BIPRU Sch 1 Record keeping requirements
11 The aim of the guidance in the following table is to give the reader a quick overall view of the relevant record keeping requirements. |
2 It is not a complete statement of those requirements and should not be relied on as if it were. |
3 Table |
Handbook reference |
Subject of Record |
Contents of Record |
When record must be made |
Retention Period |
(1) The results of the ICAAP (2) An explanation of the processes used (3) How the process is used internally and for what purpose (4) Internal governance (5) The main sources of risk to which the firm is exposed (6) How the firm is managing each of those risks (7) Details of stress and scenario testing that has been conducted (8) The rationale behind the chosen scenarios (9) The results of those scenario tests |
Annually |
Not specified |
||
Legal opinions confirming enforceability |
A record of the legal review showing enforceability of credit protection arrangements in all relevant jurisdictions |
Not specified, but before risk mitigant is recognised |
Review conducted as necessary |
|
Risk management processes |
Documented risk management processes to control the risks that firm may be exposed to as a result of carrying out credit risk mitigation |
Not specified, but before risk mitigant is recognised |
Not specified |
|
Collateral procedures |
(1) A clear and robust procedure for the liquidation of collateral (2) Documented policies covering the types and amounts of collateral accepted |
Not specified, but before collateral is recognised |
Not specified |
|
Volatility adjustments for financial collateral |
(1) Documentation of a system estimating volatility adjustments and the integration of the volatility adjustments in its risk management process (2) Review of system estimating volatility adjustments |
Not specified, but before own estimates of volatility adjustments approach is used for capital purposes |
Not specified |
|
System to manage concentration of risk arising from guarantees and credit derivatives |
Documentation of a system to manage potential concentration risk arising from unfunded credit protection and how this interacts with its management of its overall risk profile |
Not specified, but before unfunded credit protection is recognised |
Not specified |
|
Material risks not captured in the firm's VaR model |
Documented risks not captured in the VaR model and creation of a prudent incremental PRR charge for the risk not captured |
Not specified |
Not specified |
|
Legal opinions for securitised exposures |
A record of the legal opinions confirming that the securitised exposures have been put beyond the reach of the originator |
Not specified, but before securitised exposures are excluded from capital calculation |
Review conducted as necessary |
|
Capital plan in case of early amortisation |
For controlled amortisation, the capital/liquidity plan to ensure that sufficient capital and liquidity are available in the event of early amortisation |
Not specified |
Not specified |
|
Capital plan in case of either scheduled or early amortisation |
The capital plan to address the capital implications of both scheduled and early amortisation |
Not specified |
Not specified |
|
Exposure to undisclosed counterparties |
A record of the steps taken by the firm to satisfy itself that it will continue to meet the limits in BIPRU 10.5 for non-trading book exposures and trading book exposures |
Not specified |
Not specified |
|
A firm's liquidity risk tolerance |
An appropriately documented account of the firm's liquidity risk tolerance |
Not specified |
Not specified |
|
Formal documentation of the contingency funding plan |
Not specified |
Not specified |
||
Not specified |
Not specified |
|||
ILAA methodology |
Evidence supporting the behavioural assumptions that an ILAS BIPRU firm makes in carrying out its BIPRU 12.5.6 R stress tests for the purpose of its ILAA |
Not specified |
Not specified |
|
ILAA methodology |
Evidence supporting an ILAS BIPRU firm's assessment of the adequacy of its liquidity buffer for the purpose of its ILAA |
Not specified |
Not specified |
|
The simplified ILAS waiver application |
A written policy statement assessing the likelihood of withdrawal of retail deposits in the circumstances described in BIPRU 12.6.11 R (2)(a) |
Not specified |
Not specified |
|
Not specified |
Not specified |
|||
Periodic realisation of assets |
A written policy setting out the firm's approach to periodic realisation of its assets |
Not specified |
Not specified |
|
Operation of CCR management system |
Documented set of internal policies, controls and procedures concerning the operation of the CCR management system |
Prior to application for CCR internal model method permission |
Continuous |
|
Legal opinion regarding netting agreements |
A record of legal opinions that, in the event of a legal challenge, relevant courts and administrative authorities would find that the firm's claims and obligations would be limited to the net sum in BIPRU 13.7.6 R (1) |
On entering into a transaction and making use of netting agreements |
While transaction held |