Related provisions for BIPRU 7.9.48

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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 2.3.22GRP
(1) [deleted]55(2) The FCA5 would normally expect a UK RIE to hold, in addition to the minimum amount determined under REC 2.3.9G (1)(a)(i), an operational risk buffer consistent with a risk-based approach.5(a) Where the amount of eligible financial resources calculated by a UK RIE under REC 2.3.17G (5) (the risk-based approach) is greater than the amount of eligible financial resources calculated under REC 2.3.13 G (the standard approach), and the difference is of an amount sufficient
MIPRU 3.2.14RRP

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

IFPRU 4.12.33GRP
The FCA considers the following to be examples of features which generally indicate a positive incentive to call or, at least, to constitute grounds for discussion with the FCA prior to the conclusion of the transaction:(1) the transaction contains terms, such as payments at maturity or payments upon early termination or significant premiums, which may reduce risk transfer;(2) the transaction includes a requirement for the protection buyer to incur additional costs or obligations
BIPRU 7.3.13RRP
Where a convertible is included in BIPRU 7.3's PRR calculation (see the table in BIPRU 7.3.3R):(1) it must be treated as a position in the equity into which it converts; and(2) the firm'sequity PRR must be adjusted by making:(a) an addition equal to the current value of any loss which the firm would make if it did convert to equity; or(b) a deduction equal to the current value of any profit which the firm would make if it did convert to equity (subject to a maximum deduction equal
GENPRU 3.1.30RRP
If GENPRU 3.1.29 R (application of Method 1 or 2 from Annex I of the Financial Groups Directive) applies to a firm with respect to the financial conglomerate of which it is a member, then with respect to the firm and the financial conglomerate:5(1) the definitions of conglomerate capital resources and conglomerate capital resources requirement that apply for the purposes of that rule are the ones from whichever of Part 1 or Part 2 of GENPRU 3 Annex 1 the firm has indicated to
BIPRU 7.4.26RRP
(1) A firm must calculate the charges referred to in BIPRU 7.4.25R as follows.(2) Step 1: offset long and short positions maturing:(a) on the same day; or(b) (in the case of positions arising under contracts traded in markets with daily delivery dates) within 10 business days of each other.(3) Step 2: allocate the positions remaining after step 1 to the appropriate maturity band in the table in BIPRU 7.4.28R (physical commoditypositions are allocated to band 1).(4) Step 3: match
SUP 16.20.3GRP
(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.
BIPRU 4.2.2RRP
A firm's systems for the management and rating of credit risk exposures must be sound and implemented with integrity and, in particular, they must meet the following standards in accordance with the minimum IRB standards:(1) the firm'srating systems provide for a meaningful assessment of obligor and transaction characteristics, a meaningful differentiation of risk and accurate and consistent quantitative estimates of risk;(2) internal ratings and default and loss estimates used
BIPRU 7.6.6RRP
(1) The in the money percentage is calculated in accordance with this rule.(2) For a call option:Current market price of underlying - Strike price of the option * 100Strike price of the option(3) For a put option:Strike price of option - Current market price of underlying * 100Strike price of the option(4) In the case of an option on a basket of securities a firm may not treat the option as being in the money by the relevant percentage so as to enable the firm not to apply an
GENPRU 1.2.73AGRP
(1) 6In identifying an appropriate range of adverse circumstances and events in accordance with GENPRU 1.2.42R (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 GENPRU 1.2.42R (2)(a), the amplitude and duration of the relevant cycle should include a severe downturn scenario based on forward looking hypothetical events, calibrated against