Related provisions for GENPRU 1.3.34

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GENPRU 1.3.13RRP
(1) Except to the extent that GENPRU, BIPRU or INSPRU provide for another method of valuation, GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification, Adjustments or reserves) apply:(a) for the purposes set out in GENPRU 1.3.41 R;(b) for the purposes set out in GENPRU 1.3.39 R; and(c) to any balance sheet position measured at market value or fair value.(2) A firm must establish and maintain systems and controls sufficient to provide
GENPRU 1.3.27GRP
For independent price verification, where independent pricing sources are not available or pricing sources are more subjective (for example, only one available broker quote), prudent measures such as valuation adjustments may be appropriate.
GENPRU 1.3.29RRP
The recognition of any gains or losses arising from valuations subject to GENPRU 1.3.13 R and GENPRU 1.3.38 R to GENPRU 1.3.41 R must be recognised for the purpose of calculating capital resources in accordance with GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification, Adjustments or reserves). However if GENPRU, BIPRU or INSPRU provide for another treatment of such gains or losses, that other treatment must be applied.
GENPRU 1.3.30RRP
A firm must establish and maintain procedures for considering valuation adjustments or reserves. These procedures must be compliant with the requirements set out in GENPRU 1.3.33 R.
GENPRU 1.3.31RRP
A firm using third-party valuations, or marking to model, must consider whether valuation adjustments are necessary.
GENPRU 1.3.33RRP
(1) This paragraph sets out the requirements referred to in GENPRU 1.3.30 R and GENPRU 1.3.32 R.(2) A firm must consider the following adjustments or reserves: unearned credit spreads, close-out costs, operational risks, early termination, investing and funding costs, future administrative costs and, where appropriate, model risk.(3) A firm must consider several factors when determining whether a valuation reserve is necessary for less liquid positions. These factors include the
GENPRU 1.3.35GRP
Reconciliation differences under GENPRU 1.3.34 R should not be reflected in the valuations under GENPRU 1.3 but should be disclosed to the FSA in prudential returns.
GENPRU 1.3.36RRP
Adjustments to accounting values(1) For the purposes of GENPRU and BIPRU, the adjustments in (2) and (3) apply to values calculated pursuant to GENPRU 1.3.4 R in addition to those required by GENPRU 1.3.9 R to GENPRU 1.3.10 R.(2) A BIPRU firm must not recognise either:(a) the fair value reserves related to gains or losses on cash flow hedges of financial instruments measured at amortised cost; or(b) any unrealised gains or losses on debt instruments held in the available-for-sale
GENPRU 1.3.39RRP
Trading book positions are subject to prudent valuation rules as specified in GENPRU 1.3.14 R to GENPRU 1.3.34 R (Marking to market, Marking to model, Independent price verification, Adjustments or reserves). In accordance with those rules, a firm must ensure that the value applied to each of its trading book positions appropriately reflects the current market value. This value must contain an appropriate degree of certainty having regard to the dynamic nature of trading book
BIPRU 9.10.5RRP
To the extent that value adjustments are taken account of for the purposes of BIPRU 9.10.4 R they must not be taken account of for the purposes of the calculation indicated in BIPRU 4.3.8 R (Treatment of expected loss amounts).[Note:BCD Annex IX Part 4 point 72 (part)]
BIPRU 9.10.6RRP
The risk weighted exposure amount of a securitisation position may be reduced by 12.5 times the amount of any value adjustments made by the firm in respect of the position.[Note:BCD Annex IX Part 4 point 73]
GENPRU 2.2.86RRP
(1) This rule applies to trading book valuation adjustments or reserves referred to in GENPRU 1.3.29 R to GENPRU 1.3.35 G (Valuation adjustments and reserves). It applies to a BIPRU firm.(2) When valuation adjustments or reserves give rise to losses of the current financial year, a firm must treat them in accordance with GENPRU 2.2.85 R.(3) Valuation adjustments or reserves which exceed those made under the accounting framework to which a firm is subject must be treated in accordance
GENPRU 2.2.248RRP
Trading book profits and losses, other than those losses to which GENPRU 2.2.86R (2) (Valuation adjustment and reserves) refers, originating from valuation adjustments or reserves as referred to in GENPRU 1.3.29 R to GENPRU 1.3.35 G (Valuation adjustments or reserves) must be included in the calculation of net interim trading book profits and be added to or deducted from tier three capital resources.
GENPRU 2.2.249RRP
Trading book valuation adjustments or reserves as referred to in GENPRU 1.3.29 R to GENPRU 1.3.35 G which exceed those made under the accounting framework to which a firm is subject must be treated in accordance with GENPRU 2.2.248 R if not required to be treated under GENPRU 2.2.86R (2).
BIPRU 4.3.91GRP
If a firm can demonstrate to the FSA that for data that has been collected prior to 31 December 2006, appropriate adjustments have been made to achieve broad equivalence with the definitions of default or loss, the FSA may in the IRB permission allow the firm some flexibility in the application of the required standards for data.[Note:BCD Annex VII Part 4 point 56]