Guidance Note on Prudential Reporting of Market Risk Data (August 2019)

Summary

This is JFSC guidance explaining how Jersey branches of Overseas Incorporated Banks (OIBs) should complete the market risk data sheets of the Prudential Return. It covers four specific worksheets: FX and Gold, Commodities, Branch Settlement Risk, and OTC contracts, clarifying what positions and exposures must be reported and how to calculate net and gross figures.

• FX and Gold (5.1): Report net foreign exchange positions by major currency (GBP, USD, EUR, CHF, CAD, JPY, AUD) and grouped 'other' long/short currencies, excluding the Branch's own reporting currency; report gold positions separately using gross balance sheet and forward figures.
• Commodities (5.2): Report gross long and short positions for precious metals (excluding gold), base metals, energy contracts and other contracts, netted to a net open position.
• Branch Settlement Risk (5.5): Disclose all non-DvP (free delivery) trades split between those four working days or less past settlement and those more than four working days past settlement, and disclose failed DvP trades unsettled five business days or more after the due settlement date, including number of trades and at-risk/mark-to-market amounts.
• OTC (5.6): Report gross nominal amounts and positive mark-to-market values of outstanding OTC contracts by type (interest rate, FX and gold, equities, precious metals, commodities) and by maturity band, and separately report trading-book credit derivatives (total return swaps and credit default swaps) split by protection buyer/seller.

The guidance does not introduce new filing deadlines itself but sets out the detailed completion rules Branches must follow when preparing their periodic Prudential Return market risk data.

Key obligations

• Branches must report foreign exchange positions for each major currency and grouped 'other' long/short currencies, omitting the Branch's own reporting currency, using gross balance sheet and forward figures
• Branches must report gold positions separately using gross balance sheet assets/liabilities and forward purchases/sales
• Branches must report commodity positions (precious metals excluding gold, base metals, energy contracts, other contracts) on a gross long/short basis, netted to a net open position
• Branches must disclose all free delivery (non-DvP) trades split between those settled within four working days and those more than four working days past settlement date
• Branches must disclose failed DvP trades that remain unsettled five business days or more after the due settlement date, including number of trades and loss amounts
• Branches must report OTC contracts (excluding credit derivatives) gross, with no netting, split by contract type and maturity band, showing nominal amount and positive mark-to-market value
• Branches must report trading-book credit derivatives (total return swaps and credit default swaps) split between protection buyer and protection seller positions, with no requirement to report banking book transactions

Applies to

Jersey branches of Overseas Incorporated Banks (OIBs), banks