Related provisions for MIPRU 3.2.15

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BIPRU 7.10.53RRP
A firm'sVaR model must capture accurately all material price risks for positions within the scope of its VaRpermission, including risks relating to options or option-like positions. The firm must ensure that, if its VaR model does not accurately capture any material risk, the firm has capital resources adequate to cover that risk. These capital resources must be additional to those required to meet its capital resources requirement.
BIPRU 7.10.54GRP
For example, BIPRU 7.10.53R might involve creating and documenting a prudent incremental PRR charge for the risk not captured in the VaR model and holding sufficient capital resources against this risk. In that case the firm should hold capital resources at least equal to its capital resources requirement as increased by adding this incremental charge to the model PRR. Alternatively the firm may make valuation adjustments through its profit and loss reserves to cover this material
BIPRU 7.10.55GRP
A firm is expected ultimately to move towards full revaluation of option positions. For portfolios containing path dependent options, an instantaneous price shock applied to a static portfolio will be acceptable provided that the risks not captured by such an approach are not material. Where a risk is immaterial and does not justify further capital resources, that immaterial risk should still be documented.
A firm must not use both the financial collateral simple method and the financial collateral comprehensive method.[Note:BCD Annex VIII Part 3 point 24 (part)]

This table belongs to BIPRU 5.4.34 R.

Other collateral or exposure types

20 day liquidation period (%)

10 day liquidation period (%)

5 day liquidation period (%)

Main index equities, main index convertible bonds




Other equities or convertible bonds listed on a recognised investment exchange or designated investment exchange












In relation to repurchase transaction and securities lending or borrowing transactions, where a firm uses the supervisory volatility adjustments approach or the own estimates of volatility adjustments approach and where the conditions set out in (1) – (8) are satisfied, a firm may, instead of applying the volatility adjustments calculated under BIPRU 5.4.30 R to BIPRU 5.4.61 R, apply a 0% volatility adjustment:(1) both the exposure and the collateral are cash or debt securities
Core market participant means the following entities:(1) the entities mentioned in BIPRU 5.4.2 R (2)exposures to which are assigned a 0% risk weight under the standardised approach to credit risk;(2) institutions;(3) other financial companies (including insurance companies) exposures which are assigned a 20% risk weight under the standardised approach;(4) regulated CIUs that are subject to capital or leverage requirements;(5) regulated pension funds; and(6) a recognised clearing
Exposures fully and completely secured, to the satisfaction of the firm, by shares in Finnish residential housing companies, operating in accordance with the Finnish Housing Company Act of 1991 or subsequent equivalent legislation, in respect of residential property which is or shall be occupied or let by the owner must be assigned a risk weight of 35%.[Note: BCD Annex VI Part 1 point 46]
For the purpose of defining the secured portion of the past due item, eligible collateral and guarantees must be those eligible for credit risk mitigation purposes under BIPRU 5.[Note: BCD Annex VI Part 1 point 62]
BIPRU 3.4.124RRP
Where a firm is not aware of the underlying exposures of a CIU, it may calculate an average risk weight for the CIU in accordance with the standardised approach subject to the following rules: it will be assumed that the CIU first invests, to the maximum extent allowed under its mandate, in the standardised credit risk exposure classes attracting the highest capital requirement, and then continues making investments in descending order until the maximum total investment limit
BIPRU 3.4.130RRP
Holdings of equity and other participations except where deducted from capital resources must be assigned a risk weight of at least 100%.[Note: BCD Annex VI Part 1 point 86]
If the Part IV permission of a firm contains a requirement obliging it to comply with this rule with respect to a third-country banking and investment group of which it is a member, it must comply, with respect to that third-country banking and investment group, with the rules in Part 2 of GENPRU 3 Annex 2, as adjusted by Part 3 of that annex.
LR 14.3.10RRP
An overseas company must ensure that any definitive document of title for an equity security (other than a bearer security) includes the following matters on its face (or on the reverse in the case of (5) and (7)):(1) the authority under which the overseas company is constituted and the country of incorporation and registered number (if any);(2) the number or amount of equity securities the certificate represents and, if applicable, the number and denomination of units (in the
LR 14.3.17RRP
An overseas company must notify a RIS as soon as possible (unless otherwise indicated in this rule) of the following information relating to its capital:(1) any proposed change in its capital structure including the structure of its listeddebt securities, save that an announcement of a new issue may be delayed while marketing or underwriting is in progress;(2) [deleted]11(3) any redemption of listedequity securities including details of the number of equity securities redeemed
MAR 5.3.1RRP
1A firm operating an MTF must have:(1) transparentand non-discretionary rules and procedures for fair and orderly trading;[Note:Article 14(1) of MiFID](2) objective criteria for the efficient execution of orders;[Note: Article 14(1) of MiFID](3) transparent rules regarding the criteria for determining the financial instruments that can be traded under its systems;[Note: Subparagraph 1 of Article 14(2) of MiFID](4) transparent rules, based on objective criteria, governing access
(1) An originator of a synthetic securitisation may calculate risk weighted exposure amount, and, as relevant, expected loss amounts, for the securitised exposures in accordance with BIPRU 9.5.3 R and BIPRU 9.5.4 R, if significant credit risk has been transferred to third parties, either through funded or unfunded credit protection, and the transfer complies with the conditions in (2)-(5).(2) The securitisation documentation must reflect the economic substance of the transaction.(3)
A firm that is a member of a UK consolidation group must comply, to the extent and in the manner prescribed in BIPRU 8.5, with the obligations laid down in GENPRU 1.2 (Adequacy of financial resources), the main BIPRU firm Pillar 1 rules (but not the base capital resources requirement) and BIPRU 10 (Concentration risk requirements) on the basis of the consolidated financial position of:(1) where either Test 1A or Test 1B in BIPRU 8 Annex 1 (Decision tree identifying a UK consolidation
The base capital resources requirement does not apply on a consolidated basis.
A firm must hold capital resources with respect to a free delivery, as set out in the Table in BIPRU 14.4.3 R, if:(1) it has paid for securities, foreign currencies or commodities before receiving them or it has delivered securitiesforeign currencies or commodities before receiving payment for them; and(2) in the case of cross-border transactions, one day or more has elapsed since it made that payment or delivery.[Note: CAD Annex II point 2]

Table: Capital treatment for free deliveries

This table belongs to BIPRU 14.4.2 R.

Transaction Type

Up to first contractual payment leg or delivery leg

From first contractual payment leg or delivery leg up to four days after second contractual payment leg or delivery leg

From 5 business days post second contractual payment leg or delivery leg until extinction of the transaction

Free delivery

No capital charge in the trading book

Treat as an exposure

Deduct value transferred plus current positive exposure from capital resources

[Note: CAD Annex II Table 2]

(1) Securitisation documentation should make clear, where applicable, that any repurchase of securitised exposures or securitisation positions by the originator or sponsor beyond its contractual obligations is not mandatory and may only be made at fair market value. In general, any such repurchase should be subject to a firm's credit review and approval process, which should be adequate to ensure that the repurchase complies with BIPRU 9.6.1 R.(2) If an originator or sponsor repurchases
(1) The support described in BIPRU 9.6.5 G (1) is permitted by BIPRU 9.6.1 R.(2) The support described in BIPRU 9.6.5 G (3) is not permitted by BIPRU 9.6.1 R.(3) The support described in BIPRU 9.6.5 G (2) may be permitted by BIPRU 9.6.1 R under the following conditions:(a) the fact that the firm may give it is expressly set out in the contractual and marketing documents for the securitisation;(b) the nature of the support that the firm may give is precisely described in the documentation;(c)
(1) Subject to BIPRU 3.2.35 R, and with the exception of exposures giving rise to liabilities in the form of the items referred to in BIPRU 3.2.26 R, a firm is not required to comply with BIPRU 3.2.20 R (Calculation of risk weighted exposures amounts under the standardised approach) in the case of the exposures of the firm to a counterparty which is its parent undertaking, its subsidiary undertaking or a subsidiary undertaking of its parent undertaking or to which the firm is
A firm must not apply the treatment in BIPRU 3.2.25 R to exposures giving rise to liabilities in the form of any of the following items:(1) in the case of a BIPRU firm, any tier one capital or tier two capital; and(2) in the case of any other undertaking, any item that would be tier one capital or tier two capital if the undertaking were a BIPRU firm.[Note: BCD Article 80(7), part]
In the case of an undertaking that is a firm the requirement in BIPRU 3.2.25 R (1)(e) for the prompt transfer of capital resources refers to capital resources in excess of the capital and financial resources requirements to which it is subject under the regulatory system.
SUP 13A.9.5GRP
(1) The purpose of the precautionary measure rule is to ensure that an incoming EEA firm is subject to the standards of MiFID and the MiFID implementing Directive to the extent that the Home State has not transposed MiFID or the MiFID implementing Directive by 1 November 2007. It is to 'fill a gap'.(2) The rule is made in the light of the duty of the United Kingdom under Article 62 of MiFID to adopt precautionary measures to protect investors. (3) The rule will be effective for
BIPRU 4.9 applies with respect to securitisationexposures, non credit-obligation assets and exposures to CIUs.
The exposure value of non credit-obligation assets must be the value presented in the financial statements.[Note: BCD Annex VII Part 3 point 13]
The effect of GENPRU 2.3.34 R is that Lloyd's members' contributions, including letters of credit, guarantees and life assurance policies, are admissible assets.
(1) Implementation of the IRB approach as referred to in BIPRU 4.2.18 R must be carried out within a reasonable period of time as set out in the IRB permission.(2) The implementation must be carried out subject to strict conditions determined by the FSA and set out in the IRB permission.(3) A firm must not use the flexibility under BIPRU 4.2.18 R selectively with the purpose of achieving reduced minimum capital requirements in respect of those IRB exposure classes or business
(1) To the extent that its IRB permission permits this, a firm permitted to use the IRB approach in the calculation of risk weighted exposure amounts and expected loss amounts3 for one or more IRB exposure classes may apply the standardised approach in accordance with this rule.3(2) A firm may apply the standardised approach to the IRB exposure class referred to in BIPRU 4.3.2 R (1) (Sovereigns) where the number of material counterparties is limited and it would be unduly burdensome
For the purposes of BIPRU 4.2.26 R (4), the equity exposureIRB exposure class of a firm must be considered material if its aggregate value, excluding equity exposures incurred under legislative programmes as referred to in BIPRU 4.2.26 R (8), exceeds, on average over the preceding year, 10% of the firm'scapital resources. If the number of those equity exposures is less than 10 individual holdings, that threshold is 5% of the firm'scapital resources.[Note:BCD Article 89(2)]
REC 3.12.2RRP
A UK recognised body is not required to give notice of civil legal proceedings or information about them to the FSA under REC 3.12.1 R, where:(1) the amount of damages claimed would not significantly affect that UK recognised body's financial resources, if the claim were successful;(2) the claim would not have a significant adverse effect on the reputation and standing of that body, if that claim were successful; and (3) the claim does not relate to that body's regulatory fun
(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
A firm must calculate the counterparty risk capital component as the sum of:(1) the capital requirement calculated under BIPRU 14.2.13 R; and(2) the amount calculated under BIPRU 14.3.
A firm must hold capital calculated in accordance with BIPRU 14.2.13 Ragainst the CCR arising from exposures arising in the trading book due to the following:(1) free deliveries (where BIPRU 14.4 requires it to be treated as an exposure);(2) financial derivative instruments and credit derivatives;(3) repurchase agreements, reverse repurchase agreements, securities or commodities lending or borrowing transaction based on securities or commodities included in the trading book;(4)
In relation to a sole trader'sfirm or a firm which is a partnership, the sole trader or a partner in the firm may use personal assets to meet the general solvency requirement and the general capital resource requirement, to the extent necessary to make up any shortfall in meeting those requirements, unless:(1) those assets are needed to meet other liabilities arising from:(a) personal activities; or(b) another business activity not regulated by the FSA; or(2) the firm holds client
A subordinated debt must not form part of the capital resources of the firm unless it meets the following conditions: (1) (for a firm which carries on insurance mediation activity, home finance mediation activity1 (or both) but not home financing1or home finance administration1) it has an original maturity of:1111(a) at least two years; or(b) it is subject to two years' notice of repayment;(2) (for all other firms) it has an original maturity of:(a) at least five years; or(b)