Related provisions for BIPRU 7.4.37
41 - 53 of 53 items.
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]
(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
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]
(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
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) For the purpose of IFPRU and the UK CRR3 , dealing on own account means the service of dealing in any financial instruments for own account as referred to in paragraph3 3 of Part 3 of Schedule 2 to the Regulated Activities Order3, subject to (2) and (3).(2) An3investment 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 account if the following conditions are met:(a)
Each exposure must be assigned to one of the following exposure classes:(1) claims or contingent claims on central governments and central banks;(2) claims or contingent claims on institutions;(3) claims or contingent claims on corporates;(4) retail claims or contingent retail claims;(5) equity claims;(6) securitisation positions; and(7) non credit-obligation assets.[Note: BCD Article 86(1)]
(1) A securities firm may consider the impact of the following situations on its capital levels when assessing its exposure to concentration risk: (a) the potential loss that could arise from large exposures to a single counterparty; (b) the potential loss that could arise from exposures to large transactions or to a product type; and(c) the potential loss resulting from a combination of events such as a sudden increase in volatility leaving a hitherto fully-margined client unable
Examples of uncovered open positions include:(1) selling a call option on an investment not held in the portfolio;(2) unsettled sales of call options on currency in amounts greater than the portfolio's holding of that currency in cash or in readily realisable investments denominated in that currency; and (3) transactions having the effect of selling an index to an amount greater than the portfolio's holdings of investments included in that index.
(1) A securities firm may consider the impact of the situations listed in (a) to (c) on its capital levels when assessing its exposure to concentration risk:(a) the potential loss that could arise from large exposures to a single counterparty;(b) the potential loss that could arise from exposures to large transactions or to a product type; and(c) the potential loss resulting from a combination of events such as a sudden increase in volatility leaving a hitherto fully-margined