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You are viewing the version of the document as on 2022-09-30.

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    2022-09-30

MIFIDPRU 5.3 Overview of concentration risk requirements for dealing on own account

MIFIDPRU 5.3.1G

1MIFIDPRU 5.4 to MIFIDPRU 5.10 contain the concentration risk requirements that apply to the trading book exposures of a MIFIDPRU investment firm that is dealing on own account:

  1. (1)

    MIFIDPRU 5.4 explains how a firm should calculate the value of its exposure to each client or group of connected clients (the exposure value or EV).

  2. (2)

    MIFIDPRU 5.5.1R explains how a firm should calculate the concentration risk soft limit for its exposure to a client or group of connected clients.

  3. (3)

    MIFIDPRU 5.5.3R explains how a firm should calculate the value by which its exposure to each client or group of connected clients exceeds the concentration risk soft limit (the exposure value excess or EVE). The EVE is relevant to the calculation of the K-CON requirement.

  4. (4)

    MIFIDPRU 5.6 contains the obligation to calculate the K-CON requirement and to notify the FCA if the value of a firm’s exposure to a client or group of connected clients exceeds the concentration risk soft limit.

  5. (5)

    MIFIDPRU 5.7 explains how to calculate the K-CON requirement.

  6. (6)

    MIFIDPRU 5.8 contains rules designed to prevent firms from avoiding the K-CON requirement.

  7. (7)

    MIFIDPRU 5.9 contains the ‘hard’ concentration risk limits, and associated provisions.

  8. (8)

    MIFIDPRU 5.10 excludes certain exposures from the concentration risk requirements in MIFIDPRU 5.4 to 5.9.