Methodological Instruction of the Banking Supervision Division No. 1/2003 in relation to
the Decree of the National Bank of Slovakia No. 6 dated 12 December 2002 on the
adequacy of banks‘ own funds of financing (hereinafter the „Decree“)
A: The calculation of the theoretical prices (real prices) of selected term transaction
executed in the over-the-counter market
A standard for calculating theoretical prices in accordance with the wording of § 12 of the
Decree is embodied in the procedure given in sections A1 and A2. All the relations given for
the calculation of theoretical prices are illustrative, based on the principle of calculating the
present value of future cash flows by way of discrete discounting. Continuous discounting
relations will be applied where allowed so by the nature of the relation and the software
system. All the relations for calculating forward rates (forward interest rates and forward
exchange rates for foreign currencies) are based on the principle of an non-arbitrary
investment opportunity, where, if allowed so by the nature of the relation and the software
system, their equivalents using continuous discounting will be applied.
A1. Theoretical price of forwards
A theoretical price of a forward rate agreement, an interest rate forward, a foreign-exchange
forward and an equity forward is the difference between the real price of an off-balance-sheet
claim and the real price of an off-balance-sheet liability. This difference originates from the
revaluation of an underlying asset at a market price, a price offered by market makers or a
theoretical price stemming from the given forward, which is generally determined by the
following relation:
P
F
t

1  r  
B

or
P  S0 
P
Fdeal
t

1  r  
B

Fdeal
t

1  r  
B

 S0
where a purchase of the underlying asset is involved, or
where a sale of the underlying asset is involved
for forwards with maturity of up to one year, where
P – a forward theoretical price,
S0 – a spot price (value) of the underlying asset as of the given date,
 F = F0 – Fdeal where a purchase of the underlying asset is involved,
 F = Fdeal – F0 where a sale of the underlying asset is involved,
F0 – a forward price (value) of the underlying asset as of the given date,
Fdeal – an agreed forward price (value) of the underlying asset,
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t – days to maturity of the forward,
r – a spot reference interest rate in the inter-bank money market for a “t” period,
B – calendar year base in days,
or
P
F
1  R T
or
P  S0 
P
Fdeal
1  R T
Fdeal
1  R T
 S0
where a purchase of the underlying asset is involved, or
where a sale of the underlying asset is involved
for forwards with maturity of one year and above, where
T – years to maturity of the forward (may also attain a non-integer value),
R – the yield to maturity of a zero-coupon debt security, the yield to maturity of a reference
debt security or a swap interest rate (depending on the data available) for a “T” period.
A1a. Theoretical price of a forward rate agreement (FRA)
As regards a FRA, the following holds true:
F0  N  rfra 
t fra
B
and
Fdeal  N  rdeal 
t fra
B
where
N – an agreed principal,
rdeal – an agreed forward interest rate,
rfra – a forward interest rate on the given date,
tfra – a FRA period in days.
In the event that rfra cannot be obtained from the market, it is possible to derive it from the
relation:
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rfra 
t  r  t*  r*

t* 
1  r *    t fra
B

where
t* - the number of days till the FRA settlement date,
r* - a spot reference interest rate in the inter-bank money market for a “t*” period.
A1b. Theoretical price of an interest rate forward (forward purchase or sale of debt security)
As regards an interest rate forward, the following holds true:
S0 – a market price, a price offered by a market maker or a theoretical price of the debt
security on the given date,
Fdeal – an agreed price of the debt security.
A1c. Theoretical price of an equity forward
S0 – a market price or a price of the share offered by the market maker on the given date,
Fdeal – an agreed price of the share.
A1d. Theoretical price of a foreign-exchange forward (FX forward)
As regards FX forwards, the following holds true:
F0  N  FR0
and
Fdeal  N  FRdeal
where
N – an agreed volume of the foreign currency to be purchased or sold,
FR0 – a forward rate of the foreign currency to be purchased or sold on the given date,
FRdeal – an agreed forward rate of the foreign currency to be purchased or sold.
In the event that the FR0 cannot be obtained from the market, it is possible to derive it from
the relation:

1  rd
FR0  SR0  

1  r f





t 

B f 

t
Bd
where
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SR0 – a spot rate of the foreign currency to be purchased or sold on the given date,
rd – a spot reference interest rate for the local currency in the inter-bank money market for a
“t” period,
rf – a spot reference interest rate for a foreign currency in the inter-bank money market for a
“t” period,
Bd – the calendar year base for the local currency in days,
Bf – the calendar year base for the foreign currency in days.
Then it holds true for the FX forward:
P
F

t 
1  rd 

B
d 

,
which means that in determining the present value, an interest rate for the local currency will
be used.
A2. Theoretical price of swaps
A theoretical price of a single currency floating/floating interest rate swap, a single currency
floating/fixed interest rate swap, a foreign-exchange swap, a currency fixed/fixed interest rate
swap and of a cross currency floating/fixed or floating/floating interest rate swap is the
difference between the sum of real prices of off-balance-sheet claims and the sum of real
prices of off-balance-sheet liabilities arising from the given swap. This difference is due to the
revaluation of the underlying assets at a market price, a price offered by market makers or a
theoretical price, which is determined by a generalised relation for calculating a forward
theoretical price stated in Section A1:


 F 
i

P  
t

i 
i 1
 1  ri  
B

m
or


 F

deal ,i

P  m  S0   
ti 
i 1 
 1  ri  
B

where a purchase of the underlying assets is involved, or


 F

deal ,i

  m  S0
P
t


i
i 1
 1  ri  
B

where a sale of the underlying assets is involved
m
m
for swaps with the maturity of individual payments of up to one year, where
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P – a theoretical price of the swap,
S0 – a spot price (value) of the underlying assets on the given date,
 Fi = (F0 – Fdeal)i = F0, i – Fdeal, i where a purchase of the underlying assets is involved,
 Fi = (Fdeal – F0)i = Fdeal, i – F0, i where a sale of the underlying assets is involved,
F0, i – a forward price (value) of the underlying assets on the given date for the ith payment,
Fdeal, i – an agreed forward price (value) of the underlying assets for the ith payment,
ti – the length of time to maturity of the ith swap payment,
ri – a spot reference interest rate in the inter-bank money market for a “t” periodi,
i = 1, 2, ..., m,
B – the calendar year base in days,
or
m 
Fi
P   
Ti
i 1  (1  Ri )




or
m 
Fdeal,i
P  m  S 0   
Ti
i 1  (1  Ri )
m 
Fdeal,i
P   
Ti
i 1  (1  Ri )

 where a purchase of the underlying assets is involved, or



  m  S0


where a sale of the underlying assets is involved
for swaps with maturity of one year and above, where
Ti – years to maturity of the ith swap payment (may also attain a non-integer value),
Ri – the yield to maturity of a zero-coupon debt security, the yield to maturity of a reference
debt security or a swap interest rate (depending on the data available) for a Ti period.
A2a. Theoretical price of an interest rate swap (single currency floating/fixed interest rate
swap)
The following holds true for an interest rate swap (like for a FRA):
F0,i  N  rswap,i 
t swap,i
B
and
Fdeal,i  N  rdeal,i 
t swap,i
B
where
N – an agreed principal,
rswap, i – a swap interest rate for the the ith swap payment on the given date,
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rdeal, i – an agreed swap interest rate for the ith swap payment,
tswap, i – the length of the ith interest period in days.
In the event that rswap, i cannot be obtained from the market, it is possible to derive it (like in
the case of a FRA) through the relation:
rswap,i 
t i  ri  t i 1  ri 1
.
t i 1 

1  ri 1 
  t swap,i
B 

A2b. Theoretical price of a single currency floating/floating interest rate swap
In calculating a theoretical price of a single currency floating/floating interest rate swap, the
procedure for calculating a theoretical price of an interest rate swap will be used where
appropriate, in accordance with the definition under the Decree, whereas:
 Fi = (F0A – F0B)i = F0A, i – F0B, i,
F0A, i – a forward price (value) of the underlying asset of the „A“ swap leg for the i th payment
on the given date,
F0B, i – a forward price (value) of the underlying asset of the „B“ swap leg for the i th payment
on the given date.
A2c. Theoretical price of a foreign-exchange swap
The following holds true for a foreign-exchange swap (like for a FX forward):
F0,i  N  FR0,i
and
Fdeal,i  N  FRdeal,i
where
N – an agreed volume of the foreign currency to be swapped (purchased or sold),
FR0, i – a forward rate of the foreign currency on the given date applicable to the ith swap,
FRdeal, i – a agreed forward rate of the foreign currency applicable to the ith swap.
In the event that the FR0, i cannot be obtained from the market, it is possible to derive it by
way of the relation for calculating the FR0 described in Section 1d. Then the following will
hold true for a foreign-exchange swap:


Fi
P  
t d ,i
i 1 
 1  rd ,i 
B

m


,



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which means that in determining the present value, an interest rate applicable to the local
currency will be used.
A2d. Theoretical price of a currency fixed/fixed interest rate swap
In calculating a theoretical price of a currency fixed/fixed interest rate swap, the procedures
for calculating theoretical prices of an interest rate swap and a foreign-exchange swap as
defined in the Decree will be used where appropriate, with the relations for calculating the
theoretical price of the foreign-exchange swap applying to the swapping of principal and the
relations for calculating the theoretical price of the interest rate swap applying, where
appropriate, to the swapping of interest payments.
A2e. Theoretical price of a cross currency floating/fixed or floating/floating interest rate
swap
In calculating a theoretical price of a cross currency floating/fixed or floating/floating interest
rate swap, the procedures for calculating theoretical prices of an interest rate swap, a single
currency floating/floating interest rate swap and a foreign-exchange swap as defined in the
Decree will be used where appropriate, with the relations for calculating the theoretical price
of the foreign-exchange swap applying to the swapping of principal and the relations for
calculating the theoretical price of the interest rate swap or the cross currency floating/fixed or
floating/floating interest rate swap applying, where appropriate, to the swapping of interest
payments.
B: Explanatory notes concerning the completion of a report on own funds (hereinafter
the „report“)
B1. Explanatory notes concerning the completion of Section 1 – Own funds
Individual lines of Section 1 of the report link up to accounts groups (hereinafter the
„AG“) according to the current chart of accounts applicable to banks.
Gross book values of liabilities and net book values of assets (the nominal values of
assets reduced by the respective values of provisions created) are to be filled in the lines.
The lines (hereinafter the „r“) will be completed as follows:
r1
r2
r3
r4
r5
r6
r7
r8
r9
r10
r11
r12
the difference of values stated in lines 2 and 7 (r2 – r7),
the sum of values stated in lines 3 through to 6,
the item „Equity capital“ in AG 56 reduced by the value of the item „Receivables from
shareholders and partners“ in AG 37,
the item „Reserve fund“ and a portion of the item „Other retained earnings“ in AG 55,
the item „Additional paid-in capital“ a the item „Other equity accounts“ in AG 56,
the item „Retained earnings“ in AG 57,
the sum of values stated in lines 8 through to 17,
the item „Unsettled loss from previous years“ in AG 57,
the item „Net income transit account“ in AG 59, if a loss was generated,
the item „Profit and loss account“ in AG 58, if there is a significant loss on the
account balance,
a portion of the item „Own shares“ in AG 56,
the difference between the amount of an obligation as per § 25(2), § 26(3) of the Act
No. 431/2002 Z. z. on Accounting and an obligation actually performed (a portion of
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r13
r14
r15
r16
r17
r18
r19
r20
r21
r22
r23
r24
r25
r28
r29
r30
r31
r32
r33
this obligation relating to the assets and liabilities is determined in the Report on the
classification of assets and liabilities, Section B – Classification of liabilities, in line
21),
the item „Incorporation costs“ reduced by a portion of the value of the items
„Accumulated amortization “ a „Provision on intangible assets“ in AG 47,
the item „Goodwill“, if the balance is positive, reduced by a portion of the item
„Accumulated amortization“ in AG 47,
not to be filled in,
the item „Software“ reduced by a portion of the value of the items „Accumulated
amortization“ and „Provision on intangible assets “ in AG 47,
a portion of the item „Equity securities and investments in business entities with a
controlling influence“ and a portion of the item „Equity securities and investments in
business entities with a significant influence“ reduced by the value of the item
„Provision on financial investments“ in AG 41,
the sum of values stated in lines 19 and 20,
a portion of the item „Reserves“ in AG 54,
a portion of the item „Loans and deposits received from banks“ and a portion of the
item „ Loans and deposits received from non-banking entities“ in AG 53,
the sum of values stated in lines 1 and 18,
the sum of values stated in lines 23 and 24,
respective parts of the items „Equity securities and investments in business entities
with a controlling influence“ and „Equity securities and investments in business
entities with a significant influence“ reduced by the value of the item „Provision on
financial investments“ in AG 41,
respective parts of the items „Equity securities and investments in business entities
with a controlling influence“ and „Equity securities and investments in business
entities with a significant influence“ reduced by the value of the item „Provision on
financial investments“ in AG 41,
the difference of the values stated in lines 21 and 22 (r21 – r22); this difference equals
the sum of values stated in lines 26 and 27,
the sum of values stated in lines 29 through to 31,
a portion of the item „ Reserves“ in AG 54,
a portion of the item „Loans and deposits received from banks “ and a portion of the
item „Loans and deposits received from non-banking entities “ in AG 53,
a portion of the item „Loans and deposits received from banks “ and a portion of the
item „Loans and deposits received from non-banking entities“ in AG 53,
the sum of values stated in lines 27 and 28,
the sum of values stated in lines 26 and 32; this sum equals the sum of the values
stated in lines 25 and 28.
B2. Explanatory notes concerning the completion of Section 2 – Itemisation of Reserves
and other retained earnings
Individual lines of section 2 of the report link up to accounts groups (hereinafter the
„AG“) according to the current chart of accounts applicable to banks.
Gross book values of liabilities are to be filled in the lines.
The lines (hereinafter the „r“) are to be completed as follows:
r1
r14
a portion of the item „Reserves“ in AG 54,
a portion of the item „Reserves“ in AG 54,
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r21
the item „Other retained earnings“ in AG 55.
C: Explanatory notes concerning the completion of a report on the adequacy of own
funds (hereinafter the „report“)
C1. Explanatory notes concerning the completion of Section 1 – Risk-weighted assets
Section 1 of the report is to be completed for the portfolio of assets not on the trading
book.
Individual lines of Section 1 of the report link up to accounts groups (hereinafter the
„AG“) according to the current chart of accounts applicable to banks.
In individual lines of column 1 there are be filled in net book values of the assets
(nominal values of the assets reduced by the respective values of provisions created) and the
values of credit equivalents. The value in line 139, column 1, is not to be filled in.
In individual lines of column 2 there are to be completed the values stated in column
1, weighted at risk weights as per § 9 of the Decree. The value in line 139, column 2, is the
sum of the values stated in the subtotal lines 1, 2, 9, 16, 23, 30, 37, 44, 45, 46, 53, 60, 67, 74,
75, 82, 89, 96, 103, 110, 118, 125, 126, 133, 134, 135, 136, 137 and 138.
The assets are grouped by the same risk weight and they are divided into no more than
five groups:
a) direct claims – it is the claims against persons with the same risk weight (such as
banks), where a reporting bank is the creditor,
b) securities – the securities belong to a bank compiling the report,
c) secured claims are the relevant items in AG 13, AG 21, AG 23, AG 24 and AG 28 –
these are the claims against persons with a higher risk weight than is the risk from claims
against persons reported in the respective group, these persons are not debtors to a reporting
bank as regards these claims, they only secure them (for example, having issued a bank
guarantee on behalf of the reporting bank’s client),
d) direct off-balance-sheet items are the relevant items of the accounts class 9 – these
are off-balance-sheet items against persons who are reported within the respective group (for
example, where a reporting bank has issued a bank guarantee on behalf of another bank – its
correspondent),
e) secured off-balance-sheet items are the relevant items of the accounts class 9 – for
example, if a reporting bank has issued a bank guarantee on behalf of its client and received a
guarantee in his favour from another bank (a reporting bank has undertaken to perform to the
creditor of its client, should the client not meet his obligation to the creditor, due to which a
claim will arise for the reporting bank against the client, and another bank has undertaken to
perform on behalf of the client to the reporting bank, should the client not discharge his
obligation to the reporting bank).
The lines (hereinafter the „r“) are to be completed as follows:
r1
the item „Cash“, a portion of the item „Gold“ and the item „Other cash equivalents “
in AG 11,
r3
respective parts of the items „Short-term loans“, „Long-term loans“ and „Other
receivables from clients“ in AG 21,
9/15
respective parts of the items „Standard loans with qualification and other claims on
standard loans with qualification“, „Non-standard loans and other claims on nonstandard loans, „Dubious and controversial loans and other claims on dubious and
controversial loans“, „Bad loans and other claims on bad loans“ and „Other
receivables from clients“ reduced by the value of a portion of the items „Provision on
classified loans and other receivables“ in AG 24,
the items „Loans to government authorities“, „Extra-budgetary funds deposited by
government authorities“ (only a debit balance) and „Standard loans with qualification,
classified loans and other items“ reduced by the value of a portion of the item
„Provision on classified loans and other receivables“ in AG 28,
respective parts of the items „Miscellaneous debtors“ and „Clearing with the state
budget“ (only a debit balance) reduced by the value of a portion of the item „Provision
on claims“ in AG 34,
r4
r17
respective parts of the items „Current accounts with the National Bank of Slovakia
and foreign issuing banks“ (only a debit balance), „Cash reserve accounts with the
National Bank of Slovakia“, „Term deposits in the National Bank of Slovakia and
foreign issuing banks“, „Loans to the National Bank of Slovakia and foreign issuing
banks“ and „Cash letter accounts “ in AG 12,
a portion of the item „Other investment securities“ reduced by the value of a portion
of the item „Provision on financial investments“ in AG 41,
respective parts of the items „Short-term loans“, „Long-term loans“ and „Other
receivables from clients“ in AG 21,
respective parts of the items „Standard loans with qualification and other claims on
standard loans with qualification“, „Non-standard loans and other claims on nonstandard loans, „Dubious and controversial loans and other claims on dubious and
controversial loans“, „Bad loans and other claims on bad loans“ and „Other
receivables from clients“ reduced by the value of a portion of the item „Provision on
classified loans and other receivables“ in AG 24,
respective parts of the items „Current accounts with the National Bank of Slovakia
and foreign issuing banks“ (only a debit balance), „Term deposits in the National
Bank of Slovakia and foreign issuing banks“, „Loans to the National Bank of Slovakia
and foreign issuing banks“ and „Cash letter accounts “ in AG 12,
r18
a portion of the item „Other investment securities“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
r44
the item „Clearing with the Social Insurance Company, health insurance companies
and the National Labour Office“ (only a debit balance) in AG 34,
r45
the values stated in lines 11, 13, 14, 16, 17 and 22, Section 1 – Own funds of the
Report on own funds,
r47
respective parts of the items „Current accounts with banks “ (only a debit balance),
„Term deposits in banks“, „Provided loans“, „Current accounts of other banks “ (only
a debit balance), „Standard loans, deposits with qualification, classified loans, deposits
10/15
and other receivables“ and „Other claims “ reduced by the value of a portion of the
item „Provision on classified loans, deposits and other receivables“ in AG 13,
r48
respective parts of the items „Other zero-coupon bonds held to maturity“ and
„Coupon bonds held to maturity“, „Notes held to maturity“ reduced by the value of a
portion of the item „Provision on financial investments“ in AG 41,
r54
respective parts of the items „Current accounts with banks“ (only a debit balance),
„Term deposits in banks“, „Provided loans“, „Current accounts of other banks “ (only
a debit balance), „Standard loans, deposits with qualification, classified loans, deposits
and other receivables“ and „Other receivables“ reduced by the value of a portion of
the item „Provision on classified loans, deposits and other receivables“ in AG 13,
r55
respective parts of the items „Other zero-coupon bonds held to maturity“ and
„Coupon bonds held to maturity“, „Notes held to maturity “ reduced by the value of a
portion of the item „Provision on financial investments “ in AG 41,
r61
respective parts of the items „Current accounts with banks“ (only a debit balance),
„Term deposits in banks“, „Provided loans“, „Current accounts of other banks “ (only
a debit balance), „Standard loans, deposits with qualification, classified loans, deposits
and other receivables“ and „Other receivables“ reduced by the value of a portion of
the item „Provision on classified loans, deposits and other receivables“ in AG 13,
r62
respective parts of the items „Other zero-coupon bonds held to maturity“ and „Coupon
bonds held to maturity“, „Notes held to maturity“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
r68
respective parts of the items „Current accounts with banks“ (only a debit balance),
„Term deposits in banks“, „Provided loans“, „Current accounts of other banks “ (only
a debit balance), „Standard loans, deposits with qualification, classified loans, deposits
and other receivables “ and „Other receivables“ reduced by the value of a portion of
the item „Provision on classified loans, deposits and other receivables“ in AG 13,
r69
respective parts of the items „Other zero-coupon bonds held to maturity“ and „Coupon
bonds held to maturity “, „Notes held to maturity“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
r90
respective parts of the items „Short-term loans“, „Long-term loans“ and „Other
receivables from clients “ in AG 21,
respective parts of the items „Standard loans with qualification and other claims on
standard loans with qualification“, „Non-standard loans and other claims on nonstandard loans, „Dubious and controversial loans and other claims on dubious and
controversial loans“, „Bad loans and other claims on bad loans“ and „Other
receivables from clients “ reduced by the value of a portion of the item „Provision on
classified loans and other receivables“ in AG 24,
r91
respective parts of the items „Other zero-coupon bonds held to maturity“ and „Coupon
bonds held to maturity“, „Notes held to maturity“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
11/15
r119
respective parts of the items „Loans to municipal authorities“ and „Funds deposited
by municipal authorities“ (only a debit balance) reduced by the value of a portion of
the item „Provision on classified loans and other receivables“ in AG 28,
r120
respective parts of the items „Other zero-coupon bonds held to maturity“ and „Coupon
bonds held to maturity“, „Notes held to maturity“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
r127
respective parts of the items „Current accounts with banks“ (only a debit balance),
„Term deposits in banks“, „Provided loans“, „Current accounts of other banks“ (only a
debit balance), „Standard loans, deposits with qualification, classified loans, deposits
and other receivables“ and „Other receivables “ reduced by the value of a portion of
the item „Provision on classified loans, deposits and other receivables“ in AG 13,
respective parts of the items „Short-term loans“, „Long-term loans“ and „Other
receivables from clients“ in AG 21,
respective parts of the items „Standard loans with qualification and other claims on
standard loans with qualification“, „Non-standard loans and other claims on nonstandard loans, „Dubious and controversial loans and other claims on dubious and
controversial loans“, „Bad loans and other claims on bad loans“ and „Other
receivables from clients“ reduced by the value of a portion of the item „Provision on
classified loans and other receivables“ in AG 24,
r128
respective parts of the items „Other zero-coupon bonds held to maturity“ and „Coupon
bonds held to maturity“, „Notes held to maturity“ reduced by the value of a portion of
the item „Provision on financial investments“ in AG 41,
Lines 5, 6, 10, 12, 14, 19, 20, 24, 26, 28, 31, 33, 35, 38, 40, 42, 49, 50, 56, 57, 63, 64,
70, 71, 76, 78, 80, 83, 85, 87, 92, 93, 97, 99, 101, 104, 106, 108, 111, 113, 115, 121 and 129
are not to be filled in.
C2. Explanatory notes concerning the completion of Section 2 – Credit equivalents of offbalance-sheet items as per § 10(1) of the Decree
Section 2 of the report is to be completed for the portfolio of receivables from
forwards and options that are not on the trading book, or are used to hedge positions not on
the trading book.
In column 1 there are to be filled in the values of receivables in the accounts group 95
– Claims and liabilities due to fixed forward operations and in the accounts group 96 – Claims
and liabilities due to option operations.
In column 2 there are to be filled in the theoretical prices of forwards and options
calculated in accordance with § 12 of the Decree.
In column 3 there are to filled in the credit equivalents of off-balance-sheet items
calculated in accordance with § 10(1) of the Decree.
The values in individual columns of line 1 are the sums of the values in lines 2, 3
and 4. Lines 5, 9, 13 and 17 are totals lines according to the pattern in line 1.
Line 21 is the sum of the values in lines 1, 5, 9, 13 and 17. Only the value of a credit
equivalent is to be filled in line 21.
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C3. Explanatory notes concerning the completion of Section 3 – Credit equivalents of offbalance-sheet items as per § 10(7) of the Decree
Section 3 of the report is to be completed for the portfolio of receivables not on the
trading book.
In column 1 there are to be filled in the values of receivables in the accounts group 91
– Claims and liabilities on future loans and advances (in lines 1 and 5), the accounts group 92
– Claims and liabilities on guarantees (in lines 4, 7, 8 and 11), the accounts group 93 – Claims
and liabilities on letters of credit (in lines 3, 6 and 12), the accounts group 94 – Claims and
liabilities on spot operations (in line 13), the accounts group 95 – Claims and liabilities on
fixed forward operations (in lines 2, 9 and 10) and the accounts group 96 – Claims and
liabilities on option operations (in line 2).
In column 2 there are to filled in the credit equivalents of off-balance-sheet items
calculated according to § 10(7) of the Decree.
Line 14 is the sum of the values in lines 1 through to 13. Only the value of the credit
equivalent is to be filled in line 14.
Line 15 is the sum of the values of credit equivalents in line 21 in Section 2 of the
report and the values of credit equivalents from line 14. Only the value of the credit
equivalent is to be filled in line 15.
C4. Explanatory notes concerning the completion of Section 4 – Specific risk due to debt
securities
Section 4 of the report is to be filled in for the portfolio of positions on the trading
book.
In completing this section, the wording of § 17 of the Decree is to be followed.
Line 1 expresses in the aggregate the schematic for calculating a specific risk due to
debt financial instruments for all currencies.
Column 1 expresses the aggregate value of a specific risk due to debt financial
instruments for all currencies (in line 1) and individual currencies (in other lines).
C5. Explanatory notes concerning the completion of Section 5 – General risk due to debt
financial instruments
Section 5 of the report is to be filled in for the portfolio of positions on the trading
book.
In completing this section, the wording of §§ 18 to 20 of the Decree is to be followed.
Line 1 expresses in the aggregate the schematic for calculating a general risk due to
debt financial instruments for all the currencies.
Column 1 expresses the aggregate value of a general risk due to debt financial
instruments for all currencies (in line 1) and in individual currencies (in other lines).
C6. Explanatory notes concerning the completion of Section 6 – Commodity risk
Section 6 of the report is to be filled in for the portfolio of positions on the trading
book.
In completing this section, the wording of the eleventh section of the Decree is to be
followed.
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Line 1 expresses in the aggregate the schematic for calculating a commodity risk for
all commodities. The aggregate value of the position in line 1, column 1 is not to be filled in.
The aggregate value of the commodity risk for all commodities in line 1 column 2 is the sum
of the values of the commodity risk in column 2, lines 4, 7, 10, 13, 16, 19, 22 and 25.
Column 1 expresses the values of commodity positions by individual commodities.
The values in column 1, lines 4, 7, 10, 13, 16, 19, 22 and 25 are not to be filled in.
Column 2 expresses the aggregate value of a commodity risk for all commodities (in
line 1) and by individual commodities in lines 4, 7, 10, 13, 16, 19, 22 and 25.
If the size of Section 6 of the report does not suffice, it can be extended for the
additional number of lines as needed.
C7. Explanatory notes concerning the completion of Section 7 – Adequacy of Own funds
In line 1 there will be stated the value of the indicator of adequacy of own funds
calculated in accordance with § 30(3) of the Act No. 483/2001 Z. z. on Banks and the
Modification and Amendment of Certain Laws. The value in line 1 equals the quotient of the
value in line 2 to the value in line 5.
In line 2 there will be stated the value of own funds calculated according to § 3 (1) of
the Decree. The value in line 2 equals the value of own funds stated in line 33, Section 1 –
Own funds of the Report on own funds. The value in line 2 equals the sum of the values in
lines 3 and 4. The value in line 2 is the numerator of the indicator of adequacy of own funds.
In line 5 there will be stated the sum of the values in lines 6 and 7. The value in line 5
is the denominator of the indicator of adequacy of own funds.
In line 6 there will be stated the aggregate value of risk weighted assets not on the
trading book, calculated in accordance with the third section of the Decree. The value in line 6
equals the value stated in line 139, column 2, Section 1 of this report – Risk weighted assets.
In line 7 there is to be given a 12.5 multiple of the sum of values of risks given in lines
8 through to 16.
The value in line 8 expresses the aggregate value of a deal settlement risk according to
the calculation schematic in § 13 of the Decree.
The value in line 9 expresses the aggregate value of a business partner risk according
to the calculation schematic in § 14 of the Decree.
The value in line 10 expresses the aggregate value of a risk due to forwards and
options according to the calculation schematic in § 15 of the Decree.
The value in line 11 expresses the aggregate value of a specific risk due to debt
financial instruments according to the calculation schematic in § 17 of the Decree. The value
in line 11 equals the values stated in line 1, column 1, Section 4 of this report – Specific risk
due to debt financial instruments.
The value in line 12 expresses the aggregate value of a specific risk due to shares
according to the calculation schematic in § 23(3) of the Decree.
The value in line 13 expresses the aggregate value of a general risk due to debt
financial instruments according to the calculation schematic in §§ 18 to 20 of the Decree. The
value in line 13 equals the value stated in line 1, column 1, Section 5 of this report – General
risk due to debt financial instruments.
The value in line 14 expresses the aggregate value of a general risk due to shares
according to the calculation schematic in § 23(4) of the Decree.
The value in line 15 expresses the aggregate value of foreign exchange risk according
to the calculation schematic in §§ 25 to 27 of the Decree.
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The value in line 16 expresses the aggregate value of commodity risk according to the
calculation schematic in § 29 of the Decree. The value in line 16 equals the value stated in
line 1, column 2, Section 6 of this report – Commodity risk.
Ing. Milan Horváth
Chief Executive Director
Banking Supervision Division
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