Related provisions for BIPRU 2.1.11

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MIPRU 4.2F.48RRP
A firm may rely on a third party to calculate and report, in accordance with the method in MIPRU 4.2F.47 R, a risk weight for the fund, provided that the correctness of the calculation and report is adequately ensured.
BIPRU 4.7.27RRP
(1) A firm must meet the standards set out in (2) to (9) for the purpose of calculating capital requirements.(2) The estimate of potential loss must be robust to adverse market movements relevant to the long-term risk profile of the firm's specific holdings. The data used to represent return distributions must reflect the longest sample period for which data is available and be meaningful in representing the risk profile of the firm's specific equity exposures. The data used must
BIPRU 8.5.8GRP
In general a collective portfolio management investment firm2 only calculates its capital and concentration risk requirements in relation to its designated investment business and does not calculate them with respect tomanaging an AIF or managing a UK UCITS5. The effect of BIPRU 8.5.7 R is that this does not apply on a consolidated basis. For the purpose of this chapter the calculations are carried out2 with respect to the whole of the activities of a collective portfolio management
BIPRU 7.7.4RRP
A firm may rely on a third party to calculate and report PRR capital requirements for position risk (general market risk and specific risk) for positions in CIUs falling within BIPRU 7.7.9R and BIPRU 7.7.11R, in accordance with the methods set out in BIPRU 7.7, provided that the correctness of the calculation and the report is adequately ensured.
SUP 16.20.3GRP
(1) The calculation of total balance sheet assets for SUP 16.20.2 R should be consistent with the way this figure is calculated for determining whether a firm is a significant IFPRU firm.(2) For group recovery plans, the calculation of total balance sheet assets should be based on the assets of the largest RRD institution in the group.
IFPRU 4.2.6GRP
Where an exposure is denominated in a currency other than the euro, the FCA expects a firm to use appropriate and consistent exchange rates to determine compliance with relevant thresholds in the UK CRR3. Accordingly, a firm should calculate the euro equivalent value of the exposure for the purposes of establishing compliance with the aggregate monetary limit of €1 million for retail exposures using a set of exchange rates the firm considers to be appropriate. The FCA expects
BIPRU 7.3.13RRP
Where a convertible is included in BIPRU 7.3's PRR calculation (see the table in BIPRU 7.3.3R):(1) it must be treated as a position in the equity into which it converts; and(2) the firm'sequity PRR must be adjusted by making:(a) an addition equal to the current value of any loss which the firm would make if it did convert to equity; or(b) a deduction equal to the current value of any profit which the firm would make if it did convert to equity (subject to a maximum deduction equal
MIPRU 3.2.14RRP

If a firm seeks to have an excess which is higher than the relevant limit, it must hold additional capital as calculated in accordance with the appropriate table below:

Table: Calculation of additional capital for firm not holding client money or other client assets (£000's)

Income

Excess obtained up to and including:

More than

Up to

2.5

5

10

15

20

25

30

40

50

75

100

150

200+

0

100

0

5

9

12

14

17

19

23

26

33

39

50

59

100

200

0

7

12

16

19

22

25

30

34

43

51

64

75

200

300

0

7

12

16

20

24

27

32

37

47

56

71

84

300

400

0

0

12

16

21

24

28

34

39

50

60

77

91

400

500

0

0

11

16

21

24

28

34

40

53

63

81

96

500

600

0

0

10

16

20

24

28

35

41

54

65

84

100

600

700

0

0

0

15

20

24

28

35

41

55

67

87

104

700

800

0

0

0

14

19

24

28

35

42

56

68

89

107

800

900

0

0

0

13

18

23

27

35

42

56

69

91

109

900

1,000

0

0

0

0

17

22

27

34

41

57

70

92

111

1,000

1,500

0

0

0

0

0

21

26

34

41

57

71

97

118

1,500

2,000

0

0

0

0

0

0

0

30

38

56

71

98

121

2,000

2,500

0

0

0

0

0

0

0

24

33

53

69

99

126

2,500

3,000

0

0

0

0

0

0

0

0

28

50

68

101

130

3,000

3,500

0

0

0

0

0

0

0

0

0

47

67

101

132

3,500

4,000

0

0

0

0

0

0

0

0

0

43

65

101

133

4,000

4,500

0

0

0

0

0

0

0

0

0

39

62

101

134

4,500

5,000

0

0

0

0

0

0

0

0

0

0

58

99

134

5,000

6,000

0

0

0

0

0

0

0

0

0

0

54

97

133

6,000

7,000

0

0

0

0

0

0

0

0

0

0

0

91

131

7,000

8,000

0

0

0

0

0

0

0

0

0

0

0

84

126

8,000

9,000

0

0

0

0

0

0

0

0

0

0

0

75

120

9,000

10,000

0

0

0

0

0

0

0

0

0

0

0

0

113

10,000

100,000

0

0

0

0

0

0

0

0

0

0

0

0

0

100,000

n/a

0

0

0

0

0

0

0

0

0

0

0

0

0

Table: Calculation of additional capital for firm holding client money or other client assets (£000's)

Income

Excess obtained up to and including:

More than

Up to

5

10

15

20

25

30

40

50

75

100

150

200+

0

100

0

4

7

9

12

14

18

21

28

34

45

54

100

200

0

7

11

14

17

20

25

29

38

46

59

70

200

300

0

7

11

14

17

20

25

30

40

49

64

77

300

400

0

0

9

13

16

19

25

30

40

50

67

81

400

500

0

0

0

11

14

18

24

29

40

51

68

83

500

600

0

0

0

8

12

15

22

28

40

51

69

85

600

700

0

0

0

0

9

13

20

26

39

50

69

86

700

800

0

0

0

0

6

10

17

24

38

49

69

87

800

900

0

0

0

0

0

7

15

22

36

48

69

87

900

1,000

0

0

0

0

0

0

12

19

34

47

68

87

1,000

1,500

0

0

0

0

0

0

0

16

32

45

67

86

1,500

2,000

0

0

0

0

0

0

0

0

18

34

59

81

2,000

2,500

0

0

0

0

0

0

0

0

0

19

48

71

2,500

3,000

0

0

0

0

0

0

0

0

0

6

37

64

3,000

3,500

0

0

0

0

0

0

0

0

0

0

26

55

3,500

4,000

0

0

0

0

0

0

0

0

0

0

14

45

4,000

4,500

0

0

0

0

0

0

0

0

0

0

1

33

4,500

5,000

0

0

0

0

0

0

0

0

0

0

0

21

5,000

6,000

0

0

0

0

0

0

0

0

0

0

0

8

6,000

7,000

0

0

0

0

0

0

0

0

0

0

0

0

7,000

8,000

0

0

0

0

0

0

0

0

0

0

0

0

8,000

9,000

0

0

0

0

0

0

0

0

0

0

0

0

9,000

10,000

0

0

0

0

0

0

0

0

0

0

0

0

10,000

100,000

0

0

0

0

0

0

0

0

0

0

0

0

100,000

n/a

0

0

0

0

0

0

0

0

0

0

0

0

SUP 16.3.13RRP
(1) A firm must submit a report required by this chapter in the frequency, and so as to be received by the FCA28 no later than the due date, specified for that report.4444(2) If the due date for submission of a report required by this chapter falls on a day which is not a business day, the report must be submitted so as to be received by the FCA28 no later than the first business day after the due date. 4444(3) If the due date for submission of a report required by this chapter
MIPRU 4.1.5GRP
The capital resources of the firms above are calculated in accordance with the appropriate prudential sourcebook.
BIPRU 3.1.6RRP
An exposure falls into this rule if:(1) it is in a firm'snon-trading book;and(2) it has not been deducted from the firm'scapital resources under GENPRU 2.2.
BIPRU 7.4.26RRP
(1) A firm must calculate the charges referred to in BIPRU 7.4.25R as follows.(2) Step 1: offset long and short positions maturing:(a) on the same day; or(b) (in the case of positions arising under contracts traded in markets with daily delivery dates) within 10 business days of each other.(3) Step 2: allocate the positions remaining after step 1 to the appropriate maturity band in the table in BIPRU 7.4.28R (physical commoditypositions are allocated to band 1).(4) Step 3: match
BIPRU 5.5.6RRP
Where it is not possible for a firm to meet the condition set out in BIPRU 5.5.5 R (7), because the insurance relationship ends before the loan relationship expires, the firm must ensure that the amount deriving from the insurance contract serves the firm as security until the end of the duration of the credit agreement.[Note: BCD Annex VIII Part 2 point 13 (part)]
GENPRU 1.2.73AGRP
(1) 6In identifying an appropriate range of adverse circumstances and events in accordance with GENPRU 1.2.42R (2):(a) a firm will need to consider the cycles it is most exposed to and whether these are general economic cycles or specific to particular markets, sectors or industries;(b) for the purposes of GENPRU 1.2.42R (2)(a), the amplitude and duration of the relevant cycle should include a severe downturn scenario based on forward looking hypothetical events, calibrated against
BIPRU 7.6.6RRP
(1) The in the money percentage is calculated in accordance with this rule.(2) For a call option:Current market price of underlying - Strike price of the option * 100Strike price of the option(3) For a put option:Strike price of option - Current market price of underlying * 100Strike price of the option(4) In the case of an option on a basket of securities a firm may not treat the option as being in the money by the relevant percentage so as to enable the firm not to apply an
BIPRU 4.2.2RRP
A firm's systems for the management and rating of credit risk exposures must be sound and implemented with integrity and, in particular, they must meet the following standards in accordance with the minimum IRB standards:(1) the firm'srating systems provide for a meaningful assessment of obligor and transaction characteristics, a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk;(2) internal ratings and default and loss estimates used