Related provisions for BIPRU 13.5.23

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LR 19.3.1RRP
An applicant for admission of securitised derivatives must comply with:(1) LR 3.2 (Application for admission to listing); and(2) LR 3.4.4 R to LR 3.4.8 R.111
LR 19.3.2RRP
In addition to the documents referred to in LR 3.4.6 R, an applicant for admission of securitised derivatives must keep a copy of the securitised derivative agreement or securitised derivative instrument or similar document for six years after the admission of the relevant securitised derivative.11
BIPRU 13.3.13RRP
A firm may attribute an exposure value of zero for CCR to derivative contracts and long settlement transactions, or to other exposures arising in respect of those contracts or transactions (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) where they are outstanding with a central counterparty and have not been rejected by the central counterparty.[Note: BCD Annex
BIPRU 13.3.14RRP
When a firm purchases credit derivative protection against a non-trading book ,exposure or against a CCRexposure, it must compute its capital requirement for the hedged asset in accordance with:(1) BIPRU 5.7.16 R to BIPRU 5.7.25 R and BIPRU 4.10.49 R (4) to (6) (Unfunded credit protection: Valuation and calculation of risk-weighted exposure amounts and expected loss amounts);(2) BIPRU 4.4.79 R (Double default); or(3) BIPRU 4.10.40 R to BIPRU 4.10.48 R (Unfunded credit protection:
BIPRU 13.3.15RRP
In the cases in BIPRU 13.3.14 R, a firm must set the exposure value for CCR for these credit derivatives to zero.[Note: BCD Annex III Part 2 point 3 (part)]
PERG 2.6.22AGRP
4As with options, there is an additional category of instruments which are futures only when they are the object of investment services or activities provided or performed by certain persons. These are contracts as described in PERG 2.6.21 G:(1) that would not be regarded as having been entered into for investment purposes because they fail one of the tests mentioned in PERG 2.6.22 G;(2) that fall within paragraphs 5, 6, 7 or 10 of Annex 1 to MiFID (see PERG 13, Q32 to Q34 for
PERG 2.6.22BGRP
4The transposition of MiFID does not have the effect of turning spot or forward foreign exchange contracts into financial instruments where such instruments satisfy the commercial purpose test in article 84(2) of the Regulated Activities Order. In our view, very few instruments are likely to fall within PERG 2.6.22A G in practice, given that this category only applies in the case of instruments not falling within PERG 2.6.22 G. An example of an instrument falling within PERG 2.6.22A
PERG 2.6.23GRP
The specified investment category of contracts for differences covers:4(1) 4rights under contracts for differences;(2) 4rights under other contracts whose purpose or pretended purpose is to secure a profit or avoid a loss by reference to fluctuations in certain factors; and(3) 4other derivative contracts (not within (1) or (2)) falling within paragraph 8 of Annex 1 to MiFID, that is derivative instruments for the transfer of credit risk MiFID (see PERG 13, Q30 to Q31 for guidance
COLL 6.6.12RRP
(1) The depositary of an authorised fund is responsible for the safekeeping of all of the scheme property (other than tangible movable property) entrusted to it and must:(a) take all steps and complete all documents needed to ensure completion of transactions properly entered into for the account of the scheme;(b) ensure that scheme property in registered form is, as soon as practicable, registered in the name of the depositary, its nominee, or a person retained by it under COLL
COLL 6.6.14RRP
(1) The authorised fundmanager must avoid the scheme property being used or invested contrary to COLL 5, or any provision in the instrument constituting the scheme or the prospectus as referred to in COLL 5.2.4 R (Investment powers:general), and COLL 5.6.4 R (Investment powers: general)2, except to the extent permitted by (3)(b).(2) The authorised fund manager must, immediately upon becoming aware of any breach of a provision listed in (1), take action, at its own expense, to
COLL 6.6.17RRP
(1) The authorised fund manager, any other director of an ICVC and the depositary must take reasonable care to ensure that a transaction within (a) to (f) is not carried out on behalf of the scheme:(a) putting cash on deposit with an affected person unless that person is an eligible institution or an approved bank and the arm's length requirement in (2) is satisfied;(b) lending money by an affected person to, or for the account of, the scheme, unless the affected person is an
REC 3.14.6RRP
The following information is specified for the purposes of REC 3.14.2 R and REC 3.14.3 R:(1) a description of the specified investment to which the proposal relates; (2) where that specified investment is a derivative, the proposed terms of that derivative; and (3) in the case of a UK RIE which is admitting that specified investment to trading, the name of any RCH which will provide clearing services in respect of that specified investment under an agreement with that UK RIE.
REC 3.14.7RRP
Where:(1) a UK RIE proposes to amend the standard terms of any derivative admitted to trading by means of its facilities; or (2) a UK recognised body proposes to amend the standard terms relating to the provision of clearing services for any derivative in respect of which it provides clearing services;it must give the FSA notice of that event, and written particulars of those proposed amendments, at the same time as that proposal is first formally communicated to its members or
COLL 5.1.2GRP
(1) This chapter helps in achieving the regulatory objective of protecting consumers by laying down minimum standards for the investments that may be held by an authorised fund. In particular:(a) the proportion of transferable securities and derivatives that may be held by an authorised fund is restricted if those transferable securities and derivatives are not listed on an eligible market; the intention of this is to restrict investment in transferable securities or derivatives
COLL 5.1.4GRP

This table belongs to COLL 5.1.2G (2).

Scheme investments and investment techniques

Limits for UCITS schemes

Limits for non-UCITS retail schemes

Permissible investment

Maximum limit

Permissible investment

Maximum limit

Approved securities

Yes

None

Yes

None

Transferable securities that are not approved securities

Yes

10%

Yes

20%

Government and public securities

Yes

None

Yes

None

Regulated schemes

Yes

None

Yes

None

Unregulated schemes

No

N/A

Yes

20%

Warrants

Yes

None

Yes

None

Investment trusts

Yes

None

Yes

None

Deposits

Yes

None

Yes

None

Derivatives

Yes

None

Yes

None

Immovables (i.e real property)

No

N/A

Yes

None

Gold

No

N/A

Yes

10%

Hedging

Yes

None

Yes

None

Stock lending

Yes

None

Yes

None

Underwriting

Yes

None

Yes

None

Borrowing

Yes

10% (T)

Yes

10%

Cash and near cash

Yes

None

Yes

None

Note:

Meaning of terms used:

A percentage

an upper limit (though there may be limits of other kinds).

"(T)"

temporary only- see COLL 5.5.4R(4)

"N/A"

Not applicable
BIPRU 7.10.21GRP
The broad classes of position referred to in BIPRU 7.10.20G are as follows:(1) linear products, which comprise securities with linear pay-offs (e.g. bonds and equities) and derivative products which have linear pay-offs in the underlying risk factor (e.g. interest rate swaps, FRAs, total return swaps);(2) European, American and Bermudan put and call options (including caps, floors and swaptions) and investments with these features (see BIPRU 7.6.18R (Table: Option PRR: methods
MAR 5.4.1RRP
1A firm operating an MTF must:(1) clearly inform its users of their respective responsibilities for the settlement of transactions executed in that MTF; and(2) have in place the arrangements necessary to facilitate the efficient settlement of the transactions concluded under its systems.[Note: Article 14(5) of MiFID]
COBS 2.2.-1RRP
(1) 1This section applies in relation to MiFID or equivalent third country business.(2) This section applies in relation to other designated investment business carried on for a retail client: (a) in relation to a derivative, a warrant or stock lending activity, but as regards the matters in COBS 2.2.1R (1)(b) only; and (b) in relation to a packaged product, but as regards the matters in COBS 2.2.1R (1)(a) and (d) only.[Note: article 19(3) of MiFID]
COBS 10.1.2RRP
This chapter applies to a firm which arranges or deals in relation to a derivative or a warrant with or for a retail client and the firm is aware, or ought reasonably to be aware, that the application or order is in response to a direct offer financial promotion.
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 9.12.14RRP
When determining under BIPRU 9.12.13 R whether a tranche is the most senior for these purposes, a firm need not take into consideration amounts due under interest rate or currency derivative contracts, fees due, or other similar payments.[Note:BCD Annex IX Part 4 point 47 (part)]
BIPRU 9.12.22RRP
(1) Subject to any permission of the type described in BIPRU 9.12.28 G, the risk weight to be applied to the exposure amount must be:12.5 (S[L+T] - S[L]) / T(2) The remaining provisions of this paragraph define the terms used in the formulae in (1) and (3).(3) 2(4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) In these expressions, Beta [x; a, b]refers to the cumulative beta distribution with parameters a and b evaluated at x.(16) T (the thickness of the tranche in which the
BIPRU 4.10.14RRP
Amounts receivable linked to a commercial transaction or transactions with an original maturity of less than or equal to one year may be recognised as eligible collateral. Eligible receivables do not include those associated with securitisations, sub-participations or credit derivatives or amounts owed by affiliated parties.[Note: BCD Annex VIII Part 1 point 20]
BIPRU 4.10.40RRP
BIPRU 4.10.41 R to BIPRU 4.10.48 R set out the minimum requirements:(1) assessing the effect of guarantees and credit derivatives for:(a) exposures in the sovereign, institution and corporate IRB exposure class2 where the advanced IRB approach is being used to calculate LGDs; and(b) retail exposures; and(2) additionally, in the case of retail exposure guarantees, to the assignment of exposures to grades or pools, and the estimation of PD.[Note: BCD Annex VII Part 4 point 97]
BIPRU 5.4.6RRP
(1) Units in CIUs may be recognised as eligible collateral if the following conditions are satisfied:(a) they have a daily public price quote; and(b) the CIU is limited to investing in instruments that are eligible for recognition under BIPRU 5.4.2 R to BIPRU 5.4.5 R.(2) The use (or potential use) by a CIU of derivative instruments to hedge permitted investments shall not prevent units in that CIU from being eligible.[Note:BCD Annex VIII Part 1 point 9]
BIPRU 5.4.8RRP
(1) In addition to the collateral set out in BIPRU 5.4.2 R to BIPRU 5.4.7 R, where a firm uses the financial collateral comprehensive method, the following financial items may be recognised as eligible collateral:(a) equities or convertible bonds not included in a main index but traded on a recognised investment exchange or a designated investment exchange;(b) units in CIUs if the following conditions are met:(i) they have a daily public price quote; and(ii) the CIU is limited
BIPRU 9.11.10RRP
When the conditions in this paragraph have been met, and in order to determine its exposure value, a conversion figure of 20% may be applied to the nominal amount of a liquidity facility with an original maturity of one year or less and a conversion figure of 50% may be applied to the nominal amount of a liquidity facility with an original maturity of more than one year. The risk weight to be applied is the highest risk weight that would be applied to any of the securitised exposures
BIPRU 13.4.14GRP
For the purposes of calculating the replacement cost, where an exposure relates to collateral posted to cover a negative mark to market position on a derivative contract, the negative mark to market exposure may be offset against the collateral exposure if the requirements in BIPRU 5 are met.
BIPRU 3.7.2RRP

This table belongs to BIPRU 3.7.1 R

[Note: BCD Annex II]

Category

Item

Percentage

Full risk

Guarantees having the character of credit substitutes

Credit derivatives

Acceptances

Endorsements on bills not bearing the name of another credit institution

Transactions with recourse

Irrevocable standby letters of credit having the character of credit substitutes

Assets purchased under outright forward purchase agreements

Forward deposits

The unpaid portion of partly-paid shares and securities

Asset sale and repurchase agreements as defined in Article 12(3) and (5) of the Bank Accounts Directive

Other items also carrying full risk

100%

Medium risk

Documentary credits issued and confirmed (see also medium/low risk).

Warranties and indemnities (including tender, performance, customs and tax bonds) and guarantees not having the character of credit substitutes.

Irrevocable standby letters of credit not having the character of credit substitutes.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of more than one year.

Note issuance facilities (NIFs) and revolving underwriting facilities (RUFs).

50%

Medium/low risk

Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions.

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) with an original maturity of up to and including one year which may not be cancelled unconditionally at any time without notice or that do not effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness.

20%

Low risk

Undrawn credit facilities (agreements to lend, purchase securities, provide guarantees or acceptance facilities) which may be cancelled unconditionally at any time without notice, or that do effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. Retail credit lines may be considered as unconditionally cancellable if the terms permit the firm to cancel them to the full extent allowable under consumer protection and related legislation.

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