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Status: You are viewing the version of the handbook as on 2009-03-31.

BIPRU 8.8 Advanced prudential calculation approaches

General

BIPRU 8.8.1RRP

A firm must not apply any advanced prudential calculation approach for the purposes of this chapter unless it has an advanced prudential calculation approach permission and that advanced prudential calculation approach permission requires the firm to use that advanced prudential calculation approach for those purposes.

BIPRU 8.8.2GRP

BIPRU 1.3 (Applications for advanced approaches) deals with how to apply for an advanced prudential calculation approach permission.

Prohibition on using the rules of an overseas regulator

BIPRU 8.8.3RRP

Even if a firm has an advanced prudential calculation approach permission that allows it to use an advanced prudential calculation approach for the purposes of this chapter, the firm may not use the requirements of another state or territory to the extent they provide for that advanced prudential calculation approach. Therefore a firm may not use BIPRU 8.7.34 R to BIPRU 8.7.38 R (Use of the capital requirements of an overseas regulator) if that would involve using an advanced prudential calculation approach.

Special provisions relating to the internal ratings based approach

BIPRU 8.8.4RRP

The conditions in BIPRU 4.2.26 R (Combined use of methodologies under the IRB approach) apply to a firm's UK consolidation group or non-EEA sub-group as if that group were a single undertaking.

Special provisions relating to the advanced measurement approach

BIPRU 8.8.5R

BIPRU 6.5.27 R (6) (Insurance should be provided by a third party entity for the purposes of the advanced measurement approach) is amended to provide that the insurance must be provided by an undertaking that is not in the same group as the firm or other members of the UK consolidation group or non-EEA sub-group. In the case of insurance through captives and affiliates, the exposure must be laid off to an independent undertaking that is not in the same group as the firm or other members of the UK consolidation group or non-EEA sub-group, for example through reinsurance that meets the eligibility criteria.

BIPRU 8.8.6G

In the case of insurance through captives and affiliates, the exposure should be laid off outside the firm's group to an independent third party.

BIPRU 8.8.7G

BIPRU 8.7.26 R1 deals with the combination of the advanced measurement approach with other approaches to operational risk on a group level.

Special provisions relating to the CCR internal model method

BIPRU 8.8.8GRP

BIPRU 8.7.17 R deals with the combination of the CCR internal model method with other approaches to calculating exposure values on a group level.

Corporate governance arrangement for the IRB approach and the AMA

BIPRU 8.8.9GRP

The governance arrangements that apply to the governing body, the senior management and any designated committee of a firm in relation to the IRB approach or the AMA also apply to the body or persons with equivalent powers with respect to the UK consolidation group or non-EEA sub-group. Where the parent undertaking and its subsidiary undertakings use rating systems on a unified basis, the approval and reporting process described in BIPRU 4.3.12 G (Approval and reporting arrangements for the IRB approach where rating systems are used on a unified group basis) and BIPRU 6.5.32 G (Approval and reporting arrangements for the AMA where rating systems are used on a unified group basis) apply for the purpose of this paragraph too.