Related provisions for BIPRU 14.3.1

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BIPRU 1.2.6RRP
Term trading-related repo-style transactions that a firm accounts for in its non-trading book may be included in the trading book for capital requirement purposes so long as all such repo-style transactions are included. For this purpose, trading-related repo-style transactions are defined as those that meet the requirements of BIPRU 1.2.4 R, BIPRU 1.2.10 R and BIPRU 1.2.12 R, and both legs are in the form of either cash or securities includable in the trading book. Regardless
BIPRU 1.2.6AGRP
2Capital requirements for term trading-related repo-style transactions are the same whether the risks arise in the trading book as counterparty credit risk or in the non-trading book as credit risk.
BIPRU 1.2.14RRP
(1) An internal hedge is a position that materially or completely offsets the component risk element of a non-trading bookposition or a set of position. Positions arising from internal hedges are eligible for trading book capital treatment, provided that they are held with trading intent and that the general criteria on trading intent and prudent valuation specified in BIPRU 1.2.12 R and the trading book systems and controls rules. In particular:(a) internal hedges must not be
BIPRU 1.2.16RRP
By way of derogation from 1BIPRU 1.2.14 R to BIPRU 1.2.15 R, when a firm hedges a non-trading book credit risk exposure using a credit derivative booked in its trading book (using an internal hedge), the non-trading book exposure is not deemed to be hedged for the purposes of calculating capital requirements unless the firm purchases from an eligible third party protection provider a credit derivative meeting the requirements set out in BIPRU 5.7.13 R (Additional requirements
BIPRU 1.2.17RRP
(1) Subject to (3), a firm may calculate its capital requirements for its trading book business in accordance with the standardised approach to credit risk (or, if it has an IRB permission, the IRB approach) as it applies to the non-trading book where the size of the trading book business meets the following requirements:(a) the trading book business of the firm does not normally exceed 5% of its total business;(b) its total trading bookposition do not normally exceed €15 million;
BIPRU 1.2.27RRP
A firm must have clearly defined policies and procedures for overall management of the trading book. At a minimum these policies and procedures must address:(1) the activities the firm considers to be trading and as constituting part of the trading book for capital requirement purposes;(2) the extent to which a position can be marked-to-market daily by reference to an active, liquid two-way market;(3) for positions that are marked-to-model, the extent to which the firm can:(a)
BIPRU 1.2.34GRP
Capital requirements for foreign currency risk and commodityposition risk are the same whether the risk arises in the trading book or the non-trading book. The calculation of capital requirements for foreign currency risk is set out in BIPRU 7.5. The calculation of capital requirements for commodityposition risk is set out in BIPRU 7.4.
BIPRU 1.2.36GRP
All positions that are not in a firm'strading book are included in its non-trading book and subject capital requirements for the non-trading book unless they are deducted from capital resources under GENPRU 2.2 (Capital resources).
BIPRU 14.2.17RRP
For the purposes of BIPRU 14.2.11 R, in relation to the recognition of master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital market-driven transactions netting across positions in the trading book and the non-trading book may only be recognised when the netted transactions fulfil the following conditions:(1) all transactions are marked to market daily;(2) any items borrowed, purchased
BIPRU 14.2.21RRP
For the purposes of counterparty credit risk, a firm may net exposures arising from items in the trading book against exposures arising from items in the non-trading book.
BIPRU 14.2.22RRP
Where a firm carries out netting under BIPRU 14.2.21 R, it must allocate the net exposure to:(1) the trading book for the purposes of the calculation under BIPRU 14.2.11 R, if the gross trading bookexposures exceed gross non-trading bookexposures; and(2) the non-trading book for the purposes of BIPRU 13, if the gross non-trading bookexposures exceed gross trading bookexposures.
BIPRU 14.2.23RRP
A firm may only net exposures under BIPRU 14.2.21 R if it continues to meet other GENPRU and BIPRU requirements applicable to the trading book or non-trading book in respect of those exposures.
BIPRU 14.2.24GRP
For example, in relation to BIPRU 14.2.23 R, collateral which is eligible only against trading bookexposures will not be applicable against non-trading bookexposures; and the large exposures limits on non-trading book positions will also remain applicable.
BIPRU 7.5.3RRP
A firm'sforeign currency PRR calculation must include the following items regardless of whether they are trading book or non-trading bookpositions:(1) all gold positions;(2) all spot positions in foreign currency (that is, all asset items less all liability items, including accrued interest, in the foreign currency in question);(3) all forward positions in foreign currency;(4) all CRD financial instruments and other items which are denominated in a foreign currency;(5) irrevocable
BIPRU 7.5.11RRP
(1) A firm must treat a foreign currencyforward, future, synthetic future or CFD as two notional currency positions as follows:(a) a long notional position in the currency which the firm has contracted to buy; and(b) a short notional position in the currency which the firm has contracted to sell.(2) In (1) the notional positions have a value equal to either:(a) the contracted amount of each currency to be exchanged in the case of a forward, future, synthetic future or CFD held
BIPRU 7.5.13RRP
(1) A firm must treat a foreign currencyswap as:(a) a long notional position in the currency in which the firm has contracted to receive interest and principal; and(b) a short notional position in the currency in which the firm has contracted to pay interest and principal.(2) In (1) the notional positions have a value equal to either:(a) the nominal amount of each currency underlying the swap if it is held in the non-trading book; or(b) the present value amount of all cash flows
GENPRU 2.2.85RRP
(1) Negative amounts, including any interim net losses (but in the case of a BIPRU firm16, only material interim net losses), must be deducted from profit and loss account and other reserves.16(2) For these purposes material interim net losses mean unaudited interim losses arising from a firm'strading book and non-trading book business which exceed 10% of the sum of its capital resources calculated at stage A (Core tier one capital)8 in the capital resources table.8(3) If interim
GENPRU 2.2.219RRP
A reciprocal cross-holding means a holding of the BIPRU firm of shares, any other interest in the capital, and subordinated debt, whether in the trading or non-trading book, in:(1) a credit institution; or(2) a financial institution;that satisfies the following conditions:(3) the holding is the subject of an agreement or arrangement between the BIPRU firm and either the issuer of the instrument in question or a member of a group to which the issuer belongs;(4) under the terms
GENPRU 2.2.237RRP
A BIPRU firm calculating risk weighted exposure amounts under the IRB approach or the standardised approach to credit risk must deduct from its capital resources the following:1313(1) the exposure amount of securitisation positions which receive a risk weight of 1250% under BIPRU 9 (Securitisation), unless the firm includes the securitisation positions in its calculation of risk weighted exposure amounts (see BIPRU 9.10 (Reduction in risk-weighted exposure amounts)); and13(2)
BIPRU 14.4.1RRP
BIPRU 14.4 applies in respect of items in the trading book and the non-trading book.
SUP 16.12.11RRP
The applicable data items referred to in SUP 16.12.4 R are set out according to firm type in the table below:Description of data item45Firms' prudential category and applicable data items(note 1)IFPRU investment firms and BIPRU firmsFirmsother thanBIPRU firms or IFPRU investment firmsIFPRUBIPRUIPRU(INV)Chapter 3IPRU(INV)Chapter 5IPRU(INV)Chapter 9IPRU(INV)Chapter 1338Solvency statementNo standard format (note 11)No standard format (note 20)No standard format (note 11)38Balance
SUP 16.12.15RRP
The applicable data items referred to in SUP 16.12.4 R are set out76 according to firm type76 in the table below: 48Description of data itemFirms' prudential category and applicable data items (note 1)IFPRU investment firms and BIPRU firmsFirms other than BIPRU firms or IFPRU investment firmsIFPRUBIPRUIPRU(INV) Chapter 3IPRU(INV) Chapter 5IPRU(INV) Chapter 9IPRU(INV) Chapter 11 (collective portfolio management firms only)IPRU(INV) Chapter 1248IPRU(INV) Chapter 1338Solvency statement(Note
SUP 16.12.22ARRP
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:45Description ofData itemFirms' prudential category and applicable data item (note 1)IFPRUBIPRU firmExempt CAD firmssubject toIPRU(INV)Chapter 13Firms(other thanexempt CAD firms) subject toIPRU(INV)Chapter 13Firmsthat are also in one or more ofRAGs1 to 6 and not subject toIPRU(INV)Chapter 13Solvency statementNo standard format (note 11)Balance SheetFSA001/FINREP (Notes
SUP 16.12.25ARRP
2The applicable data items referred to in SUP 16.12.4 R are set out according to type of firm in the table below:45Description of data itemFirms' prudential category and applicable data item(note 1)IFPRU investment firms and BIPRU firmsFirmsother thanBIPRU firms or IFPRU investment firmsIFPRUBIPRUIPRU(INV)Chapter 3IPRU(INV)Chapter 5IPRU(INV)Chapter 9IPRU(INV)Chapter 1338Solvency statement (note 11)No standard format38Balance sheetFSA001/FINREP (Notes 2 and 30)FSA001 (Note 2)FSA029FSA029FSA029Section
BIPRU 11.5.17RRP
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 or capital resource requirements according to BIPRU 7.2.48A R to BIPRU 7.2.48K R4 must disclose the following information, where relevant separately for its trading book and non-trading book:4(1) a description of the firm's objectives in relation to securitisation activity;(1A) the nature of other risks, including liquidity risk inherent in securitised assets;4(1B) the type of risks in terms of seniority
IFPRU 8.2.4GRP
Article 400(2) of the EU CRR permits the FCA to fully or partially exempt exposures incurred by a firm to intra-group undertakings that meet the specified criteria from the limit stipulated in article 395(1) of the EU CRR in relation to a firm's group of connected clients that represent its wider group. The FCA will consider exempting non-trading book and trading book exposures to intra-group undertakings if specified conditions throughout IFPRU 8.2 are met.
IFPRU 8.2.7RRP
A firm may only make use of the non-core large exposure group exemption where the following conditions are met: (1) the total amount of the non-trading book exposures from the firm to its non-core large exposures group does not exceed 100% of the firm'seligible capital; or (if the firm has a core UK grouppermission) the total amount of non-trading book exposures from its core UK group (including the firm) to its non-core large exposures group does not exceed 100% of the core
IFPRU 6.2.14GRP
(1) A firm should treat a foreign currency forward, future or CFD as two notional currency positions as follows: (a) a long notional position in the currency which the firm has contracted to buy; and(b) a short notional position in the currency which the firm has contracted to sell.(2) In (1), the notional positions should have a value equal to either:(a) the contracted amount of each currency to be exchanged in a forward, future or CFD held in the non-trading book; or(b) the
IFPRU 6.2.15GRP
(1) A firm should treat a foreign currency swap as: (a) a long notional position in the currency in which the firm has contracted to receive interest and principal; and(b) a short notional position in the currency in which the firm has contracted to pay interest and principal.(2) In (1), the notional positions should have a value equal to either: (a) the nominal amount of each currency underlying the swap if it is held in the non-trading book; or(b) the present value amount of
BIPRU 14.1.2GRP
(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
BIPRU 9.1.9GRP
BIPRU 9 deals with:(1) requirements for investors,3originators and sponsors of securitisations of non-trading bookexposures;3(2) the calculation of risk weighted exposure amount for securitisation positions for the purposes of calculating either the credit risk capital component or the counterparty risk capital component; and3(3) the requirements that investors, originators and sponsors of securitisations in the trading book will have to meet (BIPRU 9.3.1AR, BIPRU 9.3.15R to BIPRU
BIPRU 13.1.2RRP
(1) BIPRU 13 applies to items in the non-trading book.(2) BIPRU 13 applies to trading book items for the purposes of BIPRU 14.
BIPRU 7.6.3RRP
Except as permitted under BIPRU 7.6.5R, a firm'soption PRR calculation must include:(1) each trading bookposition in an option on an equity, interest rate or debt security;(2) each trading bookposition in a warrant on an equity or debt security;(3) each trading bookposition in a CIU; and(4) each trading book and non-trading bookposition in an option on a commodity, currency or gold.
BIPRU 7.6.5RRP
Table: Appropriate PRR calculation for an option or warrantThis table belongs to BIPRU 7.6.3ROption type (see BIPRU 7.6.18R) or warrantPRR calculationAmerican option, European option, Bermudan option, Asian option or warrant for which the in the money percentage (see BIPRU 7.6.6R) is equal to or greater than the appropriate position risk adjustment (see BIPRU 7.6.7R and BIPRU 7.6.8R)Calculate either an option PRR, or the most appropriate to the underlying position of: an equity
BIPRU 7.4.2RRP
A firm'scommodity PRR calculation must, regardless of whether the positions concerned are trading book or non-trading bookpositions:(1) include physical commoditypositions;(2) (if the firm is the transferor of commodities or guaranteed rights relating to title to commodities in a repurchase agreement or the lender of commodities in a commodities lending agreement) include such commodities;(3) include notional positions arising from positions in the instruments listed in the table
IFPRU 3.2.5GRP
An indirect or synthetic holding includes a holding of a firm of shares, any other interest in the capital and subordinated debt, whether in the trading book or non-trading book, in:(1) an institution ; or(2) a financial institution; that satisfies the following conditions:(3) the holding is the subject of an agreement or arrangement between the firm and either the issuer of the instrument in question or a member of the group to which the issuer belongs;(4) under the terms of