Related provisions for BIPRU 13.5.23

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REC 2.6.6UKRP

Schedule to the Recognition Requirements Regulations, Paragraph 7E

2The rules of the [UK RIE] must provide that the [UK RIE] must not exercise its power to suspend or remove from trading on a regulated market operated by it any financial instrument which no longer complies with its rules, where such step would be likely to cause significant damage to the interests of investors or the orderly functioning of the financial markets.
REC 2.6.7EURP

Article 17 of the MiFID Regulation

2Pre-trade transparency obligations

(1)

A ... market operator operating an MTF or a regulated market shall, in respect of each share admitted to trading on a regulated market that is traded within a system operated by it and specified in Table 1 of Annex II [(see REC 2.6.8 EU)], make public the information set out in paragraphs 2 to 6.

(2)

Where one of the entities referred to in paragraph 1 operates a continuous auction order book trading system, it shall, for each share as specified in paragraph 1, make public continuously throughout its normal trading hours the aggregate number of orders and of the shares those orders represent at each price level, for the five best bid and offer price levels.

(3)

Where one of the entities referred to in paragraph 1 operates a quote-driven trading system, it shall, for each share as specified in paragraph 1, make public continuously throughout its normal trading hours the best bid and offer by price of each market maker in that share, together with the volumes attaching to those prices.

The quotes made public shall be those that represent binding commitments to buy and sell the shares and which indicate the price and volume of shares in which the registered market makers are prepared to buy or sell.

In exceptional market conditions, however, indicative or one-way prices may be allowed for a limited time.

(4)

Where one of the entities referred to in paragraph 1 operates a periodic auction trading system, it shall, for each share specified in paragraph 1, make public continuously throughout its normal trading hours the price that would best satisfy the system's trading algorithm and the volume that would potentially be executable at that price by participants in that system.

(5)

Where one of the entities referred to in paragraph 1 operates a trading system which is not wholly covered by paragraphs 2 or 3 or 4, either because it is a hybrid system falling under more than one of those paragraphs or because the price determination process is of a different nature, it shall maintain a standard of pre-trade transparency that ensures that adequate information is made public as to the price level of orders or quotes for each share specified in paragraph 1, as well as the level of trading interest in that share.

In particular, the five best bid and offer price levels and/or two-way quotes of each market maker in that share shall be made public, if the characteristics of the price discovery mechanism permit it.

(6)

A summary of the information to be made public in accordance with paragraphs 2 to 5 is specified in Table 1 of Annex II. [(see REC 2.6.8 EU)]
REC 2.6.15EURP

Article 27(1) of the MiFID Regulation

2Post-trade transparency obligation

1.

... regulated markets, and ... market operators operating an MTF shall, with regard to transactions in respect of shares admitted to trading on regulated markets concluded ... within their systems, make public the following details:

(a)

the details specified in points 2, 3, 6, 16, 17, 18 and 21 of Table 1 of Annex I [(see REC 2.6.16 EU)]

(b)

an indication that the exchange of shares is determined by factors other than the current market valuation of the share, where applicable [(see REC 2.6.17 EU)];

(c)

an indication that the trade was a negotiated trade, where applicable;

(d)

any amendments to previously disclosed information, where applicable.

Those details shall be made public either by reference to each transaction or in a form aggregating the volume and price of all transactions in the same share taking place at the same price at the same time.
REC 2.6.29GRP
2In determining whether a UK RIE is ensuring that business conducted by means of its facilities is conducted in an orderly manner (and so as to afford proper protection to investors), the FCA5 may have regard to whether the UK RIE's arrangements and practices: 5(1) enable members and clients for whom they act to obtain the best price available at the time for their size and type of trade;(2) ensure:(a) sufficient pre-trade transparency in the UK RIE's markets taking account of
BIPRU 4.4.53RRP
1As well as complying with BIPRU 4.3.54 R and BIPRU 4.4.21 R (Data maintenance), a firm using own estimates of LGDs and/or conversion factors under the advanced IRB approach must collect and store:(1) complete histories of data on the facility ratings and LGD and conversion factor estimates associated with each rating scale3;(2) the dates the ratings were assigned and the estimates were done;(3) the key data and methodology used to derive the facility ratings and LGD and conversion
BIPRU 4.4.67RRP
(1) A firm must calculate maturity (M) for each of the exposures referred to in this rule in accordance with this rule and subject to BIPRU 4.4.68 R to BIPRU 4.4.70 R. In all cases, M must be no greater than 5 years.(2) For an instrument subject to a cash flow schedule M must be calculated according to the following formula:where CFt denotes the cash flows (principal, interest payments and fees) contractually payable by the obligor in period t.(3) For derivatives subject to a
BIPRU 4.4.68RRP
Notwithstanding BIPRU 4.4.67 R (2) - (4)6 and (8)-(9), M must be at least one-day for:6(1) fully or nearly-fully collateralised financial derivative instruments;(2) fully or nearly-fully collateralised margin lending transactions; and(3) repurchase transactions, securities or commodities lending or borrowing transactions,provided the documentation requires daily remargining and daily revaluation and includes provisions that allow for the prompt liquidation or setoff of collateral
BIPRU 4.4.78RRP
In the case of any financial derivative instrument, the exposure value must be determined by the methods set out in BIPRU 13.[Note:BCD Annex VII Part 3 point 5]
BIPRU 4.4.85RRP
To be eligible for the treatment set out in BIPRU 4.4.79 R, credit protection deriving from a guarantee or credit derivative must meet the following conditions:(1) the underlying obligation must be to:(a) a corporate exposure, excluding an exposure to an insurance undertaking (including an insurance undertaking that carries out reinsurance); or(b) an exposure to a regional government, local authority or public sector entity which is not treated as an exposure to a central government
COLL 5.6.4RRP
(1) The scheme property of a non-UCITS retail scheme may, subject to the rules in this section, comprise any assets or investments to which it is dedicated.(2) For an ICVC, the scheme property may also include movable or immovable property that is necessary for the direct pursuit of the ICVC's business of investing in those assets or investments.(3) The scheme property must be invested only in accordance with the relevant provisions in this section that are applicable to that
COLL 5.6.7RRP
(1) This rule does not apply in respect of a transferable security or an approved money-market instrument to which COLL 5.6.8R (Spread: government and public securities) applies21. (2) Not more than 20% in value of the scheme property is to consist of deposits with a single body.(3) Not more than 10% in value of the scheme property is to consist of transferable securities or money-market instruments issued by any single body subject to COLL 5.6.23 R (Schemes replicating an index).(3A)
COLL 5.6.7AGRP
(1) 2COLL 5.6.7 R (7) to (10) replicate the provisions of Article 5 of the Commission Recommendation 2004/383/EC of 27 April 2004 on the use of financial derivative instruments for undertakings for collective investment in transferable securities, so as to enable non-UCITS retail schemes to benefit from the same flexibility.11(2) The attention of authorised fund managers is specifically drawn to condition (d) in COLL 5.6.7 R (8) under which the collateral has to be legally enforceable
COLL 5.6.12RRP
(1) A transaction in derivatives or a forward transaction must not be effected for a non-UCITS retail scheme unless the transaction is:(a) of a kind specified in COLL 5.6.13 R2 (Permitted transactions (derivatives and forwards)); and2(b) covered, as required by COLL 5.3.3A R (Cover for investment in derivatives and forward transactions).1414(2) Where a scheme invests in derivatives, the exposure to the underlying assets must not exceed the limits in COLL 5.6.7 R (Spread: general)
COLL 5.6.13RRP
(1) A transaction in a derivative must be within COLL 5.2.20 R (1) (Permitted transactions (derivatives and forwards)) and:(a) the underlying must be within COLL 5.6.4 R (5) (Investment powers: general) or COLL 5.2.20R (2)(f) to (i)2; and2(b) the exposure to the underlying must not exceed the limits in COLL 5.6.7 R (Spread: general),9COLL 5.6.8 R (Spread: government and public securities) and COLL 5.6.5 R (2).99(2) A transaction in an approved derivative must be effected on or
LR 19.3.1RRP
An applicant for admission of securitised derivatives must comply with:(1) LR 3.2 (Application for admission to listing); and(2) LR 3.4.4 R to LR 3.4.8 R.111
LR 19.3.2RRP
In addition to the documents referred to in LR 3.4.6 R, an applicant for admission of securitised derivatives must keep a copy of the securitised derivative agreement or securitised derivative instrument or similar document for six years after the admission of the relevant securitised derivative.11
COLL 5.8.3RRP
A feeder UCITS may hold up to 15% in value of the scheme property in one or more of the following:(1) cash or near cash in accordance with COLL 5.5.3 R (Cash and near cash);(2) derivatives and forward transactions which may be used only for the purposes of hedging and in accordance with the rules set out at COLL 5.8.7 R (Other provisions applicable to a feeder UCITS); and(3) (for an ICVC) movable and immovable property which is essential for the direct pursuit of the business.[Note:
COLL 5.8.4RRP
In calculating the global exposure of a feeder UCITS to derivatives and forward transactions in accordance with COLL 5.3.3A R (Cover for investment in derivatives and forward transactions), the feeder UCITS must combine its own direct exposure under COLL 5.8.3R (2) with either:(1) the master UCITS' actual exposure to derivatives and forward transactions in proportion to the feeder UCITS' investment into the master UCITS; or(2) the master UCITS' potential maximum global exposure
COLL 5.8.7RRP
The following rules and guidance in COLL 5.1 (Introduction), COLL 5.2 (General investment powers and limits for UCITS schemes) and COLL 5.5 (Cash, borrowing, lending and other provisions) apply to the authorised fund manager of a UCITS scheme which is a feeder UCITS and to an ICVC which is a feeder UCITS:(1) COLL 5.1.1 R (Application), COLL 5.1.2G (1) (Purpose) and COLL 5.1.3 R (Treatment of obligations);(2) COLL 5.2.1 R (Application), COLL 5.2.2 R (Table of application) and
BIPRU 13.3.13RRP
A firm may attribute an exposure value of zero for CCR to derivative contracts and long settlement transactions, or to other exposures arising in respect of those contracts or transactions (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) where they are outstanding with a central counterparty and have not been rejected by the central counterparty.[Note: BCD Annex
BIPRU 13.3.14RRP
When a firm purchases credit derivative protection against a non-trading book ,exposure or against a CCRexposure, it must compute its capital requirement for the hedged asset in accordance with:(1) BIPRU 5.7.16 R to BIPRU 5.7.25 R and BIPRU 4.10.49 R (4) to (6) (Unfunded credit protection: Valuation and calculation of risk-weighted exposure amounts and expected loss amounts); or1(2) 1where a firm calculates risk weighted exposure amounts in accordance with the IRB approach:1(a)
BIPRU 13.3.15RRP
(1) 1In the cases in BIPRU 13.3.14R, and where the option in the second sentence of BIPRU 14.2.10 R is not applied, the exposure value for CCR for these creditderivatives is set to zero.(2) 1However, a firm may choose consistently to include for the purposes of calculating capital requirements for counterparty credit risk all credit derivatives not included in the trading book and purchased as protection against a non-trading exposure or against a CCRexposure where the credit
PERG 2.6.22AGRP
4As with options, there is an additional category of instruments which are futures only when they are the object of investment services or activities provided or performed by certain persons. These are contracts as described in PERG 2.6.21 G:(1) that would not be regarded as having been entered into for investment purposes because they fail one of the tests mentioned in PERG 2.6.22 G;(2) that fall within paragraphs 5, 6, 7 or 10 of Annex 1 to MiFID (see PERG 13, Q32 to Q34 for
PERG 2.6.22BGRP
4The transposition of MiFID does not have the effect of turning spot or forward foreign exchange contracts into financial instruments where such instruments satisfy the commercial purpose test in article 84(2) of the Regulated Activities Order. In our view, very few instruments are likely to fall within PERG 2.6.22A G in practice, given that this category only applies in the case of instruments not falling within PERG 2.6.22 G. An example of an instrument falling within PERG 2.6.22A
PERG 2.6.23GRP
The specified investment category of contracts for differences covers:4(1) 4rights under contracts for differences;(2) 4rights under other contracts whose purpose or pretended purpose is to secure a profit or avoid a loss by reference to fluctuations in certain factors; and(3) 4other derivative contracts (not within (1) or (2)) falling within paragraph 8 of Annex 1 to MiFID, that is derivative instruments for the transfer of credit risk MiFID (see PERG 13, Q30 to Q31 for guidance
COBS 21.3.13RRP
4A permitted derivatives contract is one which:(1) for a Solvency II firm, is effected or issued:(a) on or under the rules of a regulated market; or(b) off-market with an approved counterparty; andsatisfies COBS 21.3.14 G; and(2) for an insurer which is not a Solvency II firm, satisfies INSPRU 3.2.5 R to INSPRU 3.2.35A G with the exception of INSPRU 3.2.18 R; and(3) in each of (1) and (2) the provisions are applied in relation to assets covering liabilities in respect of linked
COBS 21.3.14GRP
4Solvency II firms5 are also required to comply with the PRA Rulebook Solvency II Firms Investment and ensure that the use of derivative contracts is adequately covered. Firms are also referred to the rules in COLL 5.3 (Derivative Exposure) in relation to the use of derivatives in investment funds and the further guidance from CESR and its successor body, ESMA, which represent good practice in this area.
COLL 5.7.4RRP
(1) The scheme property of a non-UCITS retail scheme operating as a FAIF may, subject to the rules in this section, comprise any assets or investments to which it is dedicated.(2) For an ICVC, the scheme property may also include movable or immovable property that is necessary for the direct pursuit of the ICVC's business of investing in those assets or investments.(3) The scheme property must be invested only in accordance with the relevant provisions in this section that are
COLL 5.7.5RRP
(1) This rule does not apply in respect of a transferable security or an approved money-market instrument to which COLL 5.6.8R (Spread: government and public securities) applies5.(2) Not more than 20% in value of the scheme property is to consist of deposits with a single body.(3) Not more than 10% in value of the scheme property is to consist of transferable securities or approved money-market instruments issued by any single body subject to COLL 5.6.23 R (Schemes replicating
COLL 5.7.6GRP
(1) COLL 5.7.5R (8) to (11) replicate the provisions of Article 5 of the Commission Recommendation 2004/383/EC of 27 April 2004 on the use of financial derivative instruments for undertakings for collective investment in transferable securities, so as to enable non-UCITS retail schemes to benefit from the same flexibility.(2) The attention of authorised fund managers is specifically drawn to condition (d) in COLL 5.7.5R (9) under which the collateral has to be legally enforceable
MIPRU 4.2BA.6GRP
Eligible structures exclude, for example, structures such as master trusts, synthetic securitisations and asset-backed commercial paper programmes. Financial derivatives (e.g. interest-rate swaps) used to structure the securitisation should be with third-party counterparties, not the firm or connected entities.
MIPRU 4.2BA.34RRP
Securitisation positions include exposures to a securitisation arising from interest rate or currency derivative contracts.
MIPRU 4.2BA.52RRP
The conditions for the application of a conversion factor of 50% are:(1) the liquidity facility documentation must clearly identify and limit the circumstances under which the facility may be drawn;(2) it must not be possible for the facility to be drawn so as to provide credit support by covering losses already incurred at the time of drawdown, for example by providing liquidity for exposures in default at the time of drawdown or by acquiring assets at more than fair value;(3)
COLL 6.13.6RRP
An authorised fund manager of a UCITS scheme or a UK UCITS management company of an EEA UCITS scheme must ensure a high level of security during the electronic data processing referred to in COLL 6.13.5 R as well as the integrity and confidentiality of the recorded information, as appropriate.[Note: article 7(2) of the UCITS implementing Directive]
COLL 5.1.2GRP
(1) This chapter helps in achieving the statutory objective of protecting consumers by laying down minimum standards for the investments that may be held by an authorised fund. In particular:(a) the proportion of transferable securities and derivatives that may be held by an authorised fund is restricted if those transferable securities and derivatives are not listed on an eligible market; the intention of this is to restrict investment in transferable securities or derivatives
COLL 5.1.4GRP

This table belongs to COLL 5.1.2G (2).

Scheme investments and investment techniques

Limits for UCITS schemes

Limits for non-UCITS retail schemes

Permissible investment

Maximum limit

Permissible investment

Maximum limit

Approved securities

Yes

None

Yes

None

Transferable securities that are not approved securities

Yes

10%

Yes

20%

Government and public securities

Yes

None

Yes

None

Regulated schemes other than qualified investor schemes1

Yes

None

Yes

None

Unregulated schemes and qualified investor schemes1

No

N/A

Yes

20%(C)1

Warrants

Yes

None

Yes

None

Investment trusts

Yes

None

Yes

None

Deposits

Yes

None

Yes

None

Derivatives

Yes

None

Yes

None

Immovables (i.e real property)

No

N/A

Yes

None

Gold

No

N/A

Yes

10%

Hedging

Yes

None

Yes

None

Stock lending

Yes

None

Yes

None

Underwriting

Yes

None

Yes

None

Borrowing

Yes

10% (T)

Yes

10%

Cash and near cash

Yes

None

Yes

None

Note:

Meaning of terms used:

A percentage

an upper limit (though there may be limits of other kinds).

"(T)"

temporary only- see COLL 5.5.4R(4)

"N/A"

Not applicable1

1“(C)”

In the case of a non-UCITS retail scheme operating as a FAIF there is no maximum limit - see COLL 5.7.7 R.
REC 3.14.6RRP
The following information is specified for the purposes of REC 3.14.2 R and REC 3.14.3 R:(1) a description of the specified investment to which the proposal relates; (2) where that specified investment is a derivative, the proposed terms of that derivative; and (3) in the case of a UK RIE which is admitting that specified investment to trading, the name of any RCH which will provide clearing services in respect of that specified investment under an agreement with that UK RIE.
REC 3.14.7RRP
Where:(1) a UK RIE proposes to amend the standard terms of any derivative admitted to trading by means of its facilities; or (2) a UK RIE3 proposes to amend the standard terms relating to any derivative in respect of which it provides clearing facilitation services;3333it must give the FCA3notice of that event, and written particulars of those proposed amendments, at the same time as that proposal is first formally communicated to its members or shareholders (or any group or class
COLL 6.6.12RRP
(1) The depositary of an authorised fund is responsible for the safekeeping of all of the scheme property (other than tangible movable property) entrusted to it and must:(a) take all steps and complete all documents needed to ensure completion of transactions properly entered into for the account of the scheme;(b) ensure that scheme property in registered form is, as soon as practicable, registered in the name of the depositary, its nominee, or a person retained by it under COLL
COLL 6.6.14RRP
(1) The authorised fundmanager must avoid the scheme property being used or invested contrary to COLL 5, or any provision in the instrument constituting the fund11 or the prospectus as referred to in COLL 5.2.4 R (Investment powers:general), and COLL 5.6.4 R (Investment powers: general)2, except to the extent permitted by (3)(b).11(2) The authorised fund manager must, immediately upon becoming aware of any breach of a provision listed in (1), take action, at its own expense, to
COLL 6.6.17RRP
(1) The authorised fund manager, any other director of an ICVC and the depositary must take reasonable care to ensure that a transaction within (a) to (f) is not carried out on behalf of the scheme:(a) putting cash on deposit with an affected person unless that person is an eligible institution or an approved bank and the arm's length requirement in (2) is satisfied;(b) lending money by an affected person to, or for the account of, the scheme, unless the affected person is an
BIPRU 7.10.21GRP
The broad classes of position referred to in BIPRU 7.10.20G are as follows:(1) linear products, which comprise securities with linear pay-offs (e.g. bonds and equities) and derivative products which have linear pay-offs in the underlying risk factor (e.g. interest rate swaps, FRAs, total return swaps);(2) European, American and Bermudan put and call options (including caps, floors and swaptions) and investments with these features (see BIPRU 7.6.18R (Table: Option PRR: methods
BIPRU 7.10.55BRRP
3The incremental risk charge must cover all positions which are subject to a capital charge for interest-rate specific risk in accordance with the firm'sVaR model permission, except securitisationpositions and nth-to-default credit derivatives. Where permitted by its VaR model permission, a firm may choose consistently to include all listed equity positions and derivativespositions based on listed equities for which that inclusion is consistent with how the firm internally measures
BIPRU 7.10.55LRRP
(1) 3The incremental risk charge must reflect the nonlinear impact of options, structured credit derivatives and other positions with material nonlinear behaviour with respect to price changes.(2) The firm must also consider the amount of model risk inherent in the valuation and estimation of price risks associated with those products.
LR 1.6.1ARRP
1An issuer must comply with the rules that are applicable to every security in the category of listing which applies to each security the issuer has listed. The categories of listing are:(1) premium listing (commercial company); (2) premium listing (closed-ended investment fund);(3) premium listing (open-ended investment companies);(4) standard listing (shares);(5) standard listing (debt and debt-like securities);(6) standard listing (certificates representing certain securities);(7)
BIPRU 14.1.2GRP
(1) BIPRU 14.2 deals with the calculation of the capital requirement for CCR for trading book positions arising from financial derivative instruments, securities financing transactions and long settlement transactions. The approaches used to calculate exposure values and risk weighted exposure amounts for these positions are largely based on the approaches applicable to non-trading book positions (BIPRU 3, BIPRU 4, BIPRU 5 and BIPRU 13). However, there are some treatments that
MAR 5.4.1RRP
1A firm operating an MTF must:(1) clearly inform its users of their respective responsibilities for the settlement of transactions executed in that MTF; and(2) have in place the arrangements necessary to facilitate the efficient settlement of the transactions concluded under its systems.[Note: Article 14(5) of MiFID]
IPRU-INV 5.11.2RRP

Instrument

Requirement

A Debt

Maturity

0-2 years

2-5 years

>5 years

Central Government

2%

5%

13%

Qualifying debt securities

· fixed rate

8%

8%

15%

· floating rate

10%

10%

15%

Non-qualifying debt securities

· fixed rate

10%

20%

30%

· floating rate

30%

30%

30%

B Equities

· Traded on a recognised or designated investment exchange.

25%

· other

100%

C Stock position in physical commodities

· Physical positions associated with firm'sinvestment business

30% of realisable value

D Derivatives

· Exchange traded futures and written options

4 x initial margin requirement.

· otc futures and written options

Apply the appropriate percentage shown in Sections A, B, & C above to the market value of the underlying position.

· Purchased options

Apply the appropriate percentage shown in Sections A, B & C above to the market value of the underlying position but the result may be limited to the market value of the option.

· Contracts for differences

20% of the market value of the contract.

E Other investments

· units in regulated collective investment schemes

25% of realisable value.

· with profit life policies

20% of surrender value.

· other

100% of the value of investment or underlying instrument.
COBS 10.1.2RRP
This chapter applies to a firm which arranges or deals in relation to a non-readily realisable security,2derivative or a warrant with or for a retail client and the firm is aware, or ought reasonably to be aware, that the application or order is in response to a direct offer financial promotion.