia (his authorized representatives) according to article 73 of the Federal Law No. 86-FZ.

4.2. The Bank of Russia applies to credit institutions of measure according to article 74 of the Federal Law No. 86-FZ in case of exceeding of the sizes (limits) of open foreign exchange positions in separate foreign currencies and separate precious metals, and also the balancing line item in rubles and the amounts of open foreign exchange positions in separate foreign currencies and separate precious metals (including their control values) for 6 and more operational days in total during any 30 consecutive operational days.

Chapter 5. Final provisions

5.1. This Instruction becomes effective after 10 days after day of its official publication.

5.2. From the date of entry into force of this Instruction to recognize invalid:

The instruction of the Bank of Russia of July 15, 2005 No. 124-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions", registered by the Ministry of Justice of the Russian Federation on August 5, 2005 No. 6889 ("the Bulletin of the Bank of Russia" of August 19, 2005 No. 44);

Instruction of the Bank of Russia of June 1, 2007 No. 1832-U "About modification of the Instruction of the Bank of Russia of July 15, 2005 No. 124-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions", registered by the Ministry of Justice of the Russian Federation on June 26, 2007 No. 9703 ("the Bulletin of the Bank of Russia" of July 4, 2007 No. 38);

Instruction of the Bank of Russia of November 14, 2007 No. 1906-U "About modification of subitem 1.8.2 of Item 1.8 of the Instruction of the Bank of Russia of July 15, 2005 No. 124-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions", registered by the Ministry of Justice of the Russian Federation on December 6, 2007 No. 10636 ("the Bulletin of the Bank of Russia" of December 17, 2007 No. 69);

Instruction of the Bank of Russia of April 28, 2012 No. 2811-U "About modification of the Instruction of the Bank of Russia of July 15, 2005 No. 124-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions", registered by the Ministry of Justice of the Russian Federation on May 18, 2012 No. 24222 ("the Bulletin of the Bank of Russia" of May 25, 2012 No. 27);

Instruction of the Bank of Russia of September 1, 2015 No. 3767-U "About modification of Item 1.1 of the Instruction of the Bank of Russia of July 15, 2005 No. 124-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions", registered by the Ministry of Justice of the Russian Federation on September 29, 2015 No. 39058 ("the Bulletin of the Bank of Russia" of October 12, 2015 No. 86).

Appendix

to the Instruction of the Bank of Russia of December 28, 2016 No. 178-I "About establishment of the sizes (limits) of open foreign exchange positions, technique of their calculation and features of implementation of supervision of their observance by credit institutions"

Example of use of method of quantitative assessment for calculation of size of coefficient the delta

For calculation of size of coefficient the delta of the euro option by method of quantitative assessment the credit institution uses Black-Scholes model which according to accounting policy of credit institution is applied to calculation of fair value of options of this type.

Calculation of coefficient the delta is perfromed as follows.

1. Calculation of size d for formula is made:

 

where:

S - current market value of basic (basic) asset of the option;

K - the cost of basic (basic) asset of the option defined by the agreement;

T - time which remained to option exercise;

the delta - volatility (imputed volatility) of the cost of basic (basic) asset of the option;

rd - continuously charged risk-free rate in settlement currency;

rf - continuously charged risk-free rate in currency of basic (basic) asset.

2. According to purchase options (call options) coefficient the delta is determined by the following formula:

 

where:

N(x) - function of standard normal distribution.

3. On options for sale (put options) coefficient the delta is determined by the following formula:

 

The credit institution acquired the call option for purchase of US dollars for rubles with the following conditions:

the official rate of the Bank of Russia constitutes 52, the 5th ruble for one US dollar;

future rate (option exercise rate) in the amount of 54, 3 rubles for one US dollar is defined by the agreement;

completion date of the option - 3 months (0,25 of year);

the volatility size (imputed volatility) of ruble exchange rate in relation to US dollar is accepted to equal 23 percent;

continuously charged risk-free rate on ruble is accepted by equal 13,5 of annual interest rates;

continuously charged risk-free rate on US dollars is accepted by equal 0,14 of annual interest rates.

The credit institution perfroms calculation of size d:

 

Further calculation of coefficient the delta for the purchase option is perfromed:

 

 

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