Related provisions for IFPRU 2.2.65

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BIPRU 11.5.13RRP
The following information must be disclosed by a firm which calculates its market risk capital requirement using a VaR model:(1) for each sub-portfolio covered:(a) the characteristics of the models used;(b) a description of stress testing applied to the sub-portfolio;(c) a description of the approaches used for back-testing 2and validating the accuracy and consistency of the internal models and modelling processes;(d) 2for the capital charges calculated according to the incremental
BIPRU 9.1.8AGRP
(1) The appropriate regulator expects firms to conduct regular stress testing in relation to their securitisation activities and off-balance sheet exposures. The stress tests should consider the firm-wide impact of those activities and exposures in stressed market conditions and the implications for other sources of risk, for example, credit risk, concentration risk, counterparty risk, market risk, liquidity risk and reputational risk. Stress testing of securitisation activities
BIPRU 5.2.9RRP
A firm must be able to satisfy the appropriate regulator that it has adequate risk management processes to control the 1risks to which the firm may be exposed as a result of carrying out credit risk mitigation. Those processes must include appropriate stress tests and scenario analyses relating to those risks, including residual risk and the risks relating to the intrinsic value of the credit risk mitigation1.[Note: BCD Annex VIII Part 2 point 1]1
BIPRU 12.8.13GRP
In modifying the overall liquidity adequacy rule by means of an intra-group liquidity modification, the appropriate regulator may also modify the stress testing and contingency funding planrules in BIPRU 12.4 such that an applicant firm may achieve compliance with those rules by its parent undertaking conducting group-wide stress testing and preparing a group-wide contingency funding plan which gives adequate recognition to the position of the applicant firm.
COLL 5.7.11GRP
An authorised fund manager carrying out due diligence for the purpose of the rules in this section should make enquiries or otherwise obtain information needed to enable him properly to consider:(1) whether the experience, expertise, qualifications and professional standing of the second scheme's investment manager is adequate for the type and complexity of the second scheme;(2) the adequacy of the regulatory, legal and accounting regimes applicable to the second scheme and its
BIPRU 12.2.15GRP
BIPRU 12.5 sets out the ILAS framework. That section describes some of the stress tests that a standard ILAS BIPRU firm must carry out in conducting its ILAA and identifies a number of sources of liquidity risk in relation to which a firm is required to assess the impact of those stresses. For a standard ILAS BIPRU firm, the requirements in BIPRU 12.5 are in addition to the stress testing requirements in BIPRU 12.4. The rules in BIPRU 12.5 require a standard ILAS BIPRU firm
COLL 6.12.9RRP
(1) An authorised fund manager of a UCITS scheme or a UK UCITS management company of an EEA UCITS scheme must adopt adequate and effective arrangements, processes and techniques in order to:(a) measure and manage at any time the risks to which that UCITS is or might be exposed; and(b) ensure compliance with limits concerning global exposure and counterparty risk, in accordance with COLL 5.2.11B R (Counterparty risk and issuer concentration) and COLL 5.3 (Derivative exposure).(2)
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.
SYSC 21.1.5GRP
(1) The appropriate regulator considers that, while the firm'sgoverning body is ultimately responsible for risk governance throughout the business, firms should consider establishing a governing body risk committee to provide focused support and advice on risk governance.(2) Where a firm has established a governing body risk committee, its responsibilities will typically include:(a) providing advice to the firm'sgoverning body on risk strategy, including the oversight of current
BIPRU 12.7.8GRP
In deciding on the precise composition of its liquid assets buffer, a firm should ensure that it tailors the contents of the buffer to the needs of its business and the liquidity risk that it faces. In particular, a firm should ensure that it holds assets in its buffer which can be realised with the speed necessary to meet its liabilities as they fall due. In doing so, a firm should have regard to the currencies in which its liabilities are denominated and should take into account
SUP 4.3.15GRP
SUP 4.3.13 R is not intended to be exhaustive of the professional advice that a firm should take whether from an actuary appointed under this chapter or from any other actuary acting for the firm. Firms should consider what systems and controls are needed to ensure that they obtain appropriate professional advice on financial and risk analysis; for example:11(1) risk identification, quantification and monitoring;1(2) stress and scenario testing;1(3) ongoing financial conditions;1(4)
BIPRU 4.7.27RRP
(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
REC 2.3.17GRP
4The financial risk assessment should be based on a methodology which provides a reasonable estimate of the potential business losses which a UK RIE might incur in stressed but plausible market conditions. The FCA5 would expect a UK RIE to carry out a financial risk assessment at least once in every twelve-month period, or more frequently if there are material changes in the nature, scale or complexity of the UK RIE's operations or its business plans that suggest such financial
SYSC 12.1.9GRP
For the purposes of SYSC 12.1.8 R, the question of whether the risk management processes and internal control mechanisms are adequate, sound and appropriate should be judged in the light of the nature, scale and complexity of the group's business and of the risks that the group bears. Riskmanagement processes must include the stress testing and scenario analysis required by GENPRU 1.2.42 R and GENPRU 1.2.49R (1)(b).4
BIPRU 5.6.19AGRP
2This paragraph provides guidance in relation to BIPRU 5.6.19R (8). In carrying out the stress testing programme, a firm should evaluate the simultaneous impact of individual stress scenarios on its counterparty exposures, its positions and the aggregate amount of margin calls that it would receive. A firm's stress scenarios should take into account the possibility that the liquidation period may be substantially longer than 5 days for repurchase transactions and securities lending
IFPRU 4.12.42GRP
Where a firm achieves significant risk transfer for a particular transaction, the FCA expects it to continue to monitor risks related to the transaction to which it may still be exposed. The firm should consider capital planning implications of securitised assets returning to its balance sheet. The EU CRR requires a firm to conduct regular stress testing of its securitisation activities and off-balance sheet exposures. The stress tests should consider the firm-wide impact of stressed
IFPRU 1.2.1GRP
Throughout CRD and the EU CRR there are various policies which have restricted application based on a firm's scope, nature, scale, internal organisation and complexity. These policies are provided in the following:(1) article 76 of CRD on the establishment of an independent risk committee;(2) article 88 of CRD on the establishment of an independent nominations committee;(3) article 91 of CRD on the limitations on the number of directorships an individual may hold;(4) article 95
IFPRU 6.1.5GRP
(1) The methodology for the identification of the risks in IFPRU 6.1.4 R and the calculation of those additional own funds for value-at-risk (VaR) and stressed value-at-risk (stressed VaR) models is called the "RNIV framework". A firm is responsible for identifying these additional risks and this should be an opportunity for risk managers and management to better understand the shortcomings of the firm's models. Following this initial assessment, the FCA will engage with the firm
SUP 16.18.4EURP

Reporting to competent authorities

1.

In order to comply with the requirements of the second subparagraph of Article 24(1) and of point (d) of Article 3(3) of Directive 2011/61/EU, an AIFM shall provide the following information when reporting to competent authorities:

(a)

the main instruments in which it is trading, including a break-down of financial instruments and other assets, including the AIF's investment strategies and their geographical and sectoral investment focus;

(b)

the markets of which it is a member or where it actively trades;

(c)

the diversification of the AIF's portfolio, including, but not limited to, its principal exposures and most important concentrations.

The information shall be provided as soon as possible and not later than one month after the end of the period referred to in paragraph 3. Where the AIF is a fund of funds this period may be extended by the AIFM by 15 days.

2.

For each of the EU AIFs they manage and for each of the AIFs they market in the Union, AIFMs shall provide to the competent authorities of their home Member State the following information in accordance with Article 24(2) of Directive 2011/61/EU:

(a)

the percentage of the AIF's assets which are subject to special arrangements as defined in Article 1(5) of this Regulation arising from their illiquid nature as referred to in point (a) of Article 23(4) of Directive 2011/61/EU;

(b)

any new arrangements for managing the liquidity of the AIF;

(c)

the risk management systems employed by the AIFM to manage the market risk, liquidity risk, counterparty risk and other risks including operational risk;

(d)

the current risk profile of the AIF, including:

(i)

the market risk profile of the investments of the AIF, including the expected return and volatility of the AIF in normal market conditions;

(ii)

the liquidity profile of the investments of the AIF, including the liquidity profile of the AIF's assets, the profile of redemption terms and the terms of financing provided by counterparties to the AIF;

(e)

information on the main categories of assets in which the AIF invested including the corresponding short market value and long market value, the turnover and performance during the reporting period; and

(f)

the results of periodic stress tests, under normal and exceptional circumstances, performed in accordance with point (b) of Article 15(3) and the second subparagraph of Article 16(1) of Directive 2011/61/EU.

3.

The information referred to in paragraphs 1 and 2 shall be reported as follows:

(a)

on a half-yearly basis by AIFMs managing portfolios of AIFs whose assets under management calculated in accordance with Article 2 in total exceed the threshold of either EUR 100 million or EUR 500 million laid down in points (a) and (b) respectively of Article 3(2) of Directive 2011/61/EU but do not exceed EUR 1 billion, for each of the EU AIFs they manage and for each of the AIFs they market in the Union;

(b)

on a quarterly basis by AIFMs managing portfolios of AIFs whose assets under management calculated in accordance with Article 2 in total exceed EUR 1 billion, for each of the EU AIFs they manage, and for each of the AIFs they market in the Union;

(c)

on a quarterly basis by AIFMs which are subject to the requirements referred to in point (a) of this paragraph, for each AIF whose assets under management, including any assets acquired through use of leverage, in total exceed EUR 500 million, in respect of that AIF;

(d)

on an annual basis by AIFMs in respect of each unleveraged AIF under their management which, in accordance with its core investment policy, invests in non-listed companies and issuers in order to acquire control.

4.

By way of derogation from paragraph 3, the competent authority of the home Member State of the AIFM may deem it appropriate and necessary for the exercise of its function to require all or part of the information to be reported on a more frequent basis.

5.

AIFMs managing one or more AIFs which they have assessed to be employing leverage on a substantial basis in accordance with Article 111 of this Regulation shall provide the information required under Article 24(4) of Directive 2011/61/EU at the same time as that required under paragraph 2 of this Article.

6.

AIFMs shall provide the information specified under paragraphs 1, 2 and 5 in accordance with the pro-forma reporting template set out in the Annex IV.

7.

In accordance with point (a) of Article 42(1) of Directive 2011/61/EU, for non-EU AIFMs, any reference to the competent authorities of the home Member State shall mean the competent authority of the Member State of reference.

[Note: Article 110 of the AIFMD level 2 regulation]