Related provisions for BIPRU 7.11.1

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BIPRU 14.2.2RRP
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)
BIPRU 14.2.10RRP
Where a credit derivative included in the trading book forms part of an internal hedge and the credit protection is recognised under the BCD3, there is deemed to be no counterparty risk arising from the position in the credit derivative. Alternatively, a firm may consistently include for the purposes of calculating capital requirements for counterparty credit risk all credit derivatives included in the trading book forming part of internal hedges or purchased as protection against
BIPRU 14.2.15RRP
For the purposes of BIPRU 14.2.11 R:(1) in the case of repurchase transactions and securities or commodities lending or borrowing transactions booked in the trading book, all CRD financial instruments and commodities that are eligible to be included in the trading book may be recognised as eligible collateral;(2) for exposures due to financial derivative instruments and long settlement transactions booked in the trading book, commodities that are eligible to be included in the
BIPRU 7.11.13RRP
(1) BIPRU 7.11.14R - BIPRU 7.11.17R relate to specific riskPRR for trading bookpositions hedged by credit derivatives for the purposes of the calculation of the securities PRR.(2) A firm may take an allowance for protection provided by credit derivatives for the purposes in (1) in accordance with the principles set out in the rules referred to in (1).(3) [deleted]44
BIPRU 7.11.20RRP
The specific risk portion of the interest rate PRR for credit derivatives in the trading book4 must be calculated in accordance withBIPRU 7.2.43 R to BIPRU 7.2.46A G (Specific risk calculation), BIPRU 7.2.48A R to BIPRU 7.2.48K R (Specific risk: securitisations and re-securitisations), BIPRU 7.2.48L R (Specific risk: Correlation trading portfolio), BIPRU 7.2.49 R to BIPRU 7.2.51 G (Definition of a qualifying debt security)4 and the other provisions of BIPRU 7.11, as applicabl
BIPRU 1.2.18RRP
In order to calculate the proportion that trading book business bears to total business for the purpose of BIPRU 1.2.17 R (1)(a) to BIPRU 1.2.17R (1)(c) the firm must refer to the size of the combined on- and off-balance-sheet business. For this purpose, debt instruments must be valued at their market prices or their principal values, equities at their market prices and derivatives according to the nominal or market values of the instruments underlying them. Long positions and
BIPRU 5.7.4RRP
When a firm conducts an internal hedge using a credit derivative - i.e. hedges the credit risk of an exposure in the non-trading book with a credit derivative booked in the trading book - in order for the protection to be recognised as eligible for the purposes of BIPRU 4.10 or BIPRU 5 the credit risk transferred to the trading book must be transferred out to a third party or parties. In such circumstances, subject to the compliance of such transfer with the requirements for the
BIPRU 13.3.15RRP
(1) 1In the cases in BIPRU 13.3.14R, and where the option in the second sentence of BIPRU 14.2.10 R is not applied, the exposure value for CCR for these creditderivatives is set to zero.(2) 1However, a firm may choose consistently to include for the purposes of calculating capital requirements for counterparty credit risk all credit derivatives not included in the trading book and purchased as protection against a non-trading exposure or against a CCRexposure where the credit
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
IFPRU 11.7.4RRP
A firm or qualifying parent undertaking must notify the FCA by sending an e-mail to its usual supervisory contact.