Related provisions for GENPRU 2.2.233

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To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

IPRU-INV 14.5.1RRP
A firm must calculate its group financial resources requirement as the aggregate of: (1) the sum of the financial resources requirements of all group entities within the scope of consolidation calculated in accordance with rule 14.5.2, except that: (a) requirements in respect of intra-group balances with other entities within the scope of consolidation should be excluded; and (b) [deleted](2) the sum of any adjustments that are made to each firm's
IPRU-INV 14.5.4GRP
A firm may apply for a waiver of rule 14.5.1R, to permit a line-by-line approach to determine its group financial resources requirement. A firm should also demonstrate that calculating its requirement in this way does not result in a distortion of the group financial resources requirement.
BIPRU 13.7.4RRP
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)]
BIPRU 13.7.5RRP
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
GENPRU 3.2.9RRP
If the Part 4A 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.
BIPRU 1.3.2GRP
(1) A firm may apply for an Article 129 permission or a waiver in respect of:(a) the IRB approach;(b) [deleted]55(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 treatment in BIPRU 2.1
BIPRU 1.3.16DRP
If a firm wishes to apply for a waiver or an Article 129 permission to use the CCR internal model method, it must complete and submit the form in BIPRU 1 Annex 3D D.
BIPRU 7.9.1GRP
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 appropriate regulator 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 7.9.47GRP
The cash flows are then calculated again using the firm's own yield curve shifted by the amount set out in BIPRU 7.9.49G.
BIPRU 7.9.48GRP
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
BIPRU 5.8.9RRP
(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
BIPRU 5.8.11RRP
(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
BIPRU 5.7.16RRP
(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
BIPRU 5.7.19RRP
The volatility adjustments to be applied for any currency mismatch may be calculated based on the supervisory volatility adjustments approach or the own estimates of volatility adjustments approach as set out in BIPRU 5.4.30 R to BIPRU 5.4.65 R.[Note: BCD Annex VIII Part 3 point 85]
BIPRU 5.7.24RRP
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
INSPRU 1.2.28AGRP
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.
INSPRU 1.2.31GRP
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 1.2.72GRP
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
BIPRU 13.6.34RRP
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
BIPRU 13.6.35RRP
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
BIPRU 13.6.54RRP
A firm must have the systems capability to estimate EE daily if necessary, unless it is able to demonstrate to the appropriate regulator 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
BIPRU 4.6.4GRP
(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 4.6.47RRP
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 4.6.48RRP

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 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)]

BIPRU 1.4.1RRP
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 4.8.14GRP
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 4.8.20GRP
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.
IPRU-INV 13.1.23RRP

The amount of additional capital resources that a firm must hold as a result of an exclusion under 13.1.21R should be calculated by referring to the firm's relevant income in the following table:

Relevant income £000s

Minimum additional capital resources

more than

up to

£000s

(Notes 1 and 2)

0

100

5

100

200

12

200

300

18

300

400

21

400

500

23

500

600

25

600

700

27

700

800

28

800

900

30

900

1,000

31

1,000

1,500

37

1,500

2,000

42

2,000

2,500

46

2,500

3,000

51

3,000

3,500

55

3,500

4,000

59

4,000

4,500

63

4,500

5,000

67

5,000

6,000

73

6,000

7,000

79

7,000

8,000

85

8,000

9,000

90

9,000

10,000

95

10,000

100,000

95y

100,000

n/a

950

Note 1 - For firms with relevant income of more than £10m but up to £100m value y is calculated by relevant income/ £10m.

Note 2 - The calculation of a firm's capital resources is set out in sections

13.1A to 13.12 (see rule 13.1.1 for application of these sections to an exempt CAD firm and a category B firm).

IPRU-INV 13.1.27RRP

The amount of additional capital resources that a firm must hold where the policy's excess on any claim is more than £5,000 must be calculated by referring to the firm's relevant income and excess obtained in the following table:

All amounts are shown in £000s (Notes 1 and 2)

Relevant income is

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

9

14

18

21

24

30

35

45

54

69

82

300

400

0

11

16

21

24

28

34

39

50

60

77

91

400

500

0

13

18

23

27

30

37

43

55

66

83

98

500

600

0

14

20

25

29

33

40

46

59

70

89

105

600

700

0

16

22

27

31

35

42

49

63

74

94

111

700

800

0

17

23

28

33

37

45

52

66

78

99

117

800

900

0

18

24

30

35

39

47

54

69

82

103

122

900

1,000

0

19

26

31

36

41

49

56

72

85

107

126

1,000

1,500

0

23

31

37

43

48

57

66

83

99

124

146

1,500

2,000

0

26

35

42

48

54

64

73

93

109

138

161

2,000

2,500

0

29

38

46

53

59

71

81

102

121

152

179

2,500

3,000

0

32

42

51

58

65

78

89

112

132

166

195

3,000

3,500

0

35

46

55

63

71

84

96

121

142

179

210

3,500

4,000

0

38

50

59

68

76

90

102

129

152

191

223

4,000

4,500

0

41

53

63

72

80

95

108

137

161

202

236

4,500

5,000

0

43

56

67

76

85

100

114

144

169

212

248

5,000

6,000

0

48

62

73

84

93

110

125

157

185

231

271

6,000

7,000

0

52

67

79

90

101

119

135

169

199

249

291

7,000

8,000

0

56

72

85

97

107

127

144

181

212

265

310

8,000

9,000

0

59

76

90

103

114

134

152

191

224

280

328

9,000

10,000

0

63

80

95

108

120

141

160

201

236

294

344

10,000

100,000

0

63y

80y

95y

108y

120y

141y

160y

201y

236y

294y

344y

100,000

n/a

0

630

800

950

1080

1200

1410

1600

2010

2360

2940

3440

Note 1 - For firms with relevant income more of £10m but up to £100m value y is calculated by relevant income/ £10m.

Note 2 - The calculation of a firm's capital resources is set out in sections 13.1A to 13.12 (see rule 13.1.1 for application of these sections to an exempt CAD firm and a category B firm).

BIPRU 7.2.1RRP
(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 7.2.3RRP
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 9.12.2RRP
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.48RRP
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 7.7.4RRP
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.
IPRU-INV 9 App 1.1GRP

Glossary of defined terms for Chapter 9

Note: If a defined term does not appear in the glossary below, the definition appearing in the HandbookGlossary applies.

approved exchange

means an investment exchange listed as such in Appendix 33 to IPRU-INV 3.

exchange

means a recognised investment exchange or designated investment exchange.

initial capital

means the initial capital of a firm calculated in accordance with section 9.3.

intangible assets

the full balance sheet value of a firm's intangible assets including goodwill, capitalised development costs, licences, trademark and similar rights etc.

intermediate broker

in relation to a margined transaction, means any person through whom the firm undertakes that transaction.

material current year losses

means losses of an amount equal to 10% or more of initial capital minus B (with B calculated in accordance with Table 9.5.2R).

material holding

means a firm's holdings of shares and any other interest in the capital of a credit institution or financial institution:

(a) which exceeds 10% of the capital of the issuer, and, where this is the case, any holdings of subordinated debt of the same issuer, the full amount is a material holding; or

(b) holdings not deducted under (a) if the total amount of such holdings exceeds 10% of that firm'sown funds, in which case only the excess amount is a material holding.

material insurance holdings

(a) means the holdings of an exempt CAD firm of items of the type set out in (b) in any:

(i) insurance undertaking; or

(ii) insurance holding company that fulfils one of the following conditions:

(iii) it is a subsidiary undertaking of that firm; or

(iv) that firm holds a participation in it.

(b) An item falls into this provision for the purpose of (a) if it is:

(i) an ownership share; or

(ii) subordinated debt or another item of capital that falls into Article 16(3) of the First Non-Life Directive or, as applicable, Article 27(3) of the Consolidated Life Directive.

own funds

means the own funds of a firm calculated in accordance with 9.2.9R(2) and The Interim Prudential Sourcebook for Investment Businesses Chapter 9: Financial resources requirements for an exempt CAD firm Page 2 of 2 Version: November 2007 9.2.8R(b).

own funds requirement

means the requirement set out in 9.2.9R(1) and 9.2.8R(b).

verified

means checked by an external auditor who has undertaken at least to:

(a) satisfy himself that the figures forming the basis of the interim profits have been properly extracted from the underlying accounting records;

(b) review the accounting policies used in calculating the interim profits so as to obtain comfort that they are consistent with those normally adopted by the firm in drawing up its annual financial statements and are in accordance with the relevant accounting principles;

(c) perform analytical procedures on the result to date, including comparisons of actual performance to date with budget and with the results of prior period(s);

(d) discuss with management the overall performance and financial position of the firm;

(e) obtain adequate comfort that the implications of current and prospective litigation, all known claims and commitments, changes in business activities and provisioning for bad and doubtful debts have been properly taken into account in arriving at the interim profits; and

(f) follow up problem areas of which he is already aware in the course of auditing the firm's financial statements.
BIPRU 3.5.2GRP
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