open source qr code reader vb.net Calculation of Positions in Software

Creating USS Code 128 in Software Calculation of Positions

Calculation of Positions
Code 128 Decoder In None
Using Barcode Control SDK for Software Control to generate, create, read, scan barcode image in Software applications.
Draw Code 128 Code Set B In None
Using Barcode printer for Software Control to generate, create USS Code 128 image in Software applications.
Derivatives should be converted into positions in the relevant underlying instruments (see Table 2-7) and become subject to specific and general market risk charges as previously described. In order to calculate the standard formula as previously described, the amounts reported should be the market value of the principal amount of the underlying instrument or of the notional underlying instrument. When the apparent notional amount of the instrument differs from the effective notional amount, banks must use the effective notional amount.
Code 128C Scanner In None
Using Barcode recognizer for Software Control to read, scan read, scan image in Software applications.
Generating Code 128A In C#
Using Barcode maker for VS .NET Control to generate, create Code 128 Code Set C image in .NET applications.
Futures and forward contracts, including forward rate agreements, are treated as a combination of a long and a short position in a notional government security. The maturity of a future or an FRA will be the period until delivery or exercise of the contract, plus (where applicable) the life of the underlying instrument. For example, a long position in a June three-month interest-rate future (taken in April) is to be reported as a long position in a government security with a maturity of five months and a short position in a government security with a maturity of two months. Where a range of deliverable instruments may be delivered to fulfill the contract, the bank has flexibility to elect which deliverable security goes into the maturity or duration ladder but should take account of any conversion factor defined
USS Code 128 Generation In Visual Studio .NET
Using Barcode generator for ASP.NET Control to generate, create Code 128 image in ASP.NET applications.
Printing Code128 In VS .NET
Using Barcode creation for VS .NET Control to generate, create Code 128B image in Visual Studio .NET applications.
T A B L E 2-7
Code 128B Generator In VB.NET
Using Barcode creator for .NET framework Control to generate, create Code 128 Code Set B image in .NET framework applications.
Print Code-39 In None
Using Barcode encoder for Software Control to generate, create Code 3 of 9 image in Software applications.
Summary of Treatment of Interest-Rate Derivatives
Bar Code Encoder In None
Using Barcode creator for Software Control to generate, create bar code image in Software applications.
Encoding Code 128 In None
Using Barcode drawer for Software Control to generate, create Code128 image in Software applications.
Instrument Exchange-traded future Government debt security Corporate debt security Index on interest rates (e.g., LIBOR) OTC forward Government debt security Corporate debt security Index on interest rates (e.g., LIBOR) FRAs, swaps Forward foreign exchange Options Government debt security
GTIN - 13 Generation In None
Using Barcode maker for Software Control to generate, create EAN / UCC - 13 image in Software applications.
Paint UPC Code In None
Using Barcode encoder for Software Control to generate, create UPC-A image in Software applications.
Specific Risk Charge*
Making EAN8 In None
Using Barcode generator for Software Control to generate, create EAN 8 image in Software applications.
Paint Bar Code In C#.NET
Using Barcode drawer for .NET framework Control to generate, create barcode image in Visual Studio .NET applications.
General Market Risk Charge
UPCA Scanner In VB.NET
Using Barcode recognizer for .NET framework Control to read, scan read, scan image in VS .NET applications.
Code-128 Decoder In None
Using Barcode scanner for Software Control to read, scan read, scan image in Software applications.
No Yes No
Barcode Generator In Java
Using Barcode encoder for Java Control to generate, create barcode image in Java applications.
Make Code 128B In Java
Using Barcode creation for BIRT Control to generate, create Code 128A image in BIRT reports applications.
Yes, as two positions Yes, as two positions Yes, as two positions
Painting Barcode In Objective-C
Using Barcode generation for iPhone Control to generate, create barcode image in iPhone applications.
Making Universal Product Code Version A In None
Using Barcode generator for Online Control to generate, create UPC-A Supplement 5 image in Online applications.
No Yes No No No
Yes, as two positions Yes, as two positions Yes, as two positions Yes, as two positions Yes, as one position in each currency
Either: Carve out together with the associated hedging positions: Simplified approach Scenario analysis Internal models
Corporate debt security Index on interest rates FRAs, swaps
Yes No No
General market risk change according to the delta-plus method (gamma and vega should receive separate capital charges)
*This is the specific risk charge relating to the issuer of the instrument. Under the existing credit risk rules, there remains a separate capital charge for the counterparty risk.
by the exchange. In the case of a future on a corporate bond index, positions are included at the market value of the notional underlying portfolio of securities. Swaps are treated as two notional positions in government securities with relevant maturities. For example, an interest-rate swap under which a bank receives floating-rate interest and pays fixed-rate interest is treated as a long position in a floating-rate instrument of maturity equivalent to the period until the next interest fixing and a short position in a fixed-rate instrument of
Market Risk
maturity equivalent to the residual life of the swap. For swaps that pay or receive a fixed or floating interest rate against some other reference price (e.g., a stock index), the interest-rate component should be slotted into the appropriate repricing maturity category, with the equity component being included in the equity framework. The separate legs of cross-currency swaps are to be reported in the relevant maturity ladders for the currencies concerned.
Calculation of Capital Charges for Derivatives Under the Standardized Methodology
Matched positions may be offset if certain conditions are fulfilled. Banks may exclude from the interest-rate maturity framework altogether (for both specific and general market risk) long and short positions (both actual and notional) in identical instruments with exactly the same issuer, coupon, currency, and maturity. A matched position in a future or forward and its corresponding underlying instrument may also be fully offset, and thus excluded from the calculation; however, the leg representing the time to expiry of the future should be reported. When the future or the forward comprises a range of deliverable instruments, offsetting of positions in the future or forward contract and its underlying instrument is permissible only in cases in which there is a readily identifiable underlying security that is the most profitable for the short-position trader to deliver. The price of this security sometimes called the cheapest to deliver and the price of the future or forward contract should, in such cases, move in close alignment. No offsetting is allowed between positions in different currencies; the separate legs of cross-currency swaps or forward foreign-exchange deals are to be treated as notional positions in the relevant instruments and included in the appropriate calculation for each currency. In addition, opposite positions in the same category of instruments can, in certain circumstances, be regarded as matched and allowed to offset fully. To qualify for this treatment, the positions must relate to the same underlying instruments,89 be of the same nominal value, and be denominated in the same currency.90 In addition, the following conditions have to be considered for the calculation of the regulatory risk exposure:
Futures. Offsetting positions in the notional or underlying instruments to which the futures contract relates must be for identical products and must mature within seven days of each other. Swaps and FRAs. The reference rate (for floating-rate positions) must be identical, and the coupon must be closely matched (i.e., within 15 basis points).
Swaps, FRAs, and forwards. The next interest-fixing date or, for fixed coupon positions or forwards, the residual maturity must correspond within the following limits: Less than one month hence same day One month to one year hence within seven days Over one year hence within 30 days
Banks with large swap books may use alternative formulas for these swaps to calculate the positions to be included in the maturity or duration ladder. One method would be to first convert the payments required by the swap into their present values. For this purpose, each payment should be discounted using zero-coupon yields, and a single net figure for the present value of the cash flows should be entered into the appropriate time band, using procedures that apply to zero- (or low-) coupon bonds; these figures should be slotted into the general market risk framework as set out earlier. An alternative method would be to calculate the sensitivity of the net present value implied by the change in yield used in the maturity or duration method and allocate these sensitivities into the time bands. Other methods that produce similar results could also be used. Such alternative treatments will, however, be allowed only if:
The supervisory authority is fully satisfied with the accuracy of the systems being used. The positions calculated fully reflect the sensitivity of the cash flows to interest-rate changes and are entered into the appropriate time bands. The positions are denominated in the same currency.
Interest-rate and currency swaps, FRAs, forward foreign-exchange contracts, and interest-rate futures are not subject to a specific risk charge. This exemption also applies to futures on an interest-rate index (e.g., LIBOR). However, in the case of futures contracts where the underlying instrument is a debt security, or an index representing a basket of debt securities, a specific risk charge will apply according to the credit risk of the issuer, as set out in the preceding paragraphs. General market risk applies to positions in all derivative products in the same manner as for cash positions, subject only to an exemption for fully or very closely matched positions in identical instruments as defined. The various categories of instruments should be slotted into the maturity ladder and treated according to the rules identified earlier. 2.7.3 Equity Position Risk To determine the capital requirements for equity price risks, all positions in equities and derivatives, as well as positions whose behavior is similar to equities (hereinafter these are referred to as equities) are to be included.
Copyright © OnBarcode.com . All rights reserved.