PPF Financial Holdings B.V.

FX non-monetary items held at the historic FX rate are included in the net foreign exchange position in the functional currency of the booking entity.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
One of the ways how to identify positions that are deliberately taken in order to hedge the capital ratio might be a documentation of these position. The documentation can be done either directly in the strategies / policies of the entity or a specific documentation could be created. Logic of the specific documentation for structural positions could be similar to the logic of the hedge accounting documentation for the accounting purposes.

Regarding the types of the position, it is very difficult to specify a type of a position. In our practical management, the FX position at the regulated group level is managed in its entirety. Therefore, we would not recommend specifying such types.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
The structural FX position in our regulated group arises due to the foreign subsidiaries which have their assets and liabilities denominated in their local currencies. The group attempts to stabilize the total capital ratio. The structural FX position in a currency is identified as 10.5 % of credit risk weighted assets denominated in the currency and booked in the foreign subsidiary. The amount of the structural FX position is capped by the net asset value of the foreign subsidiary.

The coefficient of 10.5 % is composed of:
- total own fund minimum requirement of 8 %
- capital conservation buffer of 2.5 %
In theory, if other buffers were imposed on the group (Article 128 of CRD) or ICAAP add-ons (Article 104(1) (a)) those buffers and add-ons would be added to the coefficient.
If countercyclical buffers were imposed, those buffers would be added to the coefficient as well.

Note that the coefficient of 10.5 % is below the capital adequacy of the group. In a purely hypothetical situation of capital adequacy of the group below 10.5 %, it would seem correct to apply a coefficient lower than 10.5 %.

The structural FX position is considered when making any decisions about hedges of net assets value of foreign subsidiaries. The decisions are taken at the board of directors level.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
In our situation, we consider the positions only from the consolidated point of view because the foreign subsidiaries and the entities with the hedges are not subject to capital requirements on individual level.

However, there is a rationale to consider the positions on the level of the individual entities if capital requirements apply to those entities on individual level. In our view, an approach similar to hedge accounting may be applied; different structural FX positions can be identified on individual and group level. What matters is the stabilization of individual and consolidated capital adequacy ratios.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
Our answer was consolidated into the answer submitted by the Czech Banking Association.
Petr Přecechtěl
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