Related provisions for BIPRU 12.5.10

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IFPRU 4.13.1RRP
Where a system wide failure of a settlement system, a clearing system or a CCP occurs, the own funds requirements calculated in articles 378 (Settlement/delivery risk) and 379 (Free deliveries) of the EU CRR are waived until the situation is rectified. In this case, the failure of a counterparty to settle a trade shall not be deemed a default for purposes of credit risk.[Note: article 380 of the EU CRR]
IFPRU 4.9.1GRP
To be satisfied that the credit risk stress test undertaken by a firm under article 177(2) of the EU CRR is meaningful and considers the effects of severe, but plausible, recession scenarios, the FCA would expect the stress test to be based on an economic cycle that is consistent with IFPRU 2.2.73G(1)(b) (see article 177(2) of the EU CRR)
BIPRU 5.9.2RRP
When credit protection provided by a single protection provider has differing maturities, a similar approach to that described in BIPRU 5.9.1 R must be applied.[Note: BCD Annex VIII Part 5 point 2]
BIPRU 9.2.1RRP
(1) Where a firm uses the standardised approach set out in BIPRU 3 (Standardised approach to credit risk) for the calculation of risk weighted exposure amount for the standardised credit risk exposure class to which the securitised exposures would otherwise be assigned under BIPRU 3, then it must calculate the risk weighted exposure amount for a securitisation position in accordance with the standardised approach to securitisations set out in BIPRU 9.9, BIPRU 9.10, BIPRU 9.11
BIPRU 14.2.11RRP
Subject to BIPRU 14.2.3 R to BIPRU 14.2.5 R and BIPRU 14.2.14 R to BIPRU 14.2.17 R, a firm must calculate exposure values and risk weighted exposure amounts for the exposures falling under BIPRU 14.2.2 R (1) to BIPRU 14.2.2R (5) in accordance with:(1) the standardised approach to credit risk; or(2) if the firm has an IRB permission, the IRB approach in accordance with the terms of the firm'sIRB permission.[Note: CAD Annex II point 6]
BIPRU 14.2.18RRP
Where a firm calculates risk weighted exposure amounts for the purposes of BIPRU 14 in accordance with the IRB approach, then for the purposes of the calculation provided for in BIPRU 4.3.8 R, the following will apply:44(1) value adjustments made to take account of the credit quality of the counterparty may be included in the sum of value adjustments and provisions made for the exposures indicated in BIPRU 14; and(2) unless the firm'sIRB permission does not permit it, if the credit
RCB 2.3.7GRP
The risk factors which the FCA will take into account in assessing the issuer's and owner's compliance with Regulations 17(2)(d) (general requirements on issuer in relation to the asset pool) and 23(2) (requirements on owner relating to the asset pool) will include credit risk of the assets, concentration risk, market risk and counterparty risk.
RCB 2.3.8GRP
(1) The credit risk of an asset is the risk of loss if another party fails to perform its obligations or fails to perform them in a timely fashion.(2) Where, for example, the asset pool includes residential mortgages the relevant factors which the FCA may consider include: (a) whether the asset pool contains (or could contain) loans made to individuals who have been made bankrupt or have had court judgments made against them;(b) the extent to which the asset pool contains (or
BIPRU 7.11.12BRRP
3Where the nth default among the exposures triggers payment under the credit protection, the protection buyer may only off-set specific risk if protection has also been obtained for defaults 1 to n-1 or when n-1 defaults have already occurred. In those cases, the methodology set out in BIPRU 7.11.12AR for first-to-default credit derivatives must be followed, appropriately modified for nth-to-default products.[Note:CAD Annex I point 8.B]
BIPRU 7.11.61GRP
BIPRU 7.11.62 G - 4BIPRU 7.11.63 G4 cover risks relating to credit derivatives that may not be captured in this section. This guidance is of particular relevance to the overall financial adequacy rule, the overall Pillar 2 rule and the general stress and scenario testing rule.
IFPRU 4.3.2GRP
A significant IFPRU firm should consider developing internal credit risk assessment capacity and to increase use of the internal ratings based approach for calculating own funds requirements for credit risk where its exposures are material in absolute terms and where it has at the same time a large number of material counterparties. This provision is without prejudice to the fulfilment of criteria laid down in Part Three, Title I, Chapter 3, Section 1 of the EU CRR (IRB approach).[Note:
IFPRU 4.3.3GRP
The FCA will, taking into account the nature, scale and complexity of a firm's activities, monitor that it does not solely or mechanistically rely on external credit ratings for assessing the creditworthiness of an entity or financial instrument.[Note: article 77(2) of CRD]
SYSC 7.1.10RRP
A BIPRUfirm must operate through effective systems the ongoing administration and monitoring of its various credit risk-bearing portfolios and exposures, including for identifying and managing problem credits and for making adequate value adjustments and provisions.15
SYSC 7.1.12GRP
The documentation maintained by a BIPRUfirm under SYSC 4.1.3 R should include its policy for credit risk, including its risk appetite and provisioning policy and should describe how it measures, monitors and controls that risk. This should include descriptions of the systems used to ensure that the policy is correctly implemented.
GENPRU 2.1.45RRP

This table belongs to GENPRU 2.1.40 R

Firm category

Capital requirement

BIPRU firm12(including collective portfolio management investment firm9)

129

the higher of (1) and (2):

(1)

the sum of:

(a)

the credit risk capital requirement; and

(b)

the market risk capital requirement; and

(2)

the fixed overheads requirement.
GENPRU 2.1.46RRP
When a3collective portfolio management investment firm9 calculates the credit risk capital requirement and the market risk capital requirement for the purpose of calculating the variable capital requirement under GENPRU 2.1.40 R it must do so only3 in respect of designated investment business. For this purpose managing an AIF or managing a UCITS9 is excluded from designated investment business.3939
SYSC 19C.3.6GRP
  1. (1)

    In the FCA's view:

    1. (a)

      a firm's staff includes its employees;

    2. (b)

      a person who performs a significant influence function for, or is a senior manager of, a firm would normally be expected to be part of the firm'sBIPRU Remuneration Code staff;

    3. (c)

      the table in (2) provides a non-exhaustive list of examples of key positions that should, subject to (d), be within a firm's definition of staff who are risk takers;

    4. (d)

      firms should consider how the examples in the table in (2) apply to their own organisational structure (as the description of suggested business lines in the first row may be most appropriate to a firm which deals on its own account to a significant extent);

    5. (e)

      firms may find it useful to set their own metrics to identify their risk takers based, for example, on trading limits; and

    6. (f)

      a firm should treat a person as being BIPRU Remuneration Code staff in relation to remuneration in respect of a given performance year if they were BIPRU Remuneration Code staff for any part of that year.

    [Note: The FCA has published guidance on the application of particular rules on remuneration structures in relation to individuals who are BIPRU Remuneration Code staff for only part of a given performance year. This guidance is available at

    http://www.fca.org.uk/firms/markets/international-markets/remuneration-code

    .]

  2. (2)

    High-level category

    Suggested business lines

    Heads of significant business lines (including regional heads) and any individuals or groups within their control who have a material impact on the firm's risk profile

    Fixed income

    Foreign exchange

    Commodities

    Securitisation

    Sales areas

    Investment banking (including mergers and acquisitions advisory)

    Commercial banking

    Equities

    Structured finance

    Lending quality

    Trading areas

    Research

    Heads of support and control functions and other individuals within their control who have a material impact on the firm's risk profile

    Credit/market/operational risk

    Legal

    Treasury controls

    Human resources

    Compliance

    Internal audit
SYSC 19C.3.23GRP
(1) This Remuneration Principle stresses the importance of risk adjustment in measuring performance, and the importance of applying judgment and common sense. A firm should ask the risk management function to validate and assess risk-adjustment techniques and to attend a meeting of the governing body or remuneration committee for this purpose. (2) A number of risk-adjustment techniques and measures are available, and a firm should choose those that are most appropriate to its
GENPRU 1.3.16RRP
(1) 4When marking to market, a firm must use the more prudent side of bid/offer unless the firm is a significant market maker in a particular position type and it can close out at the mid-market price.(2) 4When calculating the current exposure value of a credit risk exposure for counterparty credit risk purposes:(a) a firm must use the more prudent side of bid/offer or the mid-market price and the firm must be consistent in the basis it chooses; and4(b) where the difference between
IFPRU 4.6.29GRP
The FCA expects a firm using a rating agency grades as the primary driver in its IRB models to be able to demonstrate (and document) compliance with the following criteria:(1) the firm has its own internal rating scale;(2) the firm has a system and processes in place that allow it to continuously collect and analyse all relevant information, and the 'other relevant information' considered by the firm in accordance with article 171(2) of the EU CRR reflects the information collected
COLL 5.3.10RRP
(1) 2An authorised fund manager of a UCITS scheme may apply other calculation methods which are equivalent to the standard commitment approach.(2) An authorised fund manager may take account of netting and hedging arrangements when calculating global exposure of a UCITS scheme, where those arrangements do not disregard obvious and material risks and result in a clear reduction in risk exposure.(3) Where the use of derivatives or forward transactions does not generate incremental
BIPRU 13.4.17RRP
In application of the CCR mark to market method:(1) in BIPRU 13.4.2 R a firm may obtain the current replacement cost for the contracts included in a netting agreement by taking account of the actual hypothetical net replacement cost which results from the agreement; in the case where netting leads to a net obligation for the firm calculating the net replacement cost, the current replacement cost is calculated as "0"; and(2) in BIPRU 13.4.3 R a firm may reduce the figure for potential
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.

0%
BIPRU 14.3.5RRP

This table belongs to BIPRU 14.3.4 R

Number of working days after due settlement date

Column A (%)

5 - 15

8

16 - 30

50

31 - 45

75

46 or more

100

[Note: CAD Annex II Table 1]

BIPRU 14.3.5GRP
In cases of a system wide failure of a settlement or clearing system, a firm should refer to the emergency provisions in GEN 1.3. Where the requirements of GEN 1.3.2 R are met, until the situation is rectified failure of a counterparty to settle a trade will not be deemed a default for purposes of credit risk.[Note: CAD Annex II point 4]
BIPRU 8.4.14RRP
A firm must exclude material holdings in the notional calculation of the credit risk capital requirement for the purposes of BIPRU 8.4.13 R. A firm must identify whether it has any material holdings and the amount of them in accordance with GENPRU 2.2 (Capital resources) and GENPRU 2 Annex 4 (Capital resources table for a BIPRU investment firm deducting material holdings).
BIPRU 3.6.15RRP
Credit assessments for issuers within a corporate group cannot be used as credit assessment of another issuer within the same corporate group.[Note: BCD Annex VI Part 3 point 11]