Related provisions for GENPRU 2.1.57

BIPRU 4.6.4G01/04/2013

(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 appropriate regulator that it has complied with the obligation to take reasonable steps under BIPRU

BIPRU 4.6.47R01/01/2007

Expected loss amounts must be calculated according to the formulae in the table in BIPRU 4.6.48 R.[Note:BCD Annex VII Part 1 point 30 (part)]

BIPRU 4.6.48R01/01/2007

Table: Formulae for the calculation of expected loss amounts

This table belongs to BIPRU 4.6.47 R

Expected loss (EL)

equals PD×LGD

Expected loss amount

equals EL×exposure value

For defaulted exposures (PD = 1) where a firm uses its own estimates of LGDs, EL must be EL_BE, the firm's best estimate of expected loss for the defaulted exposure 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)]

BIPRU 1.4.1R01/04/2013

A contravention of the rules in BIPRU does not give rise to a right of action by a private person under section 138D of the Act (and each of those rules is specified under section 138D(3) of the Act as a provision giving rise to no such right of action).

IFPRU 4.8.14G01/01/2014

A 'momentum' approach can be used either:(1) by using the drawings/limit percentage to formulaically derive a conversion factor on the undrawn portion of the limit; or(2) by using the higher of percentage of the limit and the current balance as the EAD.

IFPRU 4.8.20G01/01/2014

Firms are not expected to include in their EAD/CF estimates the probability of increases in limits between observation and default date. If the reference data set includes the impact of such increases, the FCA expects firms to be able to adjust their estimates accordingly with the aim of assessing what the exposure would have been at default if the limit had not been increased.

BIPRU 7.2.1R01/01/2007

(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)

BIPRU 7.2.3R01/01/2007

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

BIPRU 9.12.2R01/01/2007

For a rated position or a position in respect of which an inferred rating may be used, the ratings based method must be used to calculate the risk weighted exposure amount.[Note:BCD Annex IX Part 4 point 38]

MIPRU 4.2F.48R26/04/2015

A firm may rely on a third party to calculate and report, in accordance with the method in MIPRU 4.2F.47 R, a risk weight for the fund, provided that the correctness of the calculation and report is adequately ensured.

BIPRU 7.7.4R01/01/2007

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.

BIPRU 3.5.2G01/04/2013

The approach in this section is only likely to be relevant for a limited licence firm or a limited activity firm that has only incidental credit exposures and for whom it would be prohibitively costly to establish the systems needed to include the credit assessments of ECAIs and export credit agencies in its regulatory capital calculations. However the approach may be used by other firms if appropriate. A firm should notify the appropriate regulator if it adopts the approach in

IFPRU 10.4.2R01/05/2014

A firm that meets the combined buffer must not make a distribution in connection with common equity tier 1 capital to an extent that would decrease its common equity tier 1 capital to a level where the combined buffer is no longer met.[Note: article 141(1) of CRD]

BIPRU 14.3.4R01/01/2007

A firm must multiply the price difference calculated under BIPRU 14.3.3 R1 by the appropriate factor in column A of the Table in BIPRU 14.3.4 R in order to calculate its capital requirement for the purposes of BIPRU 14.3.[Note: CAD Annex II point 1 (part)]

IFPRU 4.2.6G01/01/2014

Where an exposure is denominated in a currency other than the euro, the FCA expects a firm to use appropriate and consistent exchange rates to determine compliance with relevant thresholds in the EU CRR. Accordingly, a firm should calculate the euro equivalent value of the exposure for the purposes of establishing compliance with the aggregate monetary limit of €1 million for retail exposures using a set of exchange rates the firm considers to be appropriate. The FCA expects a

BIPRU 9.3.7R31/12/2010

1Significant credit risk will be considered to have been transferred for originators in the following cases:(1) the risk weighted exposure amounts of the mezzanine securitisation positions held by the originator in the securitisation do not exceed 50% of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;(2) where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate

BIPRU 8.5.8G23/07/2013

In general a collective portfolio management investment firm2 only calculates its capital and concentration risk requirements in relation to its designated investment business and does not calculate them with respect tomanaging an AIF or managing a UCITS. 2 The effect of BIPRU 8.5.7 R is that this does not apply on a consolidated basis. For the purpose of this chapter the calculations are carried out2 with respect to the whole of the activities of a collective portfolio management

INSPRU 3.2.16R31/12/2006

An obligation to transfer assets (other than money) or to pay monetary amounts based on the value of, or income from, assets is covered if the firm holds:(1) those assets; or(2) in the case of an index or basket of assets, a reasonable approximation to those assets.

MIPRU 4.1.5G01/01/2007

The capital resources of the firms above are calculated in accordance with the appropriate prudential sourcebook.

BIPRU 7.11.63G01/01/2007

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.

BIPRU 8.2.2R01/01/2007

Further to BIPRU 8.2.1 R, a firm that is a member of a UK consolidation group must at all times ensure that the consolidated capital resources of the UK consolidation group are equal to or exceed its consolidated capital resources requirement.

SUP 16.20.3G19/01/2015

(1) The calculation of total balance sheet assets for SUP 16.20.2 R should be consistent with the way this figure is calculated for determining whether a firm is a significant IFPRU firm.(2) For group recovery plans, the calculation of total balance sheet assets should be based on the assets of the largest RRD institution in the group.

MIPRU 3.2.14R01/01/2007

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

MIPRU 4.2BA.47R26/04/2015

The use of the concentration ratio approach for unrated securitisation positions is only permitted where all the following conditions are met:(1) the concentration ratio is equal to the sum of the nominal amounts of all the tranches divided by the sum of the nominal amounts of the tranches junior to, or equal to, the tranche in which the position is held, including that tranche itself;(2) where the resulting risk weight for a securitisation position is lower than any risk weight

Related provisions for GENPRU 2.1.57

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