capital adequacy calculator

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Capital Adequacy Calculator A USERS GUIDE TO ASSIST IN COMPLETING THE RETURN TO BE COMPLETED ONLY IF YOU NOT CURRENTLY SUBMITTING CAPAD REQUIREMENTS TO THE JSE LTD This guide is will assist you in completing the Safex capital adequacy return. It gives a breakdown of how to complete each pag The pages of the return have been password protected to prevent you from mistakenly deleting a vital formula or cross referen The red dot in the corner of certain cells gives additional information relating to the type of information required to be entered in that cell. Read these as they may answer some questions you have. Only enter information into the grey highlighted areas. 1) a) b) c) Summary page Enter the name of the member who is submitting the return next to "Company name". Enter the date on which the figures are based next to "These figures as at". This is all you have to enter on this page. The other cells will automatically read information from other pages as you work your way through the spreadsheet. Initial Capital page Enter member's initial capital requirement as per members class and category of membership. Use the table as a guide. Own Funds page 2) a) 3) Refer to the letters in column B of the spreadsheet. A1) A2) A3) A4) A5) A6) Per member's latest audited financial statementsto be reflected on financial statements. during the year that have yet or as per additional share issues As above. Also refer to the note in the cell. As above. General reserve but not a building revaluation Latest audited financial statements. Net profit be loss since any previous audited financial statements. This figure must or BEFORE the tax adjustments. MINUS Part B B1) Intangible assets e.g. goodwill. B2) B3) B4) B5) B6) Fixed assets net of related secured loans The book value of its investments in unlisted securities, including it's investment in any subsidiary company Member assets pledged to secure a guarantee provided by the clearing bank Excludes Safex initial margin. Tax is computed as if the member were to immediately cease trading, realise its investments at the revailing prices and incur no further costs other than those represented by its 13 weeks PLUS Part C C1) Guarantees received shall be provided by a Guarantor who is proved to be of sufficient substance to assure perfor C2) & C3) Subordinated loan accounts shall be legally subordinated in the manner prescribed by the Director: Surveillance but may be repaid subject to prior written approvalof the Director: Surveillance MINUS Part D D1) 4) Shareholding of 10% or more of a financial institution's own funds as calculated in A1- A6 Annual Operating Costs The purpose of this calculation is to determine the fixed costs that will be incurred by the member if it were to be liquidated, the average period being 13 weeks. The aim is to determine the admin / non-trading expenditure portion of the income statement and convert this to 13 weeks. The latest audited annual finacial statement can be used to determine the 13 weeks operating costs a) b). c) d) e) f) g) h) i) j) k) 5) a) b) c) "Total Revenue" can also be interpreted as Net revenue. "Previous year audited loss" self explanatory. "Profit / loss before tax" as currently reflected in your unaudited income statement. "Bonuses" as per current year income statement that were not guaranteed ie. Incentive bonuses. "Profit shares" that are payable even if the member makes a loss for the year. "Commissions paid" other than to appointed representatives or agents of the member. "Fees and charges" paid to clearing houses etc. Can de included if the cost will not continue at liquidation. "Interest payable to counterparties" e.g. on repo's and carries. "Interest payable on borrowings" to finance long term investment business. "Foreign currency loss" self explanatory. "Abnormal or extraordinary items" self explanatory. Position Risk Choice page Method 1 - simple : enter a "y" and then complete the page "Simple" Method 2 - building block : enter a "y" and complete pages "BB Loan Stock" andetc." "BB Securities Method 3 - in house value at risk model : enter a "y" and then enter your risk figure in cell D14. Also submit a copy of this calculation with the return. Counterparty Risk Requirement page Work your way through the page "Counterparty Risk Req't" and evaluate if any of your investments or positions are subject to counterparty risk. Enter the relevant information. 7) Large Exposure Requirement page 6) Work your way through the page "Large Exposure Req't" and evaluate if any of your investments or positions fall w Enter the relevant information. 8) Foreign Exchange Requirement page Work your way through the page "Forex Req't" and enter the relevant currency information. ENTS TO THE JSE LTD own of how to complete each page. g a vital formula or cross reference. any subsidiary company cient substance to assure performanceC2)-C3) d by the Director: Surveillance s operating costs ntive bonuses. t continue at liquidation. ur investments or positions fall within the category. Capital Adequacy Requirement Calculator Summary of Results Company name These figures as at R Own Funds Initial Capital requirement 13 Weeks Operating Cost Greater of above two figures Position risk requirement Counterparty risk requirement Large exposure risk requirement Foreign exchange risk requirement Total Capital Adequacy Requirement - Surplus(Deficit) - nt Calculator Initial Capital Requirement Enter your Initial capital Requirement: Member Class & Category Class Clearing Non-clearing Category Broking member with clients Non- broking member Initial Capital Requirement R (use table below as guide) - & Category member has control and custody of client assets clearing bank has control and custody of client assets member has no clients Initial Capital Requirement R 200,000,000 R 400,000 R 200,000 R - Own Funds Note : Do not enter figures as negatives unless indicated to do so. Part A Ordinary Share Capital Preference Share Capital Share Premium Reserves excluding revaluation reserves Audited retained earnings / (Accumulated loss) Unaudited profits / (losses) A1 A2 A3 A4 A5 A6 Part A Total R - Part B Intangible assets Fixed assets, net of related secured loans Investments in unlisted shares Guarantees given Amount paid to cover risk exposure in any other market Tax provisions B1 B2 B3 B4 B5 B6 Part B Total - - Part C Guarantees received Shareholders subordinated loan accounts Other long term subordinated loans C1 C2 C3 - Investments in securities and finacial instruments: C4 Market value Book value - Other assets C5 Realisable value Book value Revaluation reserve relating to above assets C6 Part C Total Part D Shareholding in financial institutions of more than 10% of A1 to A7, own capital or of the financial institutions capital D1 Part D Total - OWN FUNDS (Total A - Total B + Total C - Total D) - ANNUAL OPERATING COSTS Note : Do not enter figures as negatives unless indicated to do so. Total Revenue Previous year audited loss Adjusted revenue LESS: Profit/(loss) before tax Operating costs LESS: Variable operating costs Bonuses Profit shares Commissions paid Fees, brokerage & charges Interest payable to counterparties Interest payable on borrowings Foreign currency conversion loss Other Abnormal/extraordinary items Annual Fixed Costs R - - 13 Weeks operating costs NB If a member has just started business and has no audited annual financial statements, he should calculate its relevant expenditure on budgeted or other accounts submitted with its application or on a proportionate basis approved by the EXCO. (But if the cost has gone above the budget then the member will have to adjust the original budget accordingly) Position Risk Requirement Method Please indicate which calculation method is to be used by entering a "Y" in the appropriate box below : Method 1 - simple Method 2 - building block Method 3 - in-house value-at-risk model Note: If method 1 is chosen, complete sheet "Simple" If method 2 is chosen, complete sheets "BB Loan Stock" (for positions in Loan Stock), and "BB Securities etc" (for positions in Equities, Commodities and other investments). If method 3 is chosen, enter the calculated position risk requirement here: and send a copy of your calculation with the return Y 0 0 Position risk requirement - propriate box below : 1 0 0 1 Method 1 - Simple Method a). Loan Stock "Market Value" of Positions in ... Spot R Government issued or guaranteed < 1Year to maturity < 3 Years to maturity > 3 Years to maturity Issued or accepted by a bank < 90 days to maturity Other marketable investments < 1 year to maturity < 3 years to maturity > 3 years to maturity Floating Rate Notes < 20 years to maturity > 20 years to maturity Unlisted forwards/opti % ons @ Market Required Value 2% 5% 10% 2% 10% 20% 30% - 5% 10% Loan Stock Total b). Securities Spot R Listed on a local exchange Mining Other Listed on a foreign exchange Other securities 40% 30% 35% 100% Securities Total % Required c). Commodities Realisable Value - R Stock positions in physical commodities associated with member's inv business (for commercial purposes) 30% Commodities Total % Required d). Futures & options, contracts for differences and other instruments Value - R % Required Exchange Traded Financial Product Market futures and options - (initial margin) 200% Exchange Traded Agricultural Product Market futures and options - (initial margin) 200% Derivative Interest Rate Product Market futures and options - (initial margin) 200% Contracts for differences(e.g. IR Swaps,FRS's, Floors, Collars etc.) Units in a unit trust Krugerrands - (market value) - (realisable value) - (realisable value) 20% 25% 10% Interest in unregistered derivatives fund With-profit life policies - (realisable value) - (surrender value) 50% 20% Any other investments (e.g. BBF3) - (asset value) 100% Total Position Risk Requirement Value - Value - Value - Value - - - - - - - BUILDING BLOCK METHOD - PART I LOAN STOCK Report date: Stock Code R152 R153 R157 R186 R194 R201 R203 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Position (Rm) Market Yield Market price 1/1/2005 Maturity Date Coupon Category 14% 11.50% 12% 13% 10.75% 12.50% 9% 9.50% 11% 15% 13.50% 8% 11.50% 10% 12% 12.50% 7.50% 11.50% 14.50% 13.50% Life (yrs) 1.16 5.67 10.71 21.98 3.16 9.98 12.71 2.37 5.67 5.67 0.65 2.16 9.98 3.25 2.04 2.04 3.01 2.04 5.75 10.71 969,555 02/28/06 (632,545) 8/31/2010 0 9/15/2015 0 12/21/2026 0 2/28/2008 0 12/21/2014 0 9/15/2017 0 5/15/2007 0 8/31/2010 0 8/31/2010 0 08/28/05 0 2/28/2007 0 12/21/2014 0 3/31/2008 1/15/2007 1/15/2007 1/4/2008 1/15/2007 9/30/2010 9/15/2015 337,010 "Central Govt Items" 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Qualifying Items: <6 moths 6-24 >24 mths 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Other Items 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 5 9 11 13 7 10 11 6 9 9 4 6 10 7 6 6 7 6 9 11 Weighted Position 12,119 (20,558) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (8,438) Sum of Weighted Long Positions by Band (from above) Sum of Weighted Short Positions by Band (from above right) Matched Weighted Positions Absolute Values of above Unmatched Weighted Positions Unmatched Weighted Long Unmatched Weighted Short Total of Unmatched Weighted Long Positions in Bands Total of Unmatched Weighted Short Positions in Bands Band 1 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Zone 1 0 0 Band 2 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Zone 2 12,119 0 Band 3 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Zone 3 0 (20,558) Band 4 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 5 Long 12,119 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 12,119 12,119 0 0 0 12,119 12,119 0 Band 6 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 7 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 8 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Workings for General Risk: Maturity-based method Band 9 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (20,558) 0 0 (20,558) 0 (20,558) Band 10 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 11 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 12 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 13 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 14 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 15 Long 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Total 0 (8,438) Band 1 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 2 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 d method Band 3 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 4 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 5 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 6 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 7 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 8 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 9 Short 0 (20,558) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (20,558) Band 10 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 11 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 12 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 13 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 14 Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Band 15 MDuration Short 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Zone 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 DurationWeighted Posn (Rm) 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 1: Long 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Table for Maturity-based Method (see Table 2) Zone 2: Long 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 3: Long 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 1: Short 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 2: Short 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 3: Short 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Cpn>=3% Cpn<3% 0 0 0.083 0.083 0.25 0.25 0.5 0.5 1 1 2 1.9 3 2.8 4 3.6 5 4.3 7 5.7 10 7.3 15 9.3 20 10.6 12 20 Zone 1 1 1 1 2 2 2 3 3 3 3 3 3 3 3 turity-based Method (see Table 2) Weight 0.00% 0.20% 0.40% 0.70% 1.25% 1.75% 2.25% 2.75% 3.25% 3.75% 4.50% 5.25% 6.00% 8.00% 12.50% Bands 15 2 0.125 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Weight in % 0 0.002 0.004 0.007 0.0125 0.0175 0.0225 0.0275 0.0325 0.0375 0.045 0.0525 0.06 0.08 0.125 BUILDING BLOCK METHOD - PART I LOAN STOCK Calculation of Stock Code R119 R147 R150 R153 R160 R162 R175 R177 E168 E169 E170 E172 LB01 TK01 TK05 T001 T004 T016 DV07 R157 Spare Spare Spare Spare Spare Spare Spare Spare Spare Position (Rm) 1000000.0 Market Yield Market Price 968555.00 Maturity Date 8/15/1997 5/30/2000 2/28/2005 8/31/2010 12/15/1998 1/15/2002 10/15/2002 5/15/2007 1/6/2008 1/10/1998 1/8/2020 1/9/2001 6/30/2010 3/31/2008 3/31/1998 1/4/2002 1/4/2008 2/15/1999 9/30/2010 9/15/2015 1/0/1900 1/0/1900 1/0/1900 1/0/1900 1/0/1900 1/0/1900 1/0/1900 1/0/1900 1/0/1900 Coupon 14% 11.50% 12% 13% 10.75% 12.50% 9% 9.50% 11% 15% 13.50% 8% 11.50% 10% 12% 12.50% 7.50% 11.50% 14.50% 13.50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Category 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 1 2 2 1 Life (yrs) 2.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 "Central Govt Items" 968555.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 968555.000 Spare Spare Spare Spare Spare Spare Spare Spare Spare Calculation of Specific Risk Qualifying Items: <6 moths 6-24 >24 mths 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #REF! 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #REF! 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #REF! Other Items 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Band 5 #REF! #REF! #REF! 1 #REF! #REF! #REF! #REF! 1 #REF! #REF! #REF! #REF! 1 #REF! #REF! 1 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Weighted Position 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Band 1 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Zone 1 #REF! Band 2 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Zone 2 #REF! Band 3 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Zone 3 #REF! Sum of Weighted Long Positions by Band (from above) Sum of Weighted Short Positions by Band (from above right) Matched Weighted Positions Absolute Values of above Unmatched Weighted Positions Unmatched Weighted Long Unmatched Weighted Short Total of Unmatched Weighted Long Positions in Bands Total of Unmatched Weighted Short Positions in Bands #REF! #REF! #REF! Workings for General Risk Band 4 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 5 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 6 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 7 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 8 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 9 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 10 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 11 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 12 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Workings for General Risk: Maturity-based method Band 13 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 14 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 15 Long 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Total #REF! Band 1 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 2 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 3 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 4 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 5 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 6 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 7 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 8 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 9 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 10 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 11 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 12 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 13 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 14 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! Band 15 Short 0.000 #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! #REF! #REF! 0.000 #REF! #REF! 0.000 #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! #REF! MDuration #NUM! 1.09311 4.76273 8.11830 #NUM! 2.44798 3.07565 6.33522 6.64957 #NUM! 13.19220 1.66877 8.11814 6.98684 #NUM! 2.41742 7.04565 #NUM! 8.06186 10.93425 #NUM! #NUM! #NUM! #NUM! #NUM! #NUM! #NUM! #NUM! #NUM! Zone 0 2 3 3 0 2 2 3 3 0 3 2 3 3 0 2 3 0 3 3 0 0 0 0 0 0 0 0 0 DurationWeighted Posn (Rm) 0.000 #VALUE! #VALUE! #VALUE! 0.000 #VALUE! #VALUE! #VALUE! #VALUE! 0.000 #VALUE! #VALUE! #VALUE! #VALUE! 0.000 #VALUE! #VALUE! 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 1: Long 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 2: Long 0.000 #VALUE! 0.000 0.000 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 0.000 #VALUE! 0.000 0.000 0.000 #VALUE! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #VALUE! Zone 3: Long 0.000 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 #VALUE! #VALUE! 0.000 #VALUE! 0.000 #VALUE! #VALUE! 0.000 0.000 #VALUE! 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #VALUE! Zone 1: Short 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 Zone 2: Short 0.000 #VALUE! 0.000 0.000 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 0.000 #VALUE! 0.000 0.000 0.000 #VALUE! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #VALUE! Zone 3: Short 0.000 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 #VALUE! #VALUE! 0.000 #VALUE! 0.000 #VALUE! #VALUE! 0.000 0.000 #VALUE! 0.000 #VALUE! #VALUE! 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 #VALUE! Table for Maturity-based Method (see Table 2) Cpn>=3% Cpn<3% 0 0 0.083 0.083 0.25 0.25 0.5 0.5 1 1 2 1.9 3 2.8 4 3.6 5 4.3 7 5.7 10 7.3 15 9.3 20 10.6 12 20 Zone 1 1 1 1 2 2 2 3 3 3 3 3 3 3 3 Weight 0.00% 0.20% 0.40% 0.70% 1.25% 1.75% 2.25% 2.75% 3.25% 3.75% 4.50% 5.25% 6.00% 8.00% 12.50% BB Securities etc BUILDING BLOCK METHOD - PART II A. SECURITIES Liquid Equities (approx.3 times a week) Positions in Equities Mining Other Total Specific Risk Gross Position x Percentage Cap Req't (R) Long Position (R) Short Position (R) Normal Equities (approx.once a week) Long Position (R) Short Position (R) Illiquid Equities (approx.once a month) Long Position (R) Short Position (R) - 5% Long Position (R) Short Position (R) - 10% - 20% - General Risk Mining Other Net Position (R) Percentage 20% 10% Cap req't (R) Cap Req't (R) - Positions in Equity Index Futures General risk INDI ALSI FINI MINI Long Position (R) - Short Position (R) - Net Position (R) - Percentage 10% 13% 10% 20% Cap req't (R) Cap Req't (R) - Capital requirement for securities B. COMMODITIES Physical commodities associated with the members investment business Capital requirement for commodities Realisable value 30% - C. OTHER INVESTMENTS Value (R) Int in regulated collective inv. scheme Int in unreg. futures or option fund With-profit life policies Any other investment (realise value) (realise value) (surrend. value) (asset value) Percentage 25% 50% 20% 100% Cap req't (R) - Capital requirement for other investments Position risk requirement for Part II - Page 55 COUNTERPARTY RISK REQUIREMENTS 1. Unsettled securities & physical commodities transactions 1.1. Cash against documents transactions 0-7 days after settlement date 8-15 days after settlement date > 15 days 1.2. Settle on balance transactions 1.2.1. Guaranteed by clearing house: debit outstanding >15 days since settlement date undelivered security within 15 days since settle day 1.3. Free deliveries 1.3.1. Free delivery amount Non-payment against scrip delivered Non-receipt of scrip against payment 1.3.2. Guaranteed transaction 0 - 15 days since delivery/payment > 15 days since delivery/payment 1.3.3. Any other Counterparty 0 - 3 days since delivery/payment > 3 days 2. Options purchased for counterparty Non-payment of purchase price after 3 days Option premium paid to writer 3. Exchange traded margined transactions (including initial margin and variation margin) 0-3 days since shortfall 4 days and over since shortfall 4. Repurchase/reverse purchase agreements (including lending and borrowing and sale and buy back agreements) Qualifying debt instruments Shortfall Amount due Market value Risk Value nil nil Purchase Price Market Value Risk Value nil - Sub-total - - - - - - - Premium paid Market value - - Risk Value 0 0 Risk Value nil 0 - Market value Nominal value Collateral Collateral Nominal value - Risk Value - Other securities 5. Swaps, forwards, OTC options, contracts for differences and OTC futures… State or authorised counterparty 5.1. Interest rate swaps single currency < 1 year to maturity > 1 year to maturity 5.2. Cross currency swaps < 1 year to maturity > 1 year to maturity 5.3. FRA's,OTC derivatives based on interest rates < 1 year to maturity > 1 year to maturity 5.4. OTC derivatives based on exchange rates, commodity or equity prices < 14 days to maturity 14 days to 1 year to maturity > 1 year to maturity Banking Institution 5.1. Interest rate swaps single currency < 1 year to maturity > 1 year to maturity 5.2. Cross currency swaps < 1 year to maturity > 1 year to maturity 5.3. FRA's,OTC derivatives based on interest rates < 1 year to maturity > 1 year to maturity 5.4. OTC derivatives based on exchange rates, < 14 days to maturity 14 days to 1 year to maturity > 1 year to maturity Any other counterparty 5.1. Interest rate swaps single currency < 1 year to maturity > 1 year to maturity 5.2. Cross currency swaps < 1 year to maturity > 1 year to maturity 5.3. FRA's,OTC derivatives based on interest rates < 1 year to maturity > 1 year to maturity 5.4. OTC derivatives based on exchange rates, < 14 days to maturity 14 days to 1 year to maturity > 1 year to maturity Loan amount - - MTM Risk Value - - - - - - nil - - nil - - - - - nil - - - - - 6. Loans to counterparties Not properly secured Amount secured - Risk Value - 7. Sub underwriting agreements Fees owed & outstanding for > 30 days Amount owed Amount due Risk Value Risk Value - 8. Other receivables and accrued income not covered elsewhere Gross Exposure Less specific provisions against counterparty balances - CRR Large Exposure Req't LARGE EXPOSURE REQUIREMENT Adjusted liquid capital (Own funds) EXPOSURES TO A THIRD PARTY OR A GROUP OF CONNECTED THIRD PARTIES All the financial instruments issued by the third party Market Value of Positions Underwriting commitments Market Value of Net Exposure Exposures from unsettled securities transactions,repurchase,reverse repurchase,securities lending and borrowing transactions, derivatives and other financial instruments calculated in accordance with Method 1 of the PRR. Total of Exposures All other assets and off balance sheet items constituting claims on third parties (e.g.Commissions, fees receivable) Total of other assets etc. 0% Long Position Net Long Position Market Value 0% Appropriate PRR or CRR Percentage 0% Specific/ Counterparty Requirement - Short Position - Market Value 0% - TOTAL EXPOSURE 25% Of Adjusted Liquid Capital No LER Calculation Required FALSE Excess Exposure Exposures Ranked by Risk: 1. Other 2. Unsettled securities etc 3. Underwriting commitments 4. Financial Instruments Exposures Cumulative % Applicable #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! PRR/CRR #DIV/0! #DIV/0! #DIV/0! #DIV/0! Exps in Xs #DIV/0! #DIV/0! #DIV/0! #DIV/0! 0 0 0 0 Total Risk Reqt's of Exposures forming the Excess: 200% of above LER Limited according to 4.4 Least Exp in Xs #DIV/0! Less PRR/CRR of Exps in Xs #DIV/0! LER Limit #DIV/0! Page 57 Large Exposure Req't Max Min Val: Max 3 0 Sum 8 Last 2 0 Exposure Short Names Financial Instruments Underwriting commitments Unsettled securities etc Other Expos - Reqt's 1 2 3 4 0 1 2 3 4 Order 1 2 3 4 4 0 2 3 0 4 3 2 1 Page 58 Forex Req't FOREIGN EXCHANGE REQUIREMENT METHOD 1 Currency US$ UK STERLING DMARK YEN SWISS FRANCS Long Position Short Position Spot Rate Long Short Method 1 Method 2 Position Position Net Position FER Min 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Forex Requirement METHOD 2: Simulation Techniques Enter "Y" if Method 2 is chosen: Enter FER calculated by Simulation Techniques: 2% floor on FER, calculated above Method 2 FER: - Final Foreign Exchange Risk Requirement - Page 59 BUILDING BLOCK METHOD - PART I Capital Requirement for Loan Stock Summary Specific Risk "Central Govt Other Qualifying Items Items" Items Any Maturity < 6 mths 6-24 > 24 mths Any maturity Weights 0.00% 0.25% 1.00% 1.60% 8.00% Positions (Rm) 0 0 0 0 0 Cap Req't (R) R0 R0 R0 R0 R0 Total Specific Risk Capital Requirement for Loan Stock under BB Method: General Risk Capital Requirement: Maturity-Based Method (see "BBLS Maturity Base") Loan Stock Position Risk R0 13,286 13,286 BUILDING BLOCK METHOD - PART I MATURITY BASED SUB METHOD Capital Requirements - General Risk Same Maturity Bands Matched Weighted Positions Percentage Cap Req't (R) 0 10% 0.00 Same Zones "Unmatched" Weighted Long "Unmatched" Weighted Short Matched Weighted Posn Percentage Cap Req't (R) Unmatched Weighted Posns Interzonal Matching: Order 1 Zone 1 vs Zone 2 Zone 2 vs Zone 3 Zone 1 vs Zone 3 Residual Unmatched Weighted Positions ZONE 1 0 0 0.00 40% 0 0.00 Matched Weighted Positions 0.00 12,119.44 0.00 (8,438.28) Total Interzonal Cap Req't: Order 1 ZONE 2 12,119 0 0.00 30% 0.00 12,119.44 ZONE 3 0 (20,558) 0.00 30% 0.00 (20,557.71) Cap Req't (R) 0.00 4,847.78 0.00 8,438.28 13,286.05 Percentage 40% 40% 150% 1 Zone A Input 0.00 12,119.44 0.00 Zone B Input 12,119.44 (20,557.71) (8,438.28) Interzonal Matching: Order 2 Zone 2 vs Zone 3 Zone 1 vs Zone 2 Zone 1 vs Zone 3 Residual Unmatched Weighted Positions Matched Weighted Positions 12,119.44 0.00 0.00 (8,438.28) Total Interzonal Cap Req't: Order 2 Interzonal Cap Req't (Min) Percentage 40% 40% 150% 1 Cap Req't (R) 4,847.78 0.00 0.00 8,438.28 13,286.05 Zone A Input 12119.438 -8438.275 0 Zone B Input -20557.7125 0 0 13,286.05 Total Capital Requirement 13,286.05 Zone A Resid 0.00 0.00 0.00 Zone B Resid 12,119.44 (8,438.28) (8,438.28) ABS(a)