Related provisions for GENPRU 2.2.141

IFPRU 4.11.4G01/01/2014

Firms should be able to demonstrate that the model drivers selected offer sufficient discriminatory power and to justify why other potential data sources are not expected to materially improve the discriminatory power and accuracy of estimates.

BIPRU 3.1.6R01/01/2007

An exposure falls into this rule if:(1) it is in a firm'snon-trading book;and(2) it has not been deducted from the firm'scapital resources under GENPRU 2.2.

BIPRU 4.7.27R01/04/2013

(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

IPRU-INV 5.9.1R05/11/2016

1Liquid Capital Requirement = Initial Capital Requirement + Capital Surcharge Calculation of Initial Capital Requirement ICR = (√AUA) x K1
Where
ICR	means Initial Capital Requirement
AUA	means Assets Under Administration calculated as the sum of the most recent annual valuations over the preceding 12 months of the personal pension schemes administered by the firm, and adjusted to include any revaluation of assets that may occur between the date of the most recent annual valuation and the date when the firm must calculate its AUA. A firm must calculate its AUA quarterly in line with the dates when it has to submit its regulatory capital reporting form in accordance with SUP 16.12 (Integrated Regulatory Reporting). Where it is not possible to value an asset (for example because there is no readily available market price), the most recent market valuation should be used. Where it would be reasonable to assume that the value of the asset has changed by more than 15% since the most recent market valuation, a firm should instead use a reasonable estimate. This is without prejudice to any requirement on a firm to provide a personal pension scheme member with accurate and timely valuations of their portfolios.
K1	is set subject to the firm’s AUA as specified in the below table:
	AUA	K1 constant to be applied
	<£100m	10
	£100-£200m	15
	>£200m	20
	When K1 changes due to an increase in AUA, in accordance with the thresholds in this table, the firm must apply the new K1 value within six months following the date on which its AUA exceeded the threshold of its previous K1 value.
	Calculation of Capital Surcharge
	CS =(√P) x K2 x ICR
Where
CS	means Capital Surcharge
P	means the fraction of personal pension schemes administered by the firm which contain one or more asset types which do not appear in the list of Standard Assets below, at the most recent quarter end. For example, if a quarter of personal pensions contained non-Standard Assets, this would be inputted in to the formula as 0.25.
K2	is set at 2.5.
ICR	means the Initial Capital Requirement calculated as above.
	Standard Assets The List of Standard Assets is as follows (subject to Note 1): Cash Cash funds Deposits Exchange traded commodities Government & local authority bonds and other fixed interest stocks Investment notes (structured products) Shares in Investment trusts Managed pension funds National Savings and Investment products Permanent interest bearing shares (PIBs) Physical gold bullion Real estate investment trusts (REITs) Securities admitted to trading on a regulated venue UK commercial property Units in Regulated collective investment schemes
NOTE 1:	A Standard Asset must be capable of being accurately and fairly valued on an ongoing basis and readily realised within 30 days, whenever required.
NOTE 2:	In addition to complying with the provisions of IPRU-INV 5.8, in accordance with IPRU-INV 5.3.2R, a firm must hold its liquid capital in financial resources as follows:
	ICR	realisable within 12 months; and
	CS	realisable within 30 days

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

IFPRU 4.12.33G01/01/2014

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

SUP 16.3.13R07/03/2016

(1) A firm must submit a report required by this chapter in the frequency, and so as to be received by the FCA28 no later than the due date, specified for that report.4949(2) If the due date for submission of a report required by this chapter falls on a day which is not a business day, the report must be submitted so as to be received by the FCA28 no later than the first business day after the due date. 4949(3) If the due date for submission of a report required by this chapter

BIPRU 7.3.13R01/01/2007

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 3.1.30R22/04/2016

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 7.4.26R01/01/2007

(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 16.20.3G19/01/2015

(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.

BIPRU 4.2.2R01/01/2007

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 7.6.6R01/01/2007

(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 1.2.73AG07/03/2016

(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

Related provisions for GENPRU 2.2.141

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