Related provisions for BIPRU 2.3.8
1 - 20 of 22 items.
A firm must calculate its foreign currencyPRR by:(1) identifying which foreign currency and gold positions to include in the PRR calculation;(2) calculating the net open position in each currency in accordance with this section (including where necessary the base currency calculated in the same way as it is for foreign currencies) and in gold;(3) calculating the open currency position for foreign currencies as calculated under BIPRU 7.5.19R and the net gold position (see BIPRU
A firm must calculate its open currency position by:(1) calculating the net position in each foreign currency;(2) converting each such net position into its base currency equivalent at current spot rates;(3) summing all short net positions and summing all long net positions calculated under (1) and (2); and(4) selecting the larger sum (ignoring the sign) from (3).
A firm must calculate its net gold position by:(1) valuing all gold positions using the prevailing spot price for gold (regardless of the maturity of the positions);(2) offsetting long and short positions; and(3) converting the resulting net position into the base currency equivalent using the current spot foreign currency rate.
A firm must calculate the net position in each currency other than the settlement currency of the master netting agreement by subtracting from the total value of securities denominated in that currency lent, sold or provided under the master netting agreement added to the amount of cash in that currency lent or transferred under the agreement, the total value of securities denominated in that currency borrowed, purchased or received under the agreement added to the amount of cash
E* must be calculated according to the following formula:E* = max {0, [(∑(E) -∑ (C)) + ∑ (|net position in each security| x Hsec) + (∑|Efx| x Hfx)]}where:(1) (where risk weighted exposure amounts are calculated under the standardised approach) E is the exposure value for each separate exposure under the agreement that would apply in the absence of the credit protection;(2) C is the value of the securities or commodities borrowed, purchased or received or the cash borrowed or received
For the purpose of BIPRU 12.7.3R, a firm may not include a debt security unless:(1) the central government or central bank in question has been assessed by at least two eligible ECAIs as having a credit rating associated with credit quality step 1 in the table set out in BIPRU 12 Annex 1R (Mapping of credit assessments of ECAIs to credit quality steps);4 and4(2) that debt security is either:(a) denominated in the domestic currency of the country in question; or(b) denominated
In deciding on the precise composition of its liquid assets buffer, a firm should ensure that it tailors the contents of the buffer to the needs of its business and the liquidity risk that it faces. In particular, a firm should ensure that it holds assets in its buffer which can be realised with the speed necessary to meet its liabilities as they fall due. In doing so, a firm should have regard to the currencies in which its liabilities are denominated and should take into account
1(1) A firm'sforeign exchange requirement is determined by calculating the excess of its foreign exchange position (FEP) above 2 per cent of its own funds and multiplying this excess by 8 per cent.
(2) The FEP is the greater of:
(a) the total in the reporting currency of the net short positions in each currency other than the reporting currency; and
(b) the total in the reporting currency of the net long positions in each currency other than the reporting currency;
where the
1Where unfunded credit protection is denominated in a currency different from that in which the exposure is denominated (a currency mismatch) the value of the credit protection must be reduced by the application of a volatility adjustment HFX as follows:G* = G x (1-HFX)where: (1) G is the nominal amount of the credit protection;(2) G* is G adjusted for any foreign currency risk; and (3) HFX is the volatility adjustment for any currency mismatch between the credit protection and
(1) 1The 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 MIPRU 4.2C.27 R to MIPRU 4.2C.28 R, or the value
In accordance with BIPRU 7.10.18R (1) a VaR model permission will set out the risk categories that it covers, which are expected to be one or more of the following types:(1) interest rate general market risk;(2) interest rate specific risk (in conjunction with interest rate general market risk);(3) equitygeneral market risk;(4) equityspecific risk (in conjunction with equitygeneral market risk);(5) CIU risk;(6) foreign currency risk; and(7) commodity risk.
Capital requirements for foreign currency risk and commodityposition risk are the same whether the risk arises in the trading book or the non-trading book. The calculation of capital requirements for foreign currency risk is set out in BIPRU 7.5. The calculation of capital requirements for commodityposition risk is set out in BIPRU 7.4.
Without prejudice to other provisions in BIPRU 7.7, a position in a CIU is subject to a collective investment undertaking PRR (general market risk and specific risk) of 32%. Without prejudice to provisions in BIPRU 7.5.18R (Foreign currency PRR for CIUs) or, if the firm has a VaR model permission, BIPRU 7.10.44R (Commodity risks and VaR models) taken together with BIPRU 7.5.18R, where the modified gold treatment set out in those rules is used, a position in a CIU is subject to
In complying with BIPRU 12.3.4 R, a firm must ensure that:(1) it actively manages its liquidity risk exposures and related funding needs; and(2) it takes into account:(a) the impact on its own liquidity position of its forming part of a group;(b) the need to manage the liquidity position of individual business lines in addition to that of the firm as a whole; and(c) the liquidity risk arising from its taking positions in foreign currencies; and(3) where it forms part of a group,
(1) A firm which has in its possession or control documents evidencing a client's title
to a contract of insurance or
other similar documents (other
than documents of no value) or which takes into its possession or control
tangible assets belonging to a client,
must take reasonable steps to ensure that any such documents or
items of property:(a) are
kept safe until they are delivered to the client;(b) are
not delivered or given to any other person except
in accordance with instructions
(1) Transactions with a linear risk profile with a debt instrument as the underlying instrument must be mapped to an interest rate risk position for the debt instrument and another interest rate risk position for the payment leg.(2) Transactions with a linear risk profile that stipulate the exchange of payment against payment, including foreign exchange forwards, must be mapped to an interest rate risk position for each of the payment legs.(3) If the underlying debt instrument
A firm may calculate the PRR for a position falling into BIPRU 7.1.9R by applying by analogy the rules relating to the calculation of the interest rate PRR, the equity PRR, the commodity PRR, the foreign currency PRR2, the option PRR or the collective investment undertaking PRR if doing so is appropriate and if the position and PRR item are sufficiently similar to those that are covered by those rules.
Table: Types of CAD 1 model
This table belongs to BIPRU 7.9.6G
Options risk aggregation models |
Interest rate pre-processing models |
|
Brief description and eligible instruments |
Analyse and aggregate options risks for:
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May be used to calculate duration weighted positions for:
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The output and how it is used in the PRR calculation |
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation. |
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R). |
Where unfunded credit protection is denominated in a currency different from that in which the exposure is denominated (a currency mismatch) the value of the credit protection must be reduced by the application of a volatility adjustment HFX as follows:G* = G x (1-HFX)where:(1) G is the nominal amount of the credit protection;(2) G* is G adjusted for any foreign currency risk; and(3) Hfx is the volatility adjustment for any currency mismatch between the credit protection and the
(1) Subject to (3), a simplified ILAS BIPRU firm that has assets or liabilities denominated in either or both euros and United States dollars must carry out separate calculations under BIPRU 12.6.9Rin relation to its positions in each of those currencies, in addition to that which it carries out in relation to its sterling positions (if any).(2) A firm to which (1) applies must ensure that, for the purpose of meeting the simplified buffer requirement, it holds in its liquid assets
The interest-rate and foreign-exchange risks not covered by other provisions of BIPRU 7.4 or by the provisions of BIPRU 7.2 (Interest rate PRR) or BIPRU 7.5 (Foreign currency PRR) must be included in the calculation of general market risk for traded debt securities and in the calculation of foreign currency PRR.
Where a debt security pays coupons in one currency but will be redeemed in a different currency, it should be treated as:(1) a debt security denominated in the coupon's currency; and(2) a foreign currency forward to capture the fact that the debt security's principal will be repaid in a different currency from that in which it pays coupons, specifically: (a) a notional forward sale of the coupon currency and purchase of the redemption currency, in the case of a long position in