natgillin/translations-raw huggingface dataset:
Implied volatility shall be taken to be the value of the volatility in the option or warrant pricing formula for which, given a certain pricing model and given the level of all other observable pricing parameters, the theoretical price of the option or warrant is equal to its market value, where ‘market value’ is understood in the manner described in Article 3(4).
zahteve, povezane s prvim parcialnim odvodom vrednosti opcije ali nakupnega bona glede na implicirano nestanovitnost.
The own funds requirements for non-delta risks related to non-continuous options or warrants shall be determined as follows:
Kot implicirana nestanovitnost se šteje vrednost nestanovitnosti v formuli za določitev cene opcije ali nakupnega bona, za katero je ob določenem modelu določanja cen in ob upoštevanju ravni vseh drugih parametrov za določitev cene, ki jih je mogoče opazovati, teoretična cena opcije ali nakupnega bona enaka tržni ceni opcije ali nakupnega bona, pri čemer se „tržna vrednost“ razume v smislu člena 3(4).
where the options or warrants have been bought, as the maximum amount between zero and the difference between the following values:
Kapitalske zahteve za ne-delta tveganja v zvezi z nezveznimi opcijami ali nakupnimi boni se določijo na naslednji način:
the market value of the option or warrant, understood in the manner described in Article 3(4);
če so bili opcije ali nakupni boni kupljeni, kot najvišji znesek med nič ter razliko med naslednjima vrednostma:
the risk weighted delta equivalent amount, understood in the manner described in Article 3(1)(b);
tržno ceno opcije ali nakupnega bona v smislu člena 3(4);
where the options or warrants have been sold, as the maximum between zero and the difference between the following amounts:
zneskom delta tehtanega ekvivalenta tveganja v smislu člena 3(1)(b);
the relevant market value of the underlying asset, which shall be taken to be either the maximum possible payment at expiry date, if it is contractually fixed, or the market value of the underlying asset or the effective notional value if no maximum possible payment is contractually fixed;
če so bili opcije ali nakupni boni prodani, kot najvišji znesek med nič ter razliko med naslednjima zneskoma:
the risk weighted delta equivalent amount, understood in the manner described in Article 3(1)(b).
ustrezno tržno ceno osnovnega instrumenta, ki je bodisi najvišje možno plačilo na datum poravnave, če je to določeno v pogodbi, bodisi tržna cena osnovnega instrumenta ali efektivna hipotetična vrednost, če v pogodbi ni določeno najvišje možno plačilo;
The value for gamma and vega used in the calculation of own funds requirements shall be calculated using an appropriate pricing model as referred to in Article 329(1), Article 352(1) and Article 358(3) of Regulation (EU) No 575/2013 Where either gamma or vega cannot be calculated in accordance with this paragraph, the capital requirement on non-delta risks shall be calculated according to paragraph 3.
zneskom delta tehtanega ekvivalenta tveganja v smislu člena 3(1)(b).
Article 5
Vrednost game in vege, uporabljena v izračunu kapitalskih zahtev, se izračuna z uporabo ustreznega modela za določanje cen iz člena 329(1), člena 352(1) in člena 358(3) Uredbe (EU) št. 575/2013.
Determination of the Own funds requirements for gamma risk according to the Delta-plus approach
Kadar game in vege ni mogoče izračunati v skladu s tem odstavkom, se kapitalska zahteva za ne-delta tveganja izračuna v skladu z odstavkom 3.
For the purposes of Article 4(1)(a), the own funds requirements for gamma risk shall be calculated by a process consisting of the following sequence of steps:
Člen 5
for each individual option or warrant a gamma impact shall be calculated;
Določitev kapitalskih zahtev za gama tveganje v skladu z delta-plus pristopom
the gamma impacts of individual options or warrants which refer to the same distinct underlying type shall be summed up;
Za namene člena 4(1)(a) se kapitalske zahteve za gama tveganje izračunajo po postopku, ki je sestavljen iz naslednjega zaporedja korakov:
the absolute value of the sum of all of the negative values resulting from step (b) shall provide the own funds requirements for gamma risk.
gama učinek se izračuna za vsako posamezno opcijo ali nakupni bon;
Positive values resulting from step (b) shall be disregarded.
gama učinki posameznih opcij ali nakupnih bonov, ki se nanašajo na isto posebno vrsto osnovnega instrumenta, se seštejejo;
For the purpose of the step in point (a) of paragraph 1, gamma impacts shall be calculated in accordance with the formula described in Annex I.
kapitalske zahteve za gama tveganje se določijo kot absolutna vrednost vsote vseh negativnih vrednosti, ki so rezultat koraka (b).
For the purposes of the step in point (b) of paragraph 1, a distinct underlying type shall be:
Pozitivne vrednosti, ki so rezultat koraka (b), se ne upoštevajo.
for interest rates in the same currency: each maturity time band as set out in Table 2 of Article 339 of Regulation (EU) No 575/2013;
V koraku iz točke (a) odstavka 1 se gama učinki izračunajo v skladu s formulo, opisano v Prilogi I.
for equities and stock indices: each market as defined in the rules to be developed pursuant to Article 341 (3) of Regulation (EU) No 575/2013;
V koraku iz točke (b) odstavka 1 je posebna vrsta osnovnega instrumenta:
for foreign currencies and gold: each currency pair and gold;
za obrestne mere v isti valuti: vsak razred zapadlosti iz razpredelnice 2 člena 339 Uredbe (EU) št. 575/2013;
for commodities: commodities considered identical as defined in Article 357(4) of Regulation (EU) No 575/2013.
za delnice in delniške indekse: vsak trg, opredeljen v pravilih, ki bodo pripravljena v skladu s členom 341(3) Uredbe (EU) št. 575/2013;
Article 6
za tuje valute in zlato: vsak par valut in zlato;
Determination of the Own funds requirements for vega risk according to the Delta-plus approach
za blago: blago, ki se šteje za isto blago, kot je opredeljeno v členu 357(4) Uredbe (EU) št. 575/2013.
For the purposes of Article 4(1)(b), the own funds requirement for vega risk shall be calculated by a process consisting of the following sequence of steps:
Člen 6
for each individual option the value of vega shall be determined;
Določitev kapitalskih zahtev za vega tveganje v skladu z delta-plus pristopom
for each individual option an assumed plus/minus 25 % shift in the implied volatility shall be calculated, where implied volatility shall be understood in the manner described in Article 4(2);
Za namene člena 4(1)(b) se kapitalska zahteva za vega tveganje izračuna po postopku, ki je sestavljen iz naslednjega zaporedja korakov:
for each individual option the vega value resulting from the step in point (a) shall be multiplied by the assumed shift in implied volatility resulting from the step in point (b);
vrednost vege se določi za vsako posamezno opcijo;
Conditions of application of the scenario approach
Pogoji za uporabo pristopa na podlagi scenarijev
Institutions may use the scenario approach where they fulfil all of the following requirements:
Institucije lahko uporabljajo pristop na podlagi scenarijev, kadar izpolnjujejo vse od naslednjih pogojev:
they have established a risk control unit that monitors the risk of the options portfolio of the institutions and reports the results to the management;
vzpostavile so enoto za nadzor tveganja, ki spremlja tveganje v zvezi s portfeljem opcij institucij in o rezultatih poroča vodstvu;
they have notified competent authorities of a predefined scope of exposures to be covered by this approach consistently over time;
pristojne organe so obvestile o vnaprej določenem obsegu izpostavljenosti, ki bodo ves čas dosledno obravnavane po tem pristopu;
they integrate the results of the scenario approach in the internal reporting to the management of the institution.
rezultate pristopa na podlagi scenarijev vključijo v notranje poročanje vodstvu institucije.
For the purposes of point (c), institutions shall define the precise positions that are subject to the scenario approach, including the type of product or identified desk and portfolio, the distinctive risk management approach that applies to such positions, the dedicated IT application that applies to such positions, and a justification for the allocation of those positions to the scenario approach, with regard to those positions allocated to other approaches.
Za namene točke (c) institucije opredelijo natančne pozicije, ki se obravnavajo po pristopu na podlagi scenarijev, pri čemer navedejo vrsto produkta ali opredeljenega oddelka in portfelja, poseben pristop za upravljanje tveganj, ki se uporablja za take pozicije, računalniško aplikacijo, ki se uporablja za take pozicije, ter utemeljitev za dodelitev navedenih pozicij pristopu na podlagi scenarijev glede na pozicije, dodeljene drugim pristopom.
Definition of the scenario matrix according to the scenario approach
Določitev matrike scenarijev v skladu s pristopom na podlagi scenarijev
For each distinct underlying type, as referred to in Article 5(3), an institution shall define a scenario matrix which contains a set of scenarios.
Institucija za vsako posebno vrsto osnovnega instrumenta iz člena 5(3) določi matriko scenarijev, ki vsebuje niz scenarijev.
The first dimension of the scenario matrix shall be the price changes in the underlying above and below its current value.
Prva dimenzija matrike scenarijev so spremembe cene osnovnega instrumenta nad in pod njegovo sedanjo ceno.
That range of changes shall consist of the following:
Navedeni niz sprememb obsega naslednje:
for interest rate options or warrants, plus/minus the assumed change in interest rates set out in column 5 of Table 2 of Article 339 of Regulation (EU) No 575/2013;
za obrestne opcije ali nakupne bone: plus/minus predvidena sprememba obrestne mere iz stolpca 5 razpredelnice 2 člena 339 Uredbe (EU) št. 575/2013;
for options or warrants on equity or equity indices, plus/minus the weighting provided in Article 343 of Regulation (EU) No 575/2013;
za opcije ali nakupne bone na delnice ali delniške indekse: plus/minus utež, določena v členu 343 Uredbe (EU) št. 575/2013;
for foreign exchange and gold options or warrants, plus/minus the weighting indicated in Article 351 of Regulation (EU) No 575/2013 or, where appropriate, plus/minus the weighting indicated in Article 354 of Regulation (EU) No 575/2013;
za valutne opcije ali nakupne bone ter opcije ali nakupne bone na zlato: plus/minus utež, navedena v členu 351 Uredbe (EU) št. 575/2013 ali, kadar je primerno, plus/minus utež, navedena v členu 354 Uredbe (EU) št. 575/2013;
for commodity options (warrants), plus/minus the weighting indicated in point (a) of Article 360(1) of Regulation (EU) No 575/2013.
za opcije (nakupne bone) na blago: plus/minus utež, navedena v členu 360(1)(a) Uredbe (EU) št. 575/2013.
The price change scenarios in the underlying shall be defined by a grid of at least seven points which includes the current observation and divides the range indicated in paragraph 2 in equally spaced intervals.
Scenariji sprememb cene osnovnega instrumenta se določijo z mrežo, sestavljeno iz vsaj sedmih točk, ki vključuje tekoče opazovanje in s katerimi se razpon iz odstavka 2 razdeli na enakomerno porazdeljene intervale.
The second dimension of the scenario matrix shall be defined by volatility changes.
Druga dimenzija matrike scenarijev je določena s spremembami nestanovitnosti.
The range of changes in volatilities shall be between plus/minus 25 % of the implied volatility, where implied volatility shall be understood as referred to in Article 4(2).
Razpon sprememb nestanovitnosti znaša ± 25 % implicirane nestanovitnosti, pri čemer se implicirana nestanovitnost razume v smislu člena 4(2).
That range shall be divided into a grid of at least three points which include a 0 % change and where the range is divided into equally spaced intervals.
Navedeni razpon se razdeli v mrežo, sestavljeno iz najmanj treh točk, ki vključujejo 0-odstotno spremembo in s katerimi se razpon razdeli na enakomerno porazdeljene intervale.
The scenario matrix is determined by all possible combinations of points, as referred to in paragraphs 3 and 4.
Matriko scenarijev določajo vse mogoče kombinacije točk iz odstavkov 3 in 4.
Each combination shall constitute a single scenario.
Vsaka kombinacija predstavlja en scenarij.
Determination of the own funds requirements according to the scenario approach
Določitev kapitalskih zahtev v skladu s pristopom na podlagi scenarijev
According to the scenario approach, the own funds requirement on non-delta risk of options or warrants shall be calculated through a process consisting of the following sequence of steps:
V skladu s pristopom na podlagi scenarijev se kapitalske zahteve za ne-delta tveganje v zvezi z opcijami ali nakupnimi boni izračunajo po postopku, ki je sestavljen iz naslednjega zaporedja korakov:
for each individual option or warrant, all the scenarios referred to in Article 8 shall be applied to calculate simulated net loss or gain corresponding to each scenario.
za vsako posamezno opcijo ali nakupni bon se za izračun simulirane čiste izgube ali dobička, ki ustreza posameznemu scenariju, uporabijo vsi scenariji iz člena 8.
That simulation shall be done using full revaluation methods, by simulating the price changes by the use of pricing models and without relying to local approximations of those models;
Navedeno simuliranje se izvede z uporabo metod popolnega prevrednotenja s simuliranjem sprememb cen z uporabo modelov za določanje cen in brez uporabe lokalnih približkov teh modelov;
for each distinct underlying type, as referred to in Article 5(3), the values obtained as a result of the calculation in point (a) and referring to the individual scenarios, shall be aggregated;
za vsako posebno vrsto osnovnega instrumenta iz člena 5(3) se vrednosti, dobljene kot rezultat izračuna iz točke (a), ki se nanašajo na posamezne scenarije, agregirajo;
for each distinct underlying type as referred to in Article 5(3), the ‘relevant scenario’ shall be calculated as the scenario for which the values determined in step (b) result in the largest loss, or the lowest gain if there are no losses;
za vsako posebno vrsto osnovnega instrumenta iz člena 5(3) se kot „relevantni scenarij“ šteje scenarij, pri katerem je rezultat vrednosti, določenih v koraku (b), največja izguba, če ni izgub, pa najmanjši dobiček;
for each distinct underlying type, as referred to in Article 5(3), the own funds requirements shall be calculated in accordance with the formula described in Annex II;
za vsako posebno vrsto osnovnega instrumenta iz člena 5(3) se kapitalske zahteve izračunajo v skladu s formulo, opisano v Prilogi II;
the total own funds requirement in the case of non-delta risk of options or warrants shall be the sum of the own fund requirements obtained from the calculation referred to in step (d) for all distinct underlying types as referred to in Article 5(3).
skupna kapitalska zahteva za ne-delta tveganje v zvezi z opcijami ali nakupnimi boni je vsota vseh kapitalskih zahtev, dobljenih z izračunom iz koraka (d) za vse posebne vrste osnovnega instrumenta iz člena 5(3).
Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p.
Direktiva 2013/36/EU Evropskega parlamenta in Sveta z dne 26. junija 2013 o dostopu do dejavnosti kreditnih institucij in bonitetnem nadzoru kreditnih institucij in investicijskih podjetij, spremembi Direktive 2002/87/ES in razveljavitvi direktiv 2006/48/ES in 2006/49/ES (UL L 176, 27.6.2013, str.
ANNEX I
PRILOGA I
Formula to be used for the purposes of Article 5(2)
Formula, ki se uporabi za namene člena 5(2)
Formula to be used for the purposes of Article 5(2):
Formula, ki se uporabi za namene člena 5(2):
Gamma impact = ^ × Gamma × VU2
Gama učinek = ^ × gama × VU2
where VU:
pri čemer je VU:
for options or warrants on interest rates or bonds is equal to the assumed change in yield indicated in column 5 of Table 2 of Article 339 of Regulation (EU) No 575/2013;
za opcije ali nakupne bone na obrestne mere ali obveznice: pričakovana sprememba donosa, navedena v stolpcu 5 razpredelnice 2 člena 339 Uredbe (EU) št. 575/2013;
for equity options or warrants and equity indices the market value of the underlying multiplied by the weighting indicated in Article 343 of Regulation (EU) No 575/2013;
za opcije ali nakupne bone na delnice ter delniške indekse: tržna vrednost osnovnega instrumenta, pomnožena z utežjo iz člena 343 Uredbe (EU) št. 575/2013;
for foreign exchange and gold options or warrants is equal to the market value of the underlying, calculated in the reporting currency and multiplied by the weighting indicated in Article 351 of Regulation (EU) No 575/2013 or — if appropriate — the weighting indicated in Article 354 of Regulation (EU) No 575/2013;
za valutne opcije ali nakupne bone ter opcije ali nakupne bone na zlato: tržna vrednost osnovnega instrumenta, izračunana v valuti poročanja in pomnožena z utežjo iz člena 351 Uredbe (EU) št. 575/2013 ali, kadar je primerno, utežjo iz člena 354 Uredbe (EU) št. 575/2013;
for commodity options or warrants is equal to the market value of the underlying, multiplied by the weighting indicated in point (a) of Article 360.1 of Regulation (EU) No 575/2013.
za opcije ali nakupne bone na blago: tržna vrednost osnovnega instrumenta, pomnožena z utežjo iz člena 360(1)(a) Uredbe (EU) št. 575/2013.
Formula to be used for the purposes of Article 9(d)
Formula, ki se uporabi za namene člena 9(d):
Own funds requirement = – min (0,PC-DE)
Kapitalska zahteva = – min (0,SC – DU)
PC (‘Price Change’) is the sum of price changes of the options with the same distinct underlying type understood in the manner described in Article 5(3) (negative sign for losses and positive sign for gains) and corresponding to the relevant scenario determined in step (c) of Article 8.2;
SC („sprememba cene“) je vsota sprememb cene opcij z istim posebnim osnovnim instrumentom v smislu člena 5(3) (negativni predznak za izgube, pozitivni predznak za dobičke), ki ustreza relevantnemu scenariju, določenemu v koraku (c) člena 8(2);
ADEV (‘aggregated delta equivalent value’) is the sum of negative or positive deltas, multiplied by the market value of the underlying of the contract, of options that have the same distinct underlying type understood in the manner described in Article 5(3);
AVDE („agregirana vrednost delta ekvivalenta“) je vsota negativnih ali pozitivnih delt, pomnožena s tržno vrednostjo osnovnega instrumenta v pogodbi, opcij, ki imajo isto posebno vrsto osnovnega instrumenta v smislu člena 5(3);
Commission Delegated Regulation (EU) No 529/2014
Delegirana uredba Komisije (EU) št. 529/2014
supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for assessing the materiality of extensions and changes of the Internal Ratings Based Approach and the Advanced Measurement Approach
o dopolnitvi Uredbe (EU) št. 575/2013 Evropskega parlamenta in Sveta v zvezi z regulativnimi tehničnimi standardi za ocenjevanje pomembnosti razširitev in sprememb pristopa na osnovi notranjih bonitetnih ocen in naprednega pristopa za merjenje
Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 [1], and in particular third subparagraph of Article 143(5) and third subparagraph of Article 312(4),
ob upoštevanju Uredbe (EU) št. 575/2013 Evropskega parlamenta in Sveta z dne 26. junija 2013 o bonitetnih zahtevah za kreditne institucije in investicijska podjetja ter o spremembi Uredbe (EU) št. 648/2012 [1] in zlasti tretjega pododstavka člena 143(5) ter tretjega pododstavka člena 312(4) Uredbe,
In accordance with Article 143(3) of Regulation (EU) No 575/2013 the range of application of a rating system refers to the type of exposures that may be rated with a specific rating system.
V skladu s členom 143(3) Uredbe (EU) št. 575/2013 se obseg uporabe bonitetnega sistema nanaša na vrsto izpostavljenosti, ki se lahko ocenjujejo z določenim bonitetnim sistemom.
Regulation (EU) No 575/2013 differentiates between material extensions or changes to the Internal Ratings Based Approach (IRB approach) and Advanced Measurement Approach (AMA) that are subject to approval, and all other changes that are subject to notification.
Uredba (EU) št. 575/2013 razlikuje med pomembnimi razširitvami ali spremembami pristopa na osnovi notranjih bonitetnih ocen (v nadaljnjem besedilu: pristop IRB) in naprednega pristopa za merjenje (v nadaljnjem besedilu: pristop AMA), za katere se zahteva dovoljenje, in vsemi drugimi spremembami, za katere se zahteva uradno obvestilo.
As to the latter there is no indication in Regulation (EU) No 575/2013 on the timing of notification of the extension or change, i.e. whether the change should be notified before or after its implementation.
Za slednje v Uredbi (EU) št. 575/2013 časovni okvir za uradno obvestilo ni določen, tj. ni določeno, ali je treba uradno obvestilo o razširitvi ali spremembi predložiti pred njeno izvedbo ali po njej.
It should be considered that extensions or changes of minor importance need not be known to the competent authorities in advance.
Treba je upoštevati, da manjših razširitev in sprememb pristojnim organom ni treba poznati vnaprej.
Further, it would also be more efficient and less burdensome for institutions to collect such changes of minor importance and notify them to the competent authorities in regular intervals.
Poleg tega bi bilo tudi bolj učinkovito in manj obremenjujoče za institucije, da zbirajo takšne manjše spremembe in o njih v rednih časovnih presledkih uradno obveščajo pristojne organe.
Indeed, this has already been supervisory practice in several Member States.
Dejansko je navedeno že nadzorna praksa v več državah članicah.
Thus, extensions and changes requiring notification should be further split into extensions and changes requiring notification before their implementation and extensions and changes only requiring notification after their implementation.
Zato bi bilo treba razširitve in spremembe nadalje razdeliti na tiste razširitve in spremembe, za katere se zahteva uradno obvestilo pred njihovo izvedbo, ter razširitve in spremembe, za katere se zahteva uradno obvestilo šele po njihovi izvedbi.
This would further ensure that competent authorities in their daily tasks focus their attention on extensions and changes with the potential of materially altering own funds requirements or the performance of the models or rating systems.
To bi še dodatno zagotovilo osredotočenje pristojnih organov pri vsakodnevnih opravilih na razširitve in spremembe, ki bi lahko pomembno spremenile kapitalske zahteve ali delovanje modelov ali bonitetne sisteme.
It would also ensure that institutions distinguish between extensions and changes of great significance from extensions and changes of minor importance on the basis of a risk-oriented supervisory approach.
Prav tako bi zagotovilo, da institucije na podlagi nadzornega pristopa, usmerjenega k tveganjem, razlikujejo med zelo pomembnimi razširitvami in spremembami ter manj pomembnimi razširitvami in spremembami.
Such a distinction between extensions and changes subject to notification before implementation and extensions and changes subject to notification after implementation, would be prudent, given that the notification before implementation would provide the competent authorities with the possibility to review the correct application of this Regulation.
Takšno razlikovanje med razširitvami in spremembami, za katere se zahteva uradno obvestilo pred izvedbo, ter razširitvami in spremembami, za katere se zahteva uradno obvestilo po izvedbi, bi bilo ustrezno, saj bi uradno obvestilo pred izvedbo pristojnim organom omogočilo pregled pravilne uporabe te uredbe.
This in return would also reduce the supervisory burden on the institutions' side.
To bi posledično tudi zmanjšalo nadzorno breme za institucije.