Related provisions for BIPRU 4.3.114
1 - 20 of 33 items.
For the purpose of assessing its off-balance sheet liquidity risk, a firm must:(1) identify all off-balance sheet activities that might affect its cash flows;(2) calculate the effect on its cash flows of those activities in normal financial conditions; and(3) estimate the effect on its cash flows of those activities under the liquidity stresses required by BIPRU 12.5.6R.
In relation to derivatives positions, a firm should:(1) assess the effect on its cash flows arising from the maturity, exercise and repricing of derivatives in which it holds a position, including the impact of counterparties:(a) who may require the posting of additional margin or collateral in the event of a decline in that firm's credit rating;(b) who may require the posting of additional margin or collateral (or the return to them of margin or collateral) in the event of a
In relation to its contingent liabilities, a firm should:(1) calculate the impact on its cash flows of those of its contingent obligations that will be triggered in normal financial conditions; and(2) estimate the impact on its cash flows of those of its contingent obligations that may be triggered under the liquidity stresses required by BIPRU 12.5.6 R.
For the purpose of BIPRU 12.5.46G, a firm should therefore assess the impact on its cash flows of the triggering of contingent obligations contained in all contractual documentation to which it is party, including: acceptances, endorsements, guarantees, underwriting agreements, standby letters of credit, documentary credits, warrants, indemnities, undrawn note issuance facilities and other revolving credit facilities. A firm should also assess the degree of concentration in its
In relation to its commitments (other than liquidity facilities to support securitisation programmes)), a firm should:(1) calculate its maximum contractual exposure arising from those commitments;(2) calculate the effect on its cash flows of the drawing of those commitments in normal financial conditions; and(3) estimate the effect on its cash flows of the drawing of those commitments under the liquidity stresses required by BIPRU 12.5.6 R.
For the purpose of BIPRU 12.5.48G, a firm should:(1) consider its contractual exposure to the following types of commitment: committed funding facilities, undrawn loans and advances to wholesale counterparties, mortgages that have been agreed but not yet been drawn down, credit cards, overdrafts (and other retail lending facilities);(2) ensure that its analysis of each type of commitment is sufficiently granular to enable that firm to:(a) assess the circumstances in which counterparties
In relation to liquidity facilities to support securitisation programmes, a firm should:(1) assess the extent of its contractual obligations to provide liquidity support to sponsored and third-party structured vehicles;(2) identify the circumstances in which support will, or is likely to, be called; and(3) assess the impact on that firm's cash flows of such support being called:(a) in normal financial conditions; and(b) under the liquidity stresses required by BIPRU 12.5.6R.
(1) A simplified ILAS BIPRU firm must ensure that the size of its liquid assets buffer is at all times greater than or equal to 50% of 6the amount produced by adding:(a) the wholesale net cash outflow component;(b) the retail and SME deposit3component; and(c) the credit pipeline component.(2) This is the simplified buffer requirement.
(1) The wholesale net cash outflow component is a firm's peak cumulative wholesale net cash outflow over the next three months where the peak is established by:(a) calculating the daily wholesale net cash flow by reference to a firm's wholesale assets maturing that day and its wholesale liabilities falling due on that day;(b) for each of the business days in the next three months, calculating the cumulative total of such daily net cash flows as at the business day in question;
(1) A simplified ILAS BIPRU firm may only include in its liquid assets buffer eligible government and designated multilateral development bank debt securities up to the value of the buffer securities restriction.(2) For the purpose of calculating the buffer securities restriction, a firm must:(a) calculate its daily net flow in government and designated multilateral development bank debt securities eligible as classes of assets for inclusion in the firm's liquid assets buffer;(b)
The FCA will:(1) expect the issuer to demonstrate that it has in place appropriate systems, controls, procedures and policies, including in relation to risk management, underwriting, arrears and valuation; (2) expect the issuer to demonstrate that the cash-flows generated by the assets would be sufficient to meet the payments due in a timely manner including under conditions of economic stress and in the event of the failure of the issuer;(3) take account of any over collateralisation
Market risk is the risk that arises from fluctuations in the values of, or income from, assets or in interest or exchange rates. The relevant factors the FCA may consider include whether the hedging agreements (defined in Regulation 1(2) of the RCB Regulations as agreements entered into or assets held as protection against possible financial loss) adequately protect against any adverse mismatched cash-flows due to changes in market variables.
Counterparty risk is the risk that the counterparty to a transaction could default before the final settlement of the transactions cash flows. The relevant factors the FCA may consider include whether the:(1) counterparty has an appropriate credit rating;(2) counterparty can unilaterally terminate the hedging agreement, and if so under what circumstances;(3) contractual arrangements contain appropriate termination procedures (for example, what provisions apply in the event of
Table: yield curve shifts
This table belongs to BIPRU 7.9.47G
Zone |
Modified duration |
Assumed interest rate change (percentage points) |
1 |
0 ≤ 1 months |
1.00 |
> 1 ≤ 3 months |
1.00 |
|
> 3 ≤ 6 months |
1.00 |
|
> 6 ≤ 12 months |
1.00 |
|
2 |
> 1.0 ≤ 1.9 years |
0.90 |
> 1.9 ≤ 2.8 years |
0.85 |
|
> 2.8 ≤ 3.6 years |
0.85 |
|
3 |
> 3.6 ≤ 4.3 years |
0.75 |
3 |
> 4.3 ≤ 5.7 years |
0.70 |
> 5.7 ≤ 7.3 years |
0.70 |
|
> 7.3 ≤ 9.3 years |
0.70 |
|
> 9.3 ≤ 10.6 years |
0.70 |
|
> 10.6 ≤ 12 years |
0.70 |
|
> 12.0 ≤ 20 years |
0.70 |
|
> 20 years |
0.70 |
A firm must ensure that the notional amount to be taken into account is an appropriate yardstick for the risk inherent in the contract. Where, for instance, the contract provides for a multiplication of cash flows, a firm must adjust the notional amount in order to take into account the effects of the multiplication on the risk structure of that contract.[Note: BCD Annex III Part 2 point 8]
For the purposes of BIPRU 13.4.18 R a perfectly matching contract is a forward foreign currency contract or similar contract in which a notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully or partly in the same currency.[Note: BCD Annex III Part 7 point c(ii) (part)]
For the purposes of this section, subject to BIPRU 9.13.6 R:(1) originators interest means the exposure value of that notional part of a pool of drawn amounts sold into a securitisation, the proportion of which in relation to the amount of the total pool sold into the structure determines the proportion of the cash-flows generated by principal and interest collections and other associated amounts which are not available to make payments to those having securitisation positions
(1) For firms using the IRB approach set out in BIPRU 4, this paragraph applies in place of BIPRU 9.13.4 R.(2) For the purposes of this section, originators interest means the sum of:(a) the exposure value of that notional part of a pool of drawn amounts sold into a securitisation, the proportion of which in relation to the amount of the total pool sold into the structure determines the proportion of the cash-flows generated by principal and interest collections and other associated
In a prospective valuation, a firm must:(1) include in the cash flows to be valued the following:(a) future premiums (see INSPRU 1.2.35 G to INSPRU 1.2.47 G);(b) expenses, including commissions (see INSPRU 1.2.50 R to INSPRU 1.2.58 G);(c) benefits payable (see INSPRU 1.2.29 R); and(d) subject to (2), amounts to be received or paid in respect of the long-term insurance contracts under contracts of reinsurance or analogous non-reinsurance financing agreements (see INSPRU 1.2.77A
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 sections 138A and 138B of the Act. The conditions that will need to be met, in addition to the statutory tests under section 138A(4) of the Act, before the PRA will consider granting such a waiver are set out in INSPRU 1.6.13 G to INSPRU 1.6.18 G.
All cash flows are to be valued using prudent assumptions in accordance with generally accepted actuarial practice. Cash flows may be omitted from the valuation calculations provided the reserves obtained as a result of leaving those cash flows out of the calculation are not less than would have resulted had all cash flows been included (see INSPRU 1.2.22R (2)(b)2). Provision for future expenses in respect of with-profits insurance contracts (excluding accumulating with-profits
The methods that a firm uses for discounting cash flows for the purposes of estimating LGDs must take account of the uncertainties associated with the receipt of recoveries with respect to a defaulted exposure. If a firm intends to use a discount rate that does not take full account of the uncertainty in recoveries, it must be able to explain by what other process it has taken into account that uncertainty for the purposes of calculating LGDs.
(1) A transaction in derivatives or a forward transaction must not be effected for a UCITS scheme unless:(a) the transaction is of a kind specified in COLL 5.2.20 R (Permitted transactions (derivatives and forwards)); and(b) the transaction is covered, as required by COLL 5.3.3A R (Cover for investment in derivatives and forward transactions).1313(2) Where a UCITS scheme invests in derivatives, the exposure to the underlying assets must not exceed the limits in COLL 5.2.11 R (Spread:
(1) A firm must treat a foreign currencyswap as:(a) a long notional position in the currency in which the firm has contracted to receive interest and principal; and(b) a short notional position in the currency in which the firm has contracted to pay interest and principal.(2) In (1) the notional positions have a value equal to either:(a) the nominal amount of each currency underlying the swap if it is held in the non-trading book; or(b) the present value amount of all cash flows
Where the target in a reverse takeover is not subject to a public disclosure regime, or if the target has securities admitted on an investment exchange or trading platform that is not a regulated market but the issuer is not able to give the confirmation and make the announcement contemplated by LR 5.6.12 G, the FCA will generally be satisfied that there is sufficient publicly available information in the market about the proposed transaction such that a suspension is not required
A credit default swap does not create a position for general market risk. For the purposes of specific risk, a firm must record a synthetic long position in an obligation of the reference entity, unless the derivative is rated externally and meets the conditions for a qualifying debt security, in which case a long position in the derivative is recorded. If premium or interest payments are due under the product, these cash flows must be represented as notional positions in zero-specific-risk
If a firm has incurred a policy liability which cannot be exactly matched by appropriate assets (for example the Limited Price Index (LPI)), the firm should seek to match assets that at least cover the liabilities. For example, an LPI limited to 5% per annum may be matched by an RPI bond or a fixed interest investment matching cash flows increasing at 5% per annum compound. Orders made by the Department for Work and Pensions under section 148 of the Social Security Administration
An obligation to pay a monetary amount (whether or not falling in INSPRU 3.2.16 R) is covered if:(1) the firm holds admissible assets or permitted links1 that are sufficient in value so that the firm reasonably believes that following reasonably foreseeable adverse variations (relying solely on cashflows from, or from realising, those assets) it could pay the monetary amount in the right currency when it falls due; or(2) the obligation to pay the monetary amount is offset by a
In assessing, under SUP 12.4.2 R(2)1(a) and (b), whether an appointed representative or prospective appointed representative is solvent and otherwise 1suitable, a firm should determine, among other matters, whether the person is likely to be adversely influenced by its financial position in the conduct of the business for which the firm is responsible. This might arise, for example, if the person has cashflow problems and is not able to service its debts. Guidance for firms on
A firm must develop methodologies for the identification, measurement, management and monitoring of funding positions. Those methodologies must include the current and projected material cash-flows in and arising from assets, liabilities, off-balance-sheet items, including contingent liabilities and the possible impact of reputational risk.22[Note: annex V paragraph 152of the Banking Consolidation Directive]
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, or formerly held,8 in
PDs must be determined according to the methods for corporate exposures. The following minimum PDs must be applied:(1) 0.09% for exchange traded equity exposures where the investment is part of a long-term customer relationship;(2) 0.09% for non-exchange traded equity exposures where the returns on the investment are based on regular and periodic cash flows not derived from capital gains;(3) 0.40% for exchange traded equity exposures including other short positions as set out