Related provisions for BIPRU 13.6.29

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BIPRU 13.6.6RRP
A firm may determine the exposure value for:(1) financial derivative instruments;(2) repurchase transactions;(3) securities or commodities lending or borrowing transactions;(4) margin lending transactions; and(5) long settlement transactionsusing the CCR internal model method.[Note: BCD Annex III Part 2 point 2]
BIPRU 13.6.7RRP
A firm may use the CCR internal model method to calculate the exposure value for:(1) the transactions in BIPRU 13.6.6 R (1); or(2) the transactions in BIPRU 13.6.6 R (2), (3) and (4); or(3) the transactions in BIPRU 13.6.6 R (1) to (4).[Note: BCD Annex III Part 6 point 1 (part)]
BIPRU 13.6.9GRP
Point 2 of Part 6 of Annex III of the Banking Consolidation Directive provides that a firm using the CCR internal model method may use a type of model other than the type set out in BIPRU 13.6. If the FSA agrees to this the details of the model and the necessary calculations will be set out in the CCR internal model method permission, which will modify BIPRU 13.6 to the extent necessary. The FSA would not expect to agree to such a request unless the firm was able to satisfy the
BIPRU 13.6.10RRP
For all financial derivative instruments and for long settlement transactions which are outside the scope of a firm'sCCR internal model method permission, a firm must use the CCR mark to market method or the CCR standardised method.[Note: BCD Annex III Part 6 point 3 first sentence]
BIPRU 13.6.11RRP
Under BIPRU 13.6.10 R, combined use of the CCR mark to market method and the CCR standardised method is only permitted where one of the methods is used for the cases set out in BIPRU 13.5.9 R to BIPRU 13.5.10 R.[Note: BCD Annex III Part 6 point 3 second sentence]
BIPRU 13.6.12RRP
Notwithstanding 2BIPRU 13.3.10 R2 (Combined use), a firm may choose not to apply the CCR internal model method to exposures that are immaterial in size and risk.[Note: BCD Annex III Part 6 point 1 third sentence]
BIPRU 13.6.13RRP
If permitted by its CCR internal model method permission, and subject to its terms, a firm may carry out the implementation of the CCR internal model method sequentially across different transaction types; and during this period the firm may use the CCR mark to market method or the CCR standardised method.[Note: BCD Annex III Part 6 point 2]
BIPRU 13.6.17RRP
Subject to BIPRU 13.6.10 R to BIPRU 13.6.16 G, a firm that has a CCR internal model method permission must not use the CCR mark to market method or the CCR standardised method for transactions within the scope of the firm'sCCR internal model method permission.[Note: BCD Annex III Part 6 point 4 (part)]
BIPRU 13.6.18GRP
A firm which wishes to revert to the CCR mark to market method or the CCR standardised method will need to request the FSA to revoke or vary its CCR internal model method permission.[Note: BCD Annex III Part 6 point 4 (part)]
BIPRU 13.6.19GRP
The FSA will not agree to a firm's request to revoke or vary its CCR internal model method permission except for demonstrated good cause.[Note: BCD Annex III Part 6 point 4 (part)]
BIPRU 13.6.21GRP
If a firm ceases to comply with the requirements set out in BIPRU 13.6, the FSA may revoke the CCR internal model method permission or take other appropriate supervisory action.[Note: BCD Annex III Part 6 point 4 (part)]
BIPRU 13.6.23RRP
A firm may include eligible financial collateral as defined in BIPRU 5.4.8 R (Eligible collateral under financial collateral comprehensive method) and BIPRU 14.2.15 R to BIPRU 14.2.17 R in its forecasting distributions for changes in the market value of the netting set, if the quantitative, qualitative and data requirements for the CCR internal model method are met for the collateral.[Note: BCD Annex III Part 6 point 6]
BIPRU 13.6.31RRP
For the purposes of BIPRU 13.6.24 R, alpha () is 1.4 or any higher amount specified in the firm'sCCR internal model method permission.[Note: BCD Annex III Part 6 point 7 second part]
BIPRU 13.6.33RRP
If a firm'sCCR internal model method permission permits it, the firm may use its own estimates of , subject to a floor of 1.2, where must equal the ratio of internal capital from a full simulation of CCRexposure across counterparties (numerator) and internal capital based on EPE (denominator).[Note: BCD Annex III Part 6 point 12 (part)]
BIPRU 13.6.52RRP
A firm must have a track record in the use of models that generate a distribution of exposures1 to CCR. Thus, the firm must be able to demonstrate that it has been using a model to calculate the distribution of exposures1 upon which the EPE calculation is based that meets, broadly, the minimum requirements set out in BIPRU 13.6 for at least one year prior to the date of its CCR internal model method permission.[Note: BCD Annex III Part 6 point 28]
BIPRU 13.6.67RRP
(1) A firm'sCCR internal model method model must meet the validation requirements in (2) to (8).(2) The qualitative validation requirements set out in BIPRU 7.10 must be met.(3) Interest rates, foreign currency rates, equity prices, commodities, and other market risk factors must be forecast over long time horizons for measuring CCRexposure. The performance of the forecasting model for market risk factors must be validated over a long time horizon.(4) The pricing models used to
BIPRU 13.6.68GRP
If backtesting indicates that the CCR internal model method model is not sufficiently accurate, the FSA may revoke a firm'sCCR internal model method permission or take appropriate measures to ensure that the model is improved promptly. Measures taken by the FSA may include the use of its own-initiative power to require the firm to hold more capital resources.[Note: BCD Annex III Part 6 point 42 (part)]
BIPRU 13.5.1RRP
A firm may use the CCR standardised method only for financial derivative instruments and long settlement transactions.[Note: BCD Annex III Part 5 point 1 (part)]
BIPRU 13.5.9RRP
A firm must apply the CCR mark to market method to transactions with a non-linear risk profile or for payment legs and transactions with debt instruments as underlying if:(1) the firm does not have a CAD 1 model permission or a VaR model permission; or(2) where the firm does have a CAD 1 model permission or a VaR model permission but cannot determine the delta or the modified duration, respectively, with its CAD 1 model permission or VaR model permission.[Note: BCD Annex III Part
BIPRU 13.5.10RRP
A firm must not recognise netting for the purpose of applying the CCR mark to market method to an exposure treated under BIPRU 13.5.9 R (that is, the exposure value must be determined as if there were a netting set that comprises just the individual transaction).[Note: BCD Annex III Part 5 point 19 (part)]
BIPRU 13.5.15RRP
There is one hedging set for each issuer of a reference debt instrument that underlies a credit default swap.[Note: BCD Annex III Part 5 point 15]
BIPRU 13.5.19RRP
A firm that makes use of collateral to mitigate its CCR must have internal procedures to verify that, prior to recognising the effect of collateral in its calculations, the collateral meets the legal certainty standards set out in BIPRU 5 modified, where relevant, by BIPRU 4.10.[Note: BCD Annex III Part 5 point 21]
BIPRU 13.5.21RRP
A firm must apply the CCR multipliers for the different hedging set categories according to the Table in BIPRU 13.5.22 R.[Note: BCD Annex III Part 5 point 18]
BIPRU 13.5.22RRP
This table belongs to BIPRU 13.5.21 R.Hedging set categoriesCCR Multiplier (CCRM)(1)Interest Rates0.2%(2)Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1.0.3%(3)Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R.0.6%(4)Exchange Rates2.5%(5)Electric
BIPRU 13.5.25RRP
A firm must determine the exposure value net of collateral, as follows:exposure value = *max(CMV-CMC;(j)((i)(RPTij)-(l)(RPClj))*CCRMj)where:CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral.That is, where:CMV = (i)(CMVi)where:CMVi = the current market value of transaction i;CMC = the current market value of the collateral assigned to the netting set.That is, where:CMC = (l)(CMCl)whereCMCl = the current market
BIPRU 13.3.2RRP
Subject to BIPRU 13.3, a firm must determine the exposure value for financial derivative instruments with the CCR mark to market method, the CCR standardised method or the CCR internal model method.[Note: BCD Annex III, Part 2 point 1]
BIPRU 13.3.6RRP
A firm may determine exposures arising from long settlement transactions using any of the CCR mark to market method, the CCR standardised method and the CCR internal model method, regardless of the methods chosen for treating financial derivatives instruments and repurchase transactions, securities or commodities lending or borrowing transactions, and margin lending transactions. In calculating capital requirements for long settlement transactions, a firm that uses the IRB approach
BIPRU 13.3.8RRP
Under the CCR mark to market method, the CCR standardised method and the CCR internal model method, a firm must determine the exposure value for a given counterparty as equal to the sum of the exposure values calculated for each netting set with that counterparty.[Note: BCD Annex III Part 2 point 5]
BIPRU 13.3.10RRP
The combined use of the CCR mark to market method, the CCR standardised method and the CCR internal model method is not permitted. The combined use of the CCR mark to market method and the CCR standardised method is permitted where one of the methods is used for the cases set out in BIPRU 13.5.9 R to BIPRU 13.5.10 R.[Note: BCD Annex III Part 2 point 1(part)]
BIPRU 13.3.15RRP
In the cases in BIPRU 13.3.14 R, a firm must set the exposure value for CCR for these credit derivatives to zero.[Note: BCD Annex III Part 2 point 3 (part)]
BIPRU 4.3.121RRP
To the extent that a firm recognises collateral for determining the exposure value for counterparty credit risk according to the CCR standardised method or the CCR internal model method, any amount expected to be recovered from the collateral must not be taken into account in the LGD estimates.[Note:BCD Annex VII Part 4 point 79]
BIPRU 4.4.67RRP
(1) A firm must calculate maturity (M) for each of the exposures referred to in this rule in accordance with this rule and subject to BIPRU 4.4.68 R to BIPRU 4.4.70 R. In all cases, M must be no greater than 5 years.(2) For an instrument subject to a cash flow schedule M must be calculated according to the following formula:where CFt denotes the cash flows (principal, interest payments and fees) contractually payable by the obligor in period t.(3) For derivatives subject to a
BIPRU 5.6.29RRP
(1) A firm must under the standardised approach calculate risk weighted exposure amounts for repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions covered by master netting agreements under this rule.(2) E* as calculated under BIPRU 5.6.5 R to BIPRU 5.6.25 R must be taken as the exposure value of the exposure to the counterparty arising from the transactions subject to the master netting agreement
BIPRU 13.7.5RRP
A firm may recognise as risk-reducing the following types of contractual netting:(1) bilateral contracts for novation between a firm and its counterparty under which mutual claims and obligations are automatically amalgamated in such a way that this novation fixes one single net amount each time novation applies and thus creates a legally binding, single new contract extinguishing former contracts;(2) other bilateral agreements between a firm and its counterparty; and(3) a firm
BIPRU 13.7.11RRP
For the purposes of the CCR mark to market method, the CCR standardised method and the CCR internal model method a firm must recognise netting as set out in BIPRU 13.3 and BIPRU 13.6.[Note: BCD Annex III Part 7 point (b) (part)]
BIPRU 13.8.2RRP
Subject to BIPRU 13.8.3 R, in respect of a securities financing transaction, if a firm:(1) has a CCR internal model method permission which covers the transaction; or(2) has a master netting agreement internal models approach permission which covers the transaction;then the firm must use the CCR internal model method approach or the master netting agreement internal models approach, as applicable, to calculate the exposure value for that transaction unless an exception in BIPRU
BIPRU 13.8.7RRP
Notwithstanding BIPRU 13.8.2 R, a firm must determine the exposure value of a credit risk exposure outstanding with a central counterparty in accordance with BIPRU 13.8.8 R1, provided that the central counterparty'scounterparty credit riskexposures with all participants in its arrangements are fully collateralised on a daily basis.[Note: BCD Article 78(4) in respect of SFTs]
BIPRU 13.8.8RRP
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]
FEES 3.2.7RRP
Table of application, notification and vetting fees(1) Fee payer(2) Fee payableDue date(a) Any applicant for Part IV permission (including an incoming firm applying for top-up permission) (1) Unless (2) applies, in1 respect of a particular application, the highest of the tariffs set out in FEES 3 Annex 1 part 11 which apply to that application.(2) In respect of a particular application which is:(i) a straightforward or moderately complex case for the purposes of FEES 3 Annex 1