Related provisions for BIPRU 7.4.27
21 - 40 of 50 items.
As part of its obligations under the overall Pillar 2 rule, a firm must consider whether the value adjustments and provisions taken for positions and portfolios in the trading book enable the firm to sell or hedge out its positions within a short period without incurring material losses under normal market conditions. [Note: article 98(4) of CRD]
Where a firm is exposed to market risk, the time horizon over which stress tests and scenario analyses should be carried out will depend on, among other things, the maturity and liquidity of the positions stressed. For example, for the market risk arising from the holding of investments, this will depend upon:(1) the extent to which there is a regular, open and transparent market in those assets, which would allow fluctuations in the value of the investment to be more readily
(1) In identifying an appropriate range of adverse circumstances and events in accordance with IFPRU 2.2.37 R (2):(a) a firm will need to consider the cycles it is most exposed to and whether these are general economic cycles or specific to particular markets, sectors or industries;(b) for the purposes of IFPRU 2.2.37 R (2)(a), the amplitude and duration of the relevant cycle should include a severe downturn scenario based on forward-looking hypothetical events, calibrated against
(1) This rule amplifies some of the obligations in the overall Pillar 2 rule.(3) As part of its obligations in respect of market risk, a BIPRU firm must consider whether the value adjustments and provisions taken for positions and portfolios in the trading book enable the firm to sell or hedge out its positions within a short period without incurring material losses under normal market conditions.(4) The processes, strategies and systems required by the overall Pillar 2 rule must
Where a firm is exposed to market risk, the6 time horizon over which stress tests and scenario analyses 6should be carried out will 6depend on, among other things,6 the maturity and liquidity of the positions stressed. For example, for the market risk arising from the holding of investments, this will 6depend upon:6666(1) the extent to which there is a regular, open and transparent market in those assets, which would allow fluctuations in the value of the investment to be more
A firm calculating risk weighted exposure amounts in accordance with BIPRU 9 or capital resource requirements according to BIPRU 7.2.48A R to BIPRU 7.2.48K R4 must disclose the following information, where relevant separately for its trading book and non-trading book:4(1) a description of the firm's objectives in relation to securitisation activity;(1A) the nature of other risks, including liquidity risk inherent in securitised assets;4(1B) the type of risks in terms of seniority
Since transactions may be structured in many different ways, the capital treatment of a position should be determined on the basis of its economic substance rather than merely its legal form. A firm should look to the economic substance of a transaction to determine whether the securitisation framework is applicable for purposes of determining regulatory capital. A firm should consult the appropriate regulator when there is uncertainty about whether a given transaction should
A VaR model permission will generally set out the broad classes of position within each risk category in its scope. It may also specify how individual products within one of those broad classes may be brought into or taken out of scope of the VaR model permission. These broad classes of permission are as follows:(1) linear products, which comprise securities with linear pay-offs (such as bonds and equities) and derivative products which have linear pay-offs in the underlying risk
The measure of any financial loss suffered by the complainant will be arrived at by:12(1) comparing the complainant's current capital position with the position he would have been in had the loan been a standard repayment mortgage as at the date the firm decides to regard the complaint as justified; and(2) comparing the cost of the complainant's actual monthly outgoings and those he would have made had his loan been on a standard repayment basis as at the date the firm decides
If a firm is not a significant IFPRU firm its recovery plan must include:(1) a summary of the key elements of the recovery plan;(2) information on the governance of the firm, including: (a) how the recovery plan is integrated into the corporate governance of the firm; and (b) the firm's overall risk management framework;(3) a description of the legal and financial structures of the firm, including:(a) the core business lines; and(b) critical functions;(4) recovery options, including:(a)
The FCA6 may give individual guidance to a firm on its own initiative if it considers it appropriate to do so. For example:6(1) the FCA6 may consider that general guidance in the Handbook does not appropriately fit a firm's particular circumstances (which may be permanent or temporary) and therefore decide to give additional individual guidance to the firm;6(2) some of the FCA's6 requirements are expressed in general terms; however, there may be times when the FCA6 will wish to
For the determination of risk positions, a firm must treat collateral received from a counterparty like a claim on the counterparty under a derivative contract (long position) that is due today, while collateral posted must be treated as an obligation to the counterparty (short position) that is due today.[Note: BCD Annex III Part 5 point 10]
1In determining what is essential information, a firm should consider including:(1) for transactions in a derivative:(a) the maturity, delivery or expiry date of the derivative;(b) in the case of an option, a reference to the last exercise date, whether it can be exercised before maturity and the strike price;(c) if the transaction closes out an open futures position, all essential details required in respect of each contract comprised in the open position and each contract by
(1) An originator of a synthetic securitisation may calculate risk weighted exposure amounts1, and, as relevant, expected loss amounts, for the securitised exposures in accordance with BIPRU 9.5.3 R and BIPRU 9.5.4 R, if either of the following conditions is fulfilled:1(a) 1significant credit risk is considered to have been transferred to third parties, either through funded or unfunded credit protection; or(b) 1the originator applies a 1250% risk weight to all securitisation
(1) For the purpose of IFPRU and the EU CRR, dealing on own account means the service of dealing in any financial instruments for own account as referred to in point 3 of Section A of Annex I to MiFID, subject to (2) and (3).(2) In accordance with article 29(2) of CRD (Definition of dealing on own account), an investment firm that executes investors' orders for financial instruments and holds such financial instruments for its own account does not, for that reason, deal on own
A firm may attribute an exposure value of zero for CCR to a securities financing transaction or to any other exposures in respect of that transaction (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) which is outstanding with a central counterparty and has not been rejected by the central counterparty.[Note: BCD Annex III Part 2 point 6 in respect of SFTs]
Interest rate risk in the non-trading book may arise from a number of sources for example:(1) risks related to the mismatch of repricing of assets and liabilities and off balance sheet short and long-term positions;(2) risks arising from hedging exposure to one interest rate with exposure to a rate which reprices under slightly different conditions;(3) risk related to the uncertainties of occurrence of transactions e.g. when expected future transactions do not equal the actual
(1) Securitisation documentation should make clear, where applicable, that any repurchase of securitised exposures or securitisation positions by the originator or sponsor beyond its contractual obligations is not mandatory and may only be made at fair market value. In general, any such repurchase should be subject to a firm's credit review and approval process, which should be adequate to ensure that the repurchase complies with BIPRU 9.6.1 R.(2) If an originator or sponsor repurchases