Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.


Status: This chapter was amended on 31 December 2020 as a result of Brexit. However, it is subject to the FCA Prudential Transitional Direction, which means that firms should not comply with these provisions yet. Instead, firms must follow this link and continue to comply with pre-IP completion day requirements https://www.handbook.fca.org.uk/handbook?date=31-12-2020&timeline=True (unless specified otherwise in the Direction). To see a full list of Handbook modules affected, please see Section B of the Annex to the Direction.

BIPRU 14.1 Application and purpose

Application

BIPRU 14.1.1RRP

1BIPRU 14 applies to a BIPRU firm.

BIPRU 14.1.2GRP

  1. (1)

    BIPRU 14.2 deals with the calculation of the capital requirement for CCR for trading book positions arising from financial derivative instruments, securities financing transactions and long settlement transactions. The approaches used to calculate exposure values and risk weighted exposure amounts for these positions are largely based on the approaches applicable to non-trading book positions (BIPRU 3, BIPRU 4, BIPRU 5 and BIPRU 13). However, there are some treatments that are specific to the trading book. These are set out in BIPRU 14.2.

  2. (2)

    The calculation of the capital requirement for CCR for trading book positions is the first element of the counterparty risk capital component in BIPRU 14.2.1 R. The second element of the counterparty risk capital component is for unsettled transactions in both the trading book and the non-trading book. It is calculated under BIPRU 14.3.

  3. (3)

    BIPRU 14.4 sets out the treatment for free deliveries.

Purpose

BIPRU 14.1.3GRP

Pursuant to the third paragraph of article 95(2) of the UK CRR4, BIPRU 14 applies requirements that correspond to4:

32
  1. (1)

    Article 3(1)(h), Article 17(1), and Article 40; and

  2. (2)

    Annex II;

of the Capital Adequacy Directive.