Related provisions for BIPRU 7.3.27
41 - 54 of 54 items.
A firm may attribute an exposure value of zero for CCR to a securities financing transaction or to any other exposures in respect of that transaction (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) which is outstanding with a central counterparty and has not been rejected by the central counterparty.[Note: BCD Annex III Part 2 point 6 in respect of SFTs]
Interest rate risk in the non-trading book may arise from a number of sources for example:(1) risks related to the mismatch of repricing of assets and liabilities and off balance sheet short and long-term positions;(2) risks arising from hedging exposure to one interest rate with exposure to a rate which reprices under slightly different conditions;(3) risk related to the uncertainties of occurrence of transactions e.g. when expected future transactions do not equal the actual
(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
A firm should ensure its risk management functions are aware of weaknesses of the model used to calculate deltas. Where weaknesses are identified, the firm should ensure that estimates of delta result in prudent own funds requirements being held. The outcome should be prudent across the whole portfolio of options and underlying positions at a given time.
(1) The FCA may require a firm to provide information about the position in the group of any undertaking excluded from the consolidation under rule 14.2.5. (2) An exclusion under rule 14.2.5(2) would normally be appropriate when an entity would be excluded from the scope of consolidation under the relevant UK generally accepted accounting principles.
(1) Dealing on own account means (for the purpose of GENPRU and BIPRU) the service of dealing in any financial instruments for own account as referred to in point 3 of Section A of Annex I to MiFID, subject to (2) and (3).99(2) In accordance with article 5(2) of the Capital Adequacy Directive (Definition of dealing on own account), a CAD investment firm that executes investors' orders for financial instruments and holds such financial instruments for its own account does not for
Each exposure must be assigned to one of the following exposure classes:(1) claims or contingent claims on central governments and central banks;(2) claims or contingent claims on institutions;(3) claims or contingent claims on corporates;(4) retail claims or contingent retail claims;(5) equity claims;(6) securitisation positions; and(7) non credit-obligation assets.[Note: BCD Article 86(1)]
(1) A securities firm may consider the impact of the situations listed in (a) to (c) on its capital levels when assessing its exposure to concentration risk:(a) the potential loss that could arise from large exposures to a single counterparty;(b) the potential loss that could arise from exposures to large transactions or to a product type; and(c) the potential loss resulting from a combination of events such as a sudden increase in volatility leaving a hitherto fully-margined
(1) A securities firm may consider the impact of the following situations on its capital levels when assessing its exposure to concentration risk: (a) the potential loss that could arise from large exposures to a single counterparty; (b) the potential loss that could arise from exposures to large transactions or to a product type; and(c) the potential loss resulting from a combination of events such as a sudden increase in volatility leaving a hitherto fully-margined client unable
1The following schedules and building blocks and tables of combinations are copied from the PD Regulation:6[Note: See transitional provisions in Regulation (EU) No 862/2012 and Regulation (EU) No 759/20137]ANNEX IMinimum Disclosure Requirements for the Share Registration Document (schedule)71.PERSONS RESPONSIBLE1.1.All persons responsible for the information given in the Registration Document and, as the case may be, for certain parts of it, with, in the latter case, an indication
Examples of uncovered open positions include:(1) selling a call option on an investment not held in the portfolio;(2) unsettled sales of call options on currency in amounts greater than the portfolio's holding of that currency in cash or in readily realisable investments denominated in that currency; and (3) transactions having the effect of selling an index to an amount greater than the portfolio's holdings of investments included in that index.