Related provisions for GENPRU 2.2.211
21 - 40 of 60 items.
A firm's documentation relating to data should include clear identification of responsibility for data quality. A firm should set standards for data quality and aim to improve them over time. A firm should measure its performance against those standards. A firm should ensure that its data is of high enough quality to support its risk management processes and the calculation of its capital requirements.
Where a firm is able to demonstrate that the effect is immaterial in accordance with BIPRU 4.1.25 R (Compliance), it may exclude defaultedexposures that have been cured (as referred to in BIPRU 4.3.67 G (1)) or restructured (as referred to in BIPRU 4.3.63 R (5)) from the data about default and loss experience on which LGDs are calculated provided it can demonstrate that its calculation of capital requirements (including capital requirements resulting from the application of capital
(1) A firm may comply with BIPRU 4.3.118 R by reducing the amount of the collateral taken into account for the purposes of calculating LGD (applying a haircut to the collateral), basing that reduction on validated realisation experience and using conservatism to reflect the uncertainties.(2) If collateral is used to reduce the LGD, a firm should be able to demonstrate how the risk in BIPRU 4.3.118 R has been accounted for. To the extent that it is adequately accounted for in that
If the Part IV permission of a firm contains a requirement obliging it to comply with this rule with respect to a third-country banking and investment group of which it is a member, it must comply, with respect to that third-country banking and investment group, with the rules in Part 2 of GENPRU 3 Annex 2, as adjusted by Part 3 of that annex.
(1) The value of unfunded credit protection (G) is the amount that the protection provider has undertaken to pay in the event of the default or non-payment of the borrower or on the occurrence of other specified credit events.(2) In the case of credit derivatives which do not include as a credit event restructuring of the underlying obligation involving forgiveness or postponement of principal, interest or fees that result in a credit loss event (e.g. value adjustment, the making
Where the protected amount is less than the exposure value and the protected and unprotected portions are of equal seniority – i.e.1 the firm and the protection provider share losses on a pro-rata basis, proportional regulatory capital relief is afforded. For the purposes of BIPRU 3.2.20 R to BIPRU 3.2.26 Rrisk weighted exposure amounts must be calculated in accordance with the following formula:(E-GA) x r + GA x gwhere:1(1) E is the exposure value; according to BIPRU 3.2.1 R
For the purposes of cross product netting, the following are considered different product categories:(1) repurchase transactions, reverse repurchase transactions, securities or commodities lending or borrowing transactions;(2) margin lending transactions; and(3) financial derivative instruments.[Note: BCD Annex III Part 7 point (a) (part)]
A firm may recognise as risk-reducing the following types of contractual netting:(1) bilateral contracts for novation between a firm and its counterparty under which mutual claims and obligations are automatically amalgamated in such a way that this novation fixes one single net amount each time novation applies and thus creates a legally binding, single new contract extinguishing former contracts;(2) other bilateral agreements between a firm and its counterparty; and(3) a firm
A firm is required under GENPRU 2.1.52 R (Calculation of the market risk capital requirement) to calculate its market risk capital requirement using the rules in BIPRU 7. However, the FSA may at the firm's request modify GENPRU 2.1.52 R to allow the firm to calculate all or part of the PRR for the positions covered by that model by using a CAD 1 model (for options risk aggregation and/or interest rate pre-processing) or a VaR model (value at risk model) instead. BIPRU 7.10 (Use
The difference between the present values calculated using the firm's own yield curve and those calculated using the firm's curve shifted under BIPRU 7.9.47G are known as the sensitivity figures. Alternatively, a firm may shift the yield curve by one basis point and multiply up the sensitivity figures by the appropriate amount in order to achieve the shifts set out in BIPRU 7.9.47G. These sensitivity figures are then allocated to each of the 15 maturity bands set out in BIPRU
(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the collateral according to the following formula:CVAM = CVA x (t-t*)/(T-t*)where:(a) CVA is the volatility adjusted value of the collateral as specified in BIPRU 5.4.28 R or the amount of the exposure, whichever is the lowest;(b) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5
(1) The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula:GA = G* x (t-t*)/(T-t*)where:(a) G* is the amount of the protection adjusted for any currency mismatch;(b) GA is G* adjusted for any maturity mismatch;(c) t is the number of years remaining to the maturity date of the credit protection calculated in accordance with BIPRU 5.8.3 R to BIPRU 5.8.5 R, or the value of
(1) A firm may apply for an Article 129 permission or a waiver in respect of:(a) the IRB approach;(b) the advanced measurement approach;(c) the CCR internal model method; and(d) the VaR model approach.(2) A firm should apply for a waiver if it wants to:(a) apply the CAD 1 model approach; or2(b) apply the master netting agreement internal models approach; or2(c) disapply consolidated supervision under BIPRU 8 for its UK consolidation group or non-EEAsub-group; or2(d) apply the
A firm may include amounts recoverable from an ISPV in the cash flows to be valued in a prospective valuation if it obtains a waiver of INSPRU 1.2.28 R under section 148 of the Act. The conditions that will need to be met, in addition to the statutory tests under section 148(4) of the Act, before the FSA will consider granting such a waiver are set out in INSPRU 1.6.13 G to INSPRU 1.6.18 G.
INSPRU 1.2.29R (4) requires regulatory basis only life firms to make allowance for any future annual bonus that a firm would expect to grant, assuming future experience is in line with the assumptions used in the calculation of the mathematical reserves. final bonuses do not have to be taken into consideration in these calculations except in relation to accumulating with-profits policies (see INSPRU 1.2.9 R). The calculations required for accumulating with-profits policies are
INSPRU 1.2.71R (1) applies only to accumulating with-profits policies; INSPRU 1.2.71R (2) applies to any other type of policy, including non-profit insurance contracts. In INSPRU 1.2.71R (1)(a) a firm must take into consideration, for example, a market value adjustment where such an adjustment has been described in representations made to policyholders by the firm. However, any discretionary adjustment, such as a market value adjustment, must not be included in the amount calculated
(1) This paragraph sets out guidance on BIPRU 4.6.2 R so far as it relates to the boundary between retail exposures and corporate exposures.(2) In deciding what steps are reasonable for the purposes of BIPRU 4.6.2 R (1), a firm may take into account complexity and cost, as well as the materiality of the impact upon its capital calculation. A firm should be able to demonstrate to the FSA that it has complied with the obligation to take reasonable steps under BIPRU 4.6.2 R (1) in
Table: Formulae for the calculation of expected loss amounts
This table belongs to BIPRU 4.6.47 R
Expected loss amount |
|
For defaultedexposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be ELBE, the firm's best estimate of expected loss for the defaultedexposure according to BIPRU 4.3.122 R. For exposures subject to the treatment set out in BIPRU 4.4.79 R (Double default) EL must be 0. |
|
[Note:BCD Annex VII Part 1 point 30 (part)]
For the purposes of BIPRU 13.6.33 R:(1) in the denominator, EPE must be used as if it were a fixed outstanding amount;(2) a firm must be able to demonstrate that its internal estimates of capture in the numerator material sources of stochastic dependency of distribution of market values of transactions or of portfolios of transactions across counterparties;(3) internal estimates of must take account of the granularity of portfolios.[Note: BCD Annex III Part 6 point 12 (part
A firm must ensure that the numerator and denominator of are computed in a consistent fashion with respect to the modelling methodology, parameter specifications and portfolio composition. The approach used must be based on the firm's internal capital approach, be well-documented and be subject to independent validation. In addition, a firm must review their estimates on at least a quarterly basis, and more frequently when the composition of the portfolio varies over time. A
A firm must have the systems capability to estimate EE daily if necessary, unless it is able to demonstrate to the FSA that its exposures to CCR warrant less frequent calculation. The firm must compute EE along a time profile of forecasting horizons that adequately reflects the time structure of future cash flows and maturity of the contracts and in a manner that is consistent with the materiality and composition of the exposures.[Note: BCD Annex III Part 6 point 30]
(1) A firm must calculate its interest rate PRR under BIPRU 7.2 by:(a) identifying which positions must be included within the interest rate PRR calculation;(b) deriving the net position in each debt security in accordance with BIPRU 7.2.36R-BIPRU 7.2.41R;(c) including these net positions in the interest rate PRR calculation for general market risk and the interest rate PRR calculation for specific risk; and(d) summing all PRRs calculated for general market risk and specific risk.(2)
A firm's interest rate PRR calculation must:(1) include all trading bookpositions in debt securities, preference shares and convertibles, except:(a) positions in convertibles which have been included in the firm'sequity PRR calculation;(b) positions fully deducted as a material holding under the calculations under the capital resources table, in which case the firm may exclude them; or(c) positions hedging an option which is being treated under BIPRU 7.6.26R (Table: Appropriate
(1) A firm must meet the standards set out in (2) to (9) for the purpose of calculating capital requirements.(2) The estimate of potential loss must be robust to adverse market movements relevant to the long-term risk profile of the firm's specific holdings. The data used to represent return distributions must reflect the longest sample period for which data is available and be meaningful in representing the risk profile of the firm's specific equity exposures. The data used must
A firm may rely on a third party to calculate and report PRR capital requirements for position risk (general market risk and specific risk) for positions in CIUs falling within BIPRU 7.7.9R and BIPRU 7.7.11R, in accordance with the methods set out in BIPRU 7.7, provided that the correctness of the calculation and the report is adequately ensured.
If a firm recognises profits on a non-accrual basis it should consider whether the capital requirements for its credit derivatives business adequately cover the risk that any recognised profit may not be achieved due to a credit event occurring. This includes positions for which the firm may have a perfect hedge in place.
(1) A firm must submit a report required by this chapter in the frequency, and so as to be received by the FSA no later than the due date, specified for that report.(2) If the due date for submission of a report required by this chapter falls on a day which is not a business day, the report must be submitted so as to be received by the FSA no later than the first business day after the due date. (3) If the due date for submission of a report required by this chapter is a set
If a firm seeks to have an excess which is higher than the relevant limit, it must hold additional capital as calculated in accordance with the appropriate table below:
Table: Calculation of additional capital for firm not holding client money or other client assets (£000's)
Income |
Excess obtained up to and including: |
|||||||||||||
More than |
Up to |
2.5 |
5 |
10 |
15 |
20 |
25 |
30 |
40 |
50 |
75 |
100 |
150 |
200+ |
0 |
100 |
0 |
5 |
9 |
12 |
14 |
17 |
19 |
23 |
26 |
33 |
39 |
50 |
59 |
100 |
200 |
0 |
7 |
12 |
16 |
19 |
22 |
25 |
30 |
34 |
43 |
51 |
64 |
75 |
200 |
300 |
0 |
7 |
12 |
16 |
20 |
24 |
27 |
32 |
37 |
47 |
56 |
71 |
84 |
300 |
400 |
0 |
0 |
12 |
16 |
21 |
24 |
28 |
34 |
39 |
50 |
60 |
77 |
91 |
400 |
500 |
0 |
0 |
11 |
16 |
21 |
24 |
28 |
34 |
40 |
53 |
63 |
81 |
96 |
500 |
600 |
0 |
0 |
10 |
16 |
20 |
24 |
28 |
35 |
41 |
54 |
65 |
84 |
100 |
600 |
700 |
0 |
0 |
0 |
15 |
20 |
24 |
28 |
35 |
41 |
55 |
67 |
87 |
104 |
700 |
800 |
0 |
0 |
0 |
14 |
19 |
24 |
28 |
35 |
42 |
56 |
68 |
89 |
107 |
800 |
900 |
0 |
0 |
0 |
13 |
18 |
23 |
27 |
35 |
42 |
56 |
69 |
91 |
109 |
900 |
1,000 |
0 |
0 |
0 |
0 |
17 |
22 |
27 |
34 |
41 |
57 |
70 |
92 |
111 |
1,000 |
1,500 |
0 |
0 |
0 |
0 |
0 |
21 |
26 |
34 |
41 |
57 |
71 |
97 |
118 |
1,500 |
2,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
30 |
38 |
56 |
71 |
98 |
121 |
2,000 |
2,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
24 |
33 |
53 |
69 |
99 |
126 |
2,500 |
3,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
28 |
50 |
68 |
101 |
130 |
3,000 |
3,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
47 |
67 |
101 |
132 |
3,500 |
4,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
43 |
65 |
101 |
133 |
4,000 |
4,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
39 |
62 |
101 |
134 |
4,500 |
5,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
58 |
99 |
134 |
5,000 |
6,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
54 |
97 |
133 |
6,000 |
7,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
91 |
131 |
7,000 |
8,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
84 |
126 |
8,000 |
9,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
75 |
120 |
9,000 |
10,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
113 |
10,000 |
100,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
100,000 |
n/a |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Table: Calculation of additional capital for firm holding client money or other client assets (£000's)
Income |
Excess obtained up to and including: |
||||||||||||
More than |
Up to |
5 |
10 |
15 |
20 |
25 |
30 |
40 |
50 |
75 |
100 |
150 |
200+ |
0 |
100 |
0 |
4 |
7 |
9 |
12 |
14 |
18 |
21 |
28 |
34 |
45 |
54 |
100 |
200 |
0 |
7 |
11 |
14 |
17 |
20 |
25 |
29 |
38 |
46 |
59 |
70 |
200 |
300 |
0 |
7 |
11 |
14 |
17 |
20 |
25 |
30 |
40 |
49 |
64 |
77 |
300 |
400 |
0 |
0 |
9 |
13 |
16 |
19 |
25 |
30 |
40 |
50 |
67 |
81 |
400 |
500 |
0 |
0 |
0 |
11 |
14 |
18 |
24 |
29 |
40 |
51 |
68 |
83 |
500 |
600 |
0 |
0 |
0 |
8 |
12 |
15 |
22 |
28 |
40 |
51 |
69 |
85 |
600 |
700 |
0 |
0 |
0 |
0 |
9 |
13 |
20 |
26 |
39 |
50 |
69 |
86 |
700 |
800 |
0 |
0 |
0 |
0 |
6 |
10 |
17 |
24 |
38 |
49 |
69 |
87 |
800 |
900 |
0 |
0 |
0 |
0 |
0 |
7 |
15 |
22 |
36 |
48 |
69 |
87 |
900 |
1,000 |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
19 |
34 |
47 |
68 |
87 |
1,000 |
1,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
32 |
45 |
67 |
86 |
1,500 |
2,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
34 |
59 |
81 |
2,000 |
2,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
19 |
48 |
71 |
2,500 |
3,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
37 |
64 |
3,000 |
3,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
26 |
55 |
3,500 |
4,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
14 |
45 |
4,000 |
4,500 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
33 |
4,500 |
5,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
5,000 |
6,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
6,000 |
7,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
7,000 |
8,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8,000 |
9,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9,000 |
10,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
10,000 |
100,000 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
100,000 |
n/a |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |